GOLD Options History — October 2007 In October 2007, GOLD traded between $15.45 and $18.64. ATM implied volatility averaged 50.9%, placing in the 92.1% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded above realized volatility by 4.7% (HV 20d: 46.2%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.30.
Notable Days 2007-10-11 : Highest Volume — 32,760 contracts2007-10-10 : Largest IV drop — 11.3% change2007-10-02 : Highest IV Rank — 100.0%2007-10-15 : Largest Expected Move — 15.7%Monthly Statistics Metric Avg Min Max Open Close Price $17.09 $15.45 $18.64 $16.80 $17.97 Max Pain $16.41 $15.00 $17.50 $15.00 $17.50 ATM IV 50.9% 45.6% 54.7% 47.8% 53.8% Expected Move 14.6% 13.5% 15.7% 13.7% 15.4% HV 20d 46.2% 36.1% 56.6% 51.0% 36.1% HV 60d 44.1% 41.0% 45.4% 41.0% 45.4% IV Rank 92.1% 75.4% 100.0% 98.0% 96.7% IV Percentile 98.0% 92.8% 100.0% 99.5% 98.1% Term Structure -3.5% -6.6% 1.4% -0.6% -6.0% VWIV 51.4% 45.4% 55.8% 45.4% 54.3% Skew 25d 1.5% -6.5% 5.1% 1.3% 3.6% Skew 10d 4.4% -13.6% 14.4% 4.4% 8.4% Call IV 25d 51.4% 48.0% 56.2% 48.0% 54.6% Put IV 25d 52.9% 42.7% 58.2% 49.2% 58.2% Bid-Ask Spread % 14.50 6.15 22.10 6.73 14.43 Gamma HHI 0.47 0.42 0.56 0.56 0.42 Net GEX 1.0M 715.3K 1.4M 715.3K 1.3M Net DEX -58.3M -84.2M -36.4M -49.5M -68.2M Net VEX -169.0K -195.1K -131.8K -131.8K -188.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.30 0.04 0.69 0.27 0.49 Total Volume 4,897.739 1,032 32,760 5,524 2,812 Total OI 66,416.609 52,570 79,312 52,570 74,104
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2007-10-01 $16.80 $15.00 47.8% 13.7% 51.0% 98.0% 45.4% 1.3% -0.6% 715.3K -49.5M -131.8K 0.27 6.73 N/A N/A 4,366 1,158 42,630 9,940 2007-10-02 $15.95 $15.00 50.2% 14.4% 55.3% 100.0% 49.6% 0.1% 0.3% 715.9K -41.2M -143.2K 0.42 7.06 N/A N/A 3,592 1,524 43,518 10,628 2007-10-03 $15.59 $15.00 46.9% 13.5% 56.6% 86.0% 47.1% -4.9% 1.1% 733.7K -37.6M -145.1K 0.60 10.44 N/A N/A 1,558 936 44,344 10,714 2007-10-04 $15.45 $15.00 47.4% 13.6% 50.0% 88.2% 48.1% -6.5% 1.4% 723.9K -36.4M -147.3K 0.31 11.60 N/A N/A 1,274 394 45,306 11,424 2007-10-05 $15.99 $15.00 47.6% 13.9% 49.0% 89.0% 47.8% 1.1% -2.2% 766.7K -42.5M -147.1K 0.19 22.10 N/A N/A 1,094 206 45,844 11,532 2007-10-08 $15.90 $15.00 51.6% 14.4% 49.1% 100.0% 49.6% 2.1% -3.9% 757.5K -41.8M -144.3K 0.19 14.81 N/A N/A 870 162 45,874 11,598 2007-10-09 $15.78 $15.00 51.4% 14.3% 49.1% 98.9% 48.8% 2.9% -3.3% 750.0K -40.2M -144.1K 0.05 20.69 N/A N/A 1,396 74 45,868 11,662 2007-10-10 $16.45 $15.00 45.6% 14.0% 50.2% 75.4% 49.4% 0.7% -2.6% 805.0K -48.0M -139.8K 0.10 15.93 N/A N/A 2,026 196 46,394 11,682 2007-10-11 $17.05 $15.00 50.2% 14.4% 51.3% 94.4% 50.4% 5.1% -5.2% 818.1K -54.3M -134.5K 0.06 15.39 N/A N/A 30,950 1,810 46,084 11,638 2007-10-12 $17.67 $15.00 49.5% 14.2% 48.5% 91.2% 49.5% 3.9% -4.5% 1.4M -84.2M -187.0K 0.40 6.15 N/A N/A 2,194 888 67,184 12,128 2007-10-15 $17.63 $17.50 54.7% 15.7% 48.7% 100.0% 54.8% 3.1% -6.4% 1.0M -64.2M -158.5K 0.07 17.90 N/A N/A 21,418 1,546 53,912 12,564 2007-10-16 $17.17 $17.50 54.4% 15.6% 46.0% 98.9% 55.6% -1.5% -4.8% 1.1M -61.9M -182.7K 0.13 17.68 N/A N/A 3,902 494 58,990 13,368 2007-10-17 $16.98 $17.50 53.2% 15.3% 44.2% 94.5% 54.3% -0.1% -4.8% 1.2M -61.1M -193.5K 0.19 18.07 N/A N/A 2,398 454 61,500 13,528 2007-10-18 $17.38 $17.50 52.7% 15.1% 44.6% 92.6% 54.5% 1.7% -5.2% 1.3M -65.9M -191.0K 0.37 16.67 N/A N/A 2,248 838 61,910 13,658 2007-10-19 $17.31 $17.50 53.3% 15.3% 43.6% 94.7% 55.8% 0.7% -5.3% 1.4M -64.4M -195.1K 0.41 20.09 N/A N/A 1,372 566 62,894 14,076 2007-10-22 $17.18 $17.50 52.1% 14.9% 43.8% 90.6% 55.0% 3.8% -4.0% 1.2M -59.4M -191.2K 0.69 18.94 N/A N/A 1,926 1,322 59,482 10,898 2007-10-23 $17.57 $17.50 49.4% 14.2% 44.2% 80.8% 51.1% 5.1% -2.2% 1.2M -63.5M -193.2K 0.58 18.08 N/A N/A 778 448 59,646 11,750 2007-10-24 $18.00 $17.50 49.9% 14.3% 43.4% 82.7% 52.9% 2.8% -3.1% 1.2M -68.8M -191.3K 0.34 11.07 N/A N/A 2,430 828 59,874 11,902 2007-10-25 $18.36 $17.50 51.0% 14.6% 41.7% 86.7% 51.1% 3.5% -3.0% 1.2M -73.0M -187.1K 0.35 12.16 N/A N/A 1,822 636 59,740 11,682 2007-10-26 $18.64 $17.50 50.4% 14.5% 38.9% 84.5% 49.9% 1.8% -3.6% 1.2M -75.9M -183.9K 0.31 14.28 N/A N/A 1,518 470 59,508 12,050 2007-10-29 $18.45 $17.50 54.2% 15.5% 39.2% 98.0% 53.8% 3.9% -6.6% 1.2M -73.7M -180.8K 0.04 9.46 N/A N/A 3,010 108 59,508 12,050 2007-10-30 $17.70 $17.50 53.9% 15.5% 37.5% 97.0% 54.1% 1.0% -6.5% 1.3M -64.6M -186.2K 0.42 13.69 N/A N/A 1,860 776 60,862 12,134 2007-10-31 $17.97 $17.50 53.8% 15.4% 36.1% 96.7% 54.3% 3.6% -6.0% 1.3M -68.2M -188.3K 0.49 14.43 N/A N/A 1,884 928 61,488 12,616
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