GOLD Options History — February 2008

In February 2008, GOLD traded between $21.30 and $26.36. ATM implied volatility averaged 50.5%, placing in the 69.8% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded below realized volatility by 8.3% (HV 20d: 58.8%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.49.

Notable Days

  • 2008-02-04: Highest Volume — 13,900 contracts
  • 2008-02-13: Largest IV drop — 9.6% change
  • 2008-02-04: Highest IV Rank — 89.2%
  • 2008-02-11: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.11$21.30$26.36$23.34$25.82
Max Pain$17.75$17.50$22.50$22.50$17.50
ATM IV50.5%42.8%57.0%55.7%44.8%
Expected Move14.7%12.3%16.4%16.0%12.8%
HV 20d58.8%49.3%71.1%67.5%52.9%
HV 60d53.6%51.9%56.3%55.1%53.0%
IV Rank69.8%46.8%89.2%85.4%52.8%
IV Percentile77.0%55.6%95.6%93.7%59.1%
Term Structure-0.1%-3.7%4.6%-2.2%4.6%
VWIV51.8%44.7%56.9%56.2%45.0%
Skew 25d2.7%1.1%5.5%5.5%1.7%
Skew 10d5.6%0.8%12.0%12.0%3.1%
Call IV 25d50.8%43.1%56.8%54.8%45.0%
Put IV 25d53.5%45.6%60.2%60.2%46.7%
Bid-Ask Spread %13.507.6518.7318.7317.93
Gamma HHI0.370.280.410.340.39
Net GEX1.3M931.2K1.7M1.2M1.3M
Net DEX-94.5M-121.2M-59.5M-87.2M-114.4M
Net VEX-227.7K-253.4K-199.6K-199.6K-217.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.041.240.880.04
Total Volume4,7581,27013,9008,9106,670
Total OI94,371.882,604103,86089,09291,546

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-02-01$23.34$22.5055.7%16.0%67.5%85.4%56.2%5.5%-2.2%1.2M-87.2M-199.6K0.8818.73N/AN/A4,7384,17260,98628,106
2008-02-04$22.09$17.5057.0%15.9%69.3%89.2%55.7%1.8%-3.7%1.1M-67.8M-202.2K0.2816.69N/AN/A10,8283,07261,37629,818
2008-02-05$21.30$17.5055.1%16.2%71.1%83.6%56.9%1.2%-3.7%1.1M-59.5M-240.8K0.7817.49N/AN/A3,0362,35867,14230,102
2008-02-06$22.07$17.5052.3%16.2%62.8%75.2%56.7%2.3%-2.7%1.3M-72.4M-247.2K0.7217.35N/AN/A2,4461,76468,74430,874
2008-02-07$21.87$17.5051.2%16.0%62.8%71.9%56.8%2.7%-1.6%1.3M-68.3M-252.2K0.8616.25N/AN/A2,3021,98869,86431,634
2008-02-08$23.55$17.5051.1%16.2%67.1%71.6%55.9%2.8%-2.8%1.6M-97.8M-253.4K0.3910.47N/AN/A2,32089469,85832,218
2008-02-11$23.48$17.5055.7%16.4%66.3%85.4%56.5%2.0%-3.6%1.7M-97.6M-238.9K0.438.74N/AN/A2,30298470,30232,618
2008-02-12$23.20$17.5056.1%15.6%63.1%86.7%54.2%2.1%-1.6%1.7M-92.9M-240.1K1.2410.91N/AN/A4,1665,18670,70233,158
2008-02-13$23.90$17.5050.7%15.2%60.3%70.5%54.0%2.6%-0.4%1.5M-94.7M-234.9K0.3611.33N/AN/A1,45253066,49234,410
2008-02-14$24.00$17.5052.5%15.1%55.0%76.0%53.2%1.1%-0.3%1.4M-98.0M-227.4K0.8611.40N/AN/A95882866,53034,610
2008-02-15$23.67$17.5052.5%15.1%55.3%76.0%51.3%3.1%-1.1%987.5K-92.6M-230.2K0.3814.54N/AN/A1,15043666,57835,254
2008-02-19$24.91$17.5049.6%14.2%57.0%67.2%50.2%3.0%0.9%937.2K-93.9M-212.6K0.2414.92N/AN/A2,28654856,08426,520
2008-02-20$25.73$17.5049.5%14.2%54.3%67.1%51.2%3.3%1.7%931.2K-102.8M-208.1K0.2910.16N/AN/A7,0242,03456,31826,682
2008-02-21$25.20$17.5048.5%13.9%55.1%64.0%50.7%3.3%0.5%1.2M-102.0M-223.0K0.137.65N/AN/A5,76877860,34426,494
2008-02-22$25.07$17.5047.4%13.6%49.3%60.7%48.2%3.7%2.1%1.1M-100.6M-239.2K0.2812.41N/AN/A99227861,72228,438
2008-02-25$24.48$17.5047.6%13.6%50.0%61.3%48.2%2.6%1.2%1.2M-92.4M-233.2K0.369.56N/AN/A1,40251061,98828,530
2008-02-26$25.89$17.5045.4%13.0%52.2%54.8%45.7%4.2%2.9%1.3M-114.1M-218.6K0.5912.57N/AN/A3,1021,82062,28027,188
2008-02-27$26.36$17.5044.0%12.6%52.2%50.6%44.7%1.7%2.7%1.3M-121.2M-215.6K0.2412.93N/AN/A2,16451863,09027,604
2008-02-28$26.34$17.5042.8%12.3%52.2%46.8%44.9%3.3%4.5%1.3M-120.3M-218.3K0.3618.02N/AN/A99636063,45627,776
2008-02-29$25.82$17.5044.8%12.8%52.9%52.8%45.0%1.7%4.6%1.3M-114.4M-217.8K0.0417.93N/AN/A6,40226863,73227,814