GOLD Options History — November 2007

In November 2007, GOLD traded between $17.35 and $19.43. ATM implied volatility averaged 52.7%, placing in the 85.0% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded above realized volatility by 2.1% (HV 20d: 50.7%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.76.

Notable Days

  • 2007-11-26: Highest Volume — 25,744 contracts
  • 2007-11-26: Largest IV spike — 9.8% change
  • 2007-11-12: Highest IV Rank — 100.0%
  • 2007-11-26: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.42$17.35$19.43$18.48$17.59
Max Pain$13.81$12.50$17.50$17.50$15.00
ATM IV52.7%47.6%58.7%52.3%54.4%
Expected Move14.7%13.7%16.0%15.0%15.6%
HV 20d50.7%35.0%60.9%36.3%58.4%
HV 60d48.4%44.1%51.7%44.8%48.9%
IV Rank85.0%65.0%100.0%91.1%86.5%
IV Percentile94.5%84.8%100.0%96.2%97.8%
Term Structure0.7%-4.7%3.3%-4.7%-0.4%
VWIV52.0%44.0%58.9%52.2%58.9%
Skew 25d4.0%0.4%11.1%2.1%11.1%
Skew 10d9.8%0.2%20.7%8.6%20.7%
Call IV 25d50.6%47.5%55.3%50.7%52.1%
Put IV 25d54.6%49.9%63.2%52.8%63.2%
Bid-Ask Spread %15.4310.7521.8421.8418.39
Gamma HHI0.400.360.460.400.36
Net GEX1.2M1.1M1.4M1.3M1.3M
Net DEX-71.7M-85.2M-57.9M-76.1M-58.9M
Net VEX-180.4K-205.6K-163.3K-186.2K-205.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.125.480.565.48
Total Volume4,454.2861,30625,7444,8187,924
Total OI77,56072,38084,36875,38484,368

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$18.48$17.5052.3%15.0%36.3%91.1%52.2%2.1%-4.7%1.3M-76.1M-186.2K0.5621.84N/AN/A3,0841,73462,24413,140
2007-11-02$18.59$17.5050.0%14.3%35.0%83.1%49.3%2.1%-2.6%1.3M-76.7M-185.6K0.1419.81N/AN/A1,22417462,24613,730
2007-11-05$18.05$12.5053.0%13.9%37.1%93.9%49.1%4.0%2.3%1.3M-68.8M-186.1K0.1213.95N/AN/A1,31416062,45213,856
2007-11-06$18.45$12.5053.9%13.8%37.1%97.1%50.2%3.0%2.2%1.3M-74.8M-182.2K0.1414.20N/AN/A1,78024662,81413,854
2007-11-07$17.71$12.5050.1%13.8%38.7%83.5%49.6%0.4%3.3%1.3M-64.4M-179.1K0.1814.96N/AN/A3,03453261,97213,866
2007-11-08$18.70$12.5053.1%14.3%41.1%94.0%50.0%2.6%2.4%1.3M-77.5M-177.6K0.3815.20N/AN/A2,7821,04662,66213,946
2007-11-09$18.70$12.5053.6%14.5%39.5%96.0%52.0%2.9%1.8%1.3M-76.8M-176.7K0.3913.65N/AN/A1,66264462,26013,958
2007-11-12$17.35$12.5058.7%14.9%48.2%100.0%51.0%3.0%2.4%1.2M-57.9M-177.1K1.2813.40N/AN/A1,8322,35061,75814,360
2007-11-13$18.05$12.5056.3%14.9%49.2%92.3%53.7%5.7%1.5%1.2M-67.1M-175.3K1.6915.28N/AN/A1,3142,22661,96814,910
2007-11-14$19.43$12.5052.5%13.9%55.0%80.5%50.3%3.1%3.1%1.4M-85.2M-168.7K0.2814.94N/AN/A4,8501,36461,94616,032
2007-11-15$18.59$12.5053.7%15.4%57.4%84.3%52.4%5.4%1.3%1.1M-73.8M-174.6K0.4916.10N/AN/A2,6501,30861,31016,696
2007-11-16$18.80$12.5050.2%14.4%57.4%73.2%51.4%4.6%2.1%1.1M-75.6M-173.7K0.2015.06N/AN/A1,08622062,06217,234
2007-11-19$18.38$12.5051.6%14.8%58.1%77.5%51.8%3.8%1.3%1.1M-68.7M-168.2K0.8715.76N/AN/A1,4061,22658,06014,320
2007-11-20$19.07$12.5047.6%13.7%58.9%65.0%49.8%3.6%1.0%1.1M-77.8M-163.3K1.2316.38N/AN/A1,6822,07058,66815,076
2007-11-21$18.92$15.0048.6%13.9%58.5%68.1%53.9%3.4%0.5%1.1M-75.0M-171.9K0.3416.58N/AN/A3,0721,03659,23615,868
2007-11-23$19.28$15.0050.9%14.6%58.5%75.5%44.0%1.7%-0.8%1.1M-82.8M-163.5K0.3511.41N/AN/A1,27644660,37216,610
2007-11-26$18.41$15.0055.9%16.0%60.8%91.2%55.9%2.1%-1.7%1.1M-69.7M-169.3K0.1211.01N/AN/A23,0422,70260,43816,814
2007-11-27$18.16$15.0054.2%15.5%60.9%85.7%55.0%3.8%0.1%1.2M-67.5M-197.2K0.4710.75N/AN/A2,5441,18663,80817,646
2007-11-28$18.21$15.0054.7%15.7%58.9%87.3%55.2%6.8%-1.9%1.2M-68.3M-202.5K0.4513.78N/AN/A1,71877464,77417,928
2007-11-29$17.85$15.0052.1%14.9%59.1%79.3%55.3%8.7%1.1%1.3M-63.2M-205.6K0.7721.50N/AN/A1,5901,23065,28618,212
2007-11-30$17.59$15.0054.4%15.6%58.4%86.5%58.9%11.1%-0.4%1.3M-58.9M-205.1K5.4818.39N/AN/A1,2226,70265,61218,756