GOLD Options History — January 2008 In January 2008, GOLD traded between $18.61 and $24.35. ATM implied volatility averaged 55.2%, placing in the 86.0% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded below realized volatility by 0.8% (HV 20d: 56.0%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.56.
Notable Days 2008-01-24 : Highest Volume — 16,374 contracts2008-01-08 : Largest IV spike — 14.2% change2008-01-16 : Highest IV Rank — 100.0%2008-01-17 : Largest Expected Move — 17.4%Monthly Statistics Metric Avg Min Max Open Close Price $21.66 $18.61 $24.35 $19.07 $23.86 Max Pain $20.12 $17.50 $22.50 $17.50 $22.50 ATM IV 55.2% 43.2% 60.6% 43.9% 54.7% Expected Move 15.9% 12.4% 17.4% 12.6% 15.7% HV 20d 56.0% 37.0% 66.9% 37.6% 66.4% HV 60d 51.1% 44.6% 55.8% 44.6% 55.3% IV Rank 86.0% 51.1% 100.0% 53.1% 82.4% IV Percentile 93.4% 71.0% 100.0% 72.5% 92.9% Term Structure -2.7% -6.0% 5.0% 3.4% -2.4% VWIV 56.3% 46.8% 64.2% 46.8% 56.0% Skew 25d 3.0% -1.0% 7.2% 3.3% 5.4% Skew 10d 6.7% -2.0% 14.8% 11.1% 10.5% Call IV 25d 55.0% 44.2% 60.2% 44.2% 55.4% Put IV 25d 58.0% 46.7% 67.3% 47.5% 60.8% Bid-Ask Spread % 17.23 7.29 28.32 7.29 21.26 Gamma HHI 0.34 0.28 0.42 0.40 0.33 Net GEX 1.0M 785.0K 1.2M 1.1M 1.2M Net DEX -79.8M -105.2M -49.9M -55.7M -93.7M Net VEX -207.1K -223.7K -178.4K -207.9K -200.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.56 0.12 1.55 0.27 0.75 Total Volume 7,679.238 1,306 16,374 2,780 3,050 Total OI 84,026 74,010 95,804 74,010 89,046
Daily Data (21 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 2008-01-02 $19.07 $17.50 43.9% 12.6% 37.6% 53.1% 46.8% 3.3% 3.4% 1.1M -55.7M -207.9K 0.27 7.29 N/A N/A 2,196 584 52,808 21,202 2008-01-03 $19.32 $17.50 43.2% 12.4% 37.0% 51.1% 47.0% 0.9% 5.0% 1.0M -59.3M -203.8K 0.22 18.53 N/A N/A 1,476 326 52,714 21,516 2008-01-04 $18.61 $17.50 46.9% 14.1% 39.7% 62.7% 48.3% 0.9% -1.6% 1.1M -49.9M -208.6K 0.36 12.24 N/A N/A 958 348 53,268 21,650 2008-01-07 $18.61 $17.50 47.3% 14.2% 39.7% 64.2% 49.8% 1.2% -1.9% 1.2M -50.8M -204.3K 0.43 10.53 N/A N/A 2,418 1,030 53,846 21,692 2008-01-08 $20.61 $17.50 54.1% 15.1% 52.9% 85.4% 53.6% -0.3% -2.0% 955.9K -75.6M -196.1K 0.41 12.91 N/A N/A 11,218 4,600 54,172 22,182 2008-01-09 $20.50 $20.00 53.1% 15.7% 52.8% 82.2% 55.5% -1.0% -3.2% 962.4K -71.6M -202.4K 0.87 14.01 N/A N/A 3,726 3,226 55,398 24,802 2008-01-10 $21.14 $20.00 55.9% 16.0% 53.2% 91.1% 55.7% 1.7% -5.7% 914.7K -80.0M -192.6K 0.37 17.59 N/A N/A 9,136 3,342 55,646 25,556 2008-01-11 $21.85 $20.00 55.4% 15.9% 53.9% 89.6% 56.4% 2.0% -4.6% 949.3K -88.7M -198.4K 0.70 19.23 N/A N/A 3,582 2,498 57,636 26,472 2008-01-14 $23.19 $20.00 55.8% 16.0% 52.6% 91.0% 58.5% -0.9% -5.6% 849.8K -105.2M -178.4K 0.19 9.94 N/A N/A 10,590 2,040 58,084 28,102 2008-01-15 $21.93 $20.00 56.6% 16.2% 57.6% 93.5% 57.6% 0.5% -3.8% 899.1K -89.9M -201.6K 0.44 16.63 N/A N/A 7,928 3,458 59,616 28,932 2008-01-16 $20.61 $20.00 59.5% 17.1% 60.0% 100.0% 59.6% 0.2% -6.0% 896.4K -75.0M -223.7K 1.55 21.55 N/A N/A 2,710 4,188 64,088 30,766 2008-01-17 $20.44 $20.00 60.6% 17.4% 59.5% 100.0% 59.0% 2.0% -5.1% 785.0K -66.8M -212.7K 0.39 24.40 N/A N/A 9,328 3,664 59,882 30,100 2008-01-18 $21.02 $20.00 60.0% 17.2% 59.7% 98.1% 58.8% 3.9% -5.5% 853.0K -77.7M -223.2K 0.61 20.06 N/A N/A 2,050 1,244 64,016 31,788 2008-01-22 $22.36 $20.00 59.3% 17.0% 62.4% 96.0% 63.1% 5.5% -2.2% 891.4K -76.5M -212.0K 1.12 18.98 N/A N/A 5,902 6,632 54,620 23,544 2008-01-23 $22.66 $20.00 60.5% 17.3% 61.6% 99.6% 64.2% 7.2% -3.4% 987.3K -81.7M -221.2K 0.94 16.20 N/A N/A 4,186 3,932 56,926 23,812 2008-01-24 $24.35 $22.50 57.5% 16.5% 64.6% 90.9% 61.2% 5.3% -1.2% 965.7K -101.3M -203.1K 0.12 13.21 N/A N/A 14,668 1,706 57,802 25,922 2008-01-25 $24.27 $22.50 57.4% 16.5% 64.6% 90.6% 58.7% 6.2% -1.2% 1.1M -103.1M -216.9K 0.89 13.48 N/A N/A 4,342 3,846 61,484 26,320 2008-01-28 $23.50 $22.50 59.9% 17.2% 66.6% 97.9% 58.7% 6.9% -3.1% 1.1M -91.7M -220.8K 0.61 20.76 N/A N/A 5,866 3,578 61,982 27,752 2008-01-29 $23.36 $22.50 58.9% 16.9% 66.9% 94.9% 56.8% 7.0% -3.2% 1.2M -89.4M -216.8K 0.32 28.32 N/A N/A 1,286 416 61,860 28,016 2008-01-30 $23.64 $22.50 58.0% 16.6% 66.7% 92.1% 56.3% 5.5% -4.1% 1.2M -93.2M -204.4K 0.19 24.62 N/A N/A 3,358 632 61,550 27,976 2008-01-31 $23.86 $22.50 54.7% 15.7% 66.4% 82.4% 56.0% 5.4% -2.4% 1.2M -93.7M -200.6K 0.75 21.26 N/A N/A 1,740 1,310 61,012 28,034
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