GOLD Options History — December 2007

In December 2007, GOLD traded between $16.26 and $18.64. ATM implied volatility averaged 47.2%, placing in the 63.8% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 4.2% (HV 20d: 43.0%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.85.

Notable Days

  • 2007-12-21: Highest Volume — 27,234 contracts
  • 2007-12-21: Largest IV drop — 10.5% change
  • 2007-12-03: Highest IV Rank — 86.9%
  • 2007-12-03: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.60$16.26$18.64$17.66$18.57
Max Pain$17.00$15.00$17.50$15.00$17.50
ATM IV47.2%42.1%54.5%54.5%44.2%
Expected Move13.6%12.1%15.6%15.6%12.7%
HV 20d43.0%33.2%58.3%58.3%36.6%
HV 60d46.8%44.8%48.2%48.1%44.8%
IV Rank63.8%47.6%86.9%86.9%54.2%
IV Percentile80.0%70.3%97.8%97.8%72.8%
Term Structure2.4%-0.8%4.6%-0.8%2.3%
VWIV49.6%41.8%58.2%57.3%44.1%
Skew 25d5.5%1.0%11.5%8.9%3.0%
Skew 10d11.6%5.1%18.3%16.0%11.3%
Call IV 25d47.5%41.5%54.7%54.7%42.2%
Put IV 25d53.0%42.5%63.6%63.6%45.2%
Bid-Ask Spread %18.6711.6328.7522.3818.54
Gamma HHI0.490.380.740.380.42
Net GEX1.4M1.0M2.3M1.2M1.1M
Net DEX-52.4M-75.1M-33.8M-58.6M-49.1M
Net VEX-205.7K-215.1K-191.9K-208.6K-211.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.071.960.860.65
Total Volume4,273.639827,2342,584636
Total OI90,697.570,976102,49289,75073,882

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$17.66$15.0054.5%15.6%58.3%86.9%57.3%8.9%-0.8%1.2M-58.6M-208.6K0.8622.38N/AN/A1,3881,19666,06623,684
2007-12-04$17.41$15.0052.9%15.2%57.7%81.6%58.2%8.4%-0.5%1.2M-54.5M-207.1K1.0418.62N/AN/A2,6942,81266,32224,388
2007-12-05$17.24$15.0052.3%15.0%57.0%79.7%53.7%7.6%-0.8%1.2M-51.7M-203.0K1.1712.71N/AN/A1,1281,31866,01625,586
2007-12-06$17.38$15.0047.1%13.5%55.4%63.3%49.1%11.5%2.2%1.3M-53.0M-200.0K0.2712.78N/AN/A3,8341,04266,05626,128
2007-12-07$17.48$17.5047.8%13.9%51.6%65.4%56.9%7.4%2.7%1.3M-55.0M-204.7K1.2014.43N/AN/A8861,06067,03026,252
2007-12-10$17.92$17.5048.7%14.1%52.5%68.4%50.8%5.0%2.3%1.3M-61.9M-202.3K0.6114.05N/AN/A5,7923,51267,16826,690
2007-12-11$17.80$17.5047.4%14.2%45.0%64.5%50.5%6.9%1.9%1.4M-63.8M-211.5K0.2718.50N/AN/A2,20259069,42028,572
2007-12-12$18.02$17.5048.2%14.1%42.9%66.9%49.9%5.3%3.6%1.4M-67.9M-215.1K0.6414.29N/AN/A1,50896670,33628,586
2007-12-13$17.23$17.5047.5%13.6%36.0%64.6%48.8%5.6%4.0%1.5M-53.0M-209.1K0.6917.44N/AN/A2,3001,58470,60828,820
2007-12-14$17.02$17.5045.6%13.1%33.2%58.7%47.1%5.2%4.0%1.6M-48.5M-204.2K0.9418.71N/AN/A2,3902,25471,02428,678
2007-12-17$16.26$17.5048.9%14.0%35.7%69.2%50.5%5.3%2.1%1.2M-33.8M-197.9K1.2721.90N/AN/A1,0621,34671,22630,000
2007-12-18$16.93$17.5049.3%14.1%39.0%70.3%50.3%4.6%2.0%1.6M-44.4M-198.2K0.3417.30N/AN/A2,56686271,08029,948
2007-12-19$16.96$17.5048.4%13.9%36.0%67.4%53.7%4.5%2.2%1.9M-46.5M-203.5K1.9620.89N/AN/A32062672,50429,988
2007-12-20$17.12$17.5047.5%13.6%36.4%64.6%53.3%5.4%2.0%2.3M-45.5M-195.3K1.5622.19N/AN/A35455471,47629,912
2007-12-21$17.82$17.5042.5%12.2%39.0%48.7%42.7%6.3%4.6%1.5M-75.1M-191.9K0.0728.75N/AN/A25,4181,81671,23629,542
2007-12-24$17.70$17.5043.1%12.4%35.7%50.7%44.5%3.3%2.4%1.0M-38.8M-213.7K1.1423.44N/AN/A18621251,79619,180
2007-12-26$18.31$17.5043.4%12.4%37.6%51.7%44.3%2.6%4.3%1.0M-46.2M-213.7K0.1025.08N/AN/A2,72828451,79219,238
2007-12-27$18.51$17.5043.6%12.5%37.8%52.3%44.6%2.2%4.5%1.1M-49.2M-213.3K0.3211.63N/AN/A1,06034252,46819,232
2007-12-28$18.64$17.5042.1%12.1%37.0%47.6%41.8%1.0%2.6%1.1M-51.5M-210.2K1.8219.72N/AN/A1,6482,99652,84619,174
2007-12-31$18.57$17.5044.2%12.7%36.6%54.2%44.1%3.0%2.3%1.1M-49.1M-211.3K0.6518.54N/AN/A38625052,75221,130