GOLD Options History — March 2008

In March 2008, GOLD traded between $21.91 and $27.82. ATM implied volatility averaged 55.3%, placing in the 79.2% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded below realized volatility by 7.2% (HV 20d: 62.5%). Max pain ranged from $17.50 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.62.

Notable Days

  • 2008-03-06: Highest Volume — 16,884 contracts
  • 2008-03-10: Largest IV spike — 15.5% change
  • 2008-03-17: Highest IV Rank — 100.0%
  • 2008-03-20: Largest Expected Move — 18.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.13$21.91$27.82$26.96$23.17
Max Pain$22.63$17.50$25.00$17.50$22.50
ATM IV55.3%46.7%65.3%46.7%59.0%
Expected Move16.1%13.4%18.7%13.4%16.9%
HV 20d62.5%49.4%76.0%53.7%75.9%
HV 60d59.5%53.3%65.7%53.3%65.5%
IV Rank79.2%58.4%100.0%58.4%83.5%
IV Percentile86.1%62.3%100.0%62.3%95.2%
Term Structure-0.8%-7.0%3.8%2.7%-0.0%
VWIV56.5%47.8%65.9%47.8%57.8%
Skew 25d3.0%-0.1%6.3%2.2%4.2%
Skew 10d5.0%-6.9%13.8%4.9%-2.1%
Call IV 25d55.2%45.6%65.7%46.5%57.7%
Put IV 25d58.3%48.7%66.8%48.7%61.9%
Bid-Ask Spread %15.188.3021.1111.1812.74
Gamma HHI0.300.250.320.320.30
Net GEX1.2M904.4K1.7M1.2M1.1M
Net DEX-93.9M-142.6M-28.2M-129.4M-36.4M
Net VEX-258.2K-294.7K-216.8K-216.8K-282.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.121.800.151.80
Total Volume6,540.81,84816,8844,9384,290
Total OI95,326.168,088116,31292,82275,156

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$26.96$17.5046.7%13.4%53.7%58.4%47.8%2.2%2.7%1.2M-129.4M-216.8K0.1511.18N/AN/A4,29064864,91227,910
2008-03-04$26.00$17.5048.9%14.0%51.3%65.2%48.0%1.4%3.4%1.2M-118.0M-223.1K1.0312.69N/AN/A2,2262,29865,71428,140
2008-03-05$27.16$17.5046.9%13.5%49.9%59.3%47.9%4.4%3.8%1.2M-133.1M-220.5K0.5814.52N/AN/A2,4821,44266,29629,154
2008-03-06$27.82$17.5050.1%14.4%49.4%68.7%54.6%6.3%2.8%1.1M-141.2M-221.3K0.248.30N/AN/A13,6123,27266,56029,530
2008-03-07$26.83$22.5049.5%15.5%51.8%67.0%54.4%4.4%-0.7%1.7M-142.6M-283.5K1.4915.05N/AN/A2,3083,44277,31830,674
2008-03-10$24.62$25.0057.2%16.8%56.5%89.9%59.3%3.9%-3.7%1.3M-97.4M-270.1K0.7618.65N/AN/A3,9923,03073,41432,554
2008-03-11$26.33$25.0048.9%15.2%61.0%65.0%54.8%5.3%-1.8%1.3M-125.1M-261.7K0.3319.32N/AN/A3,2921,08673,49233,530
2008-03-12$26.40$25.0048.9%15.4%60.6%65.2%54.6%3.1%-2.3%1.3M-127.2M-259.8K0.2312.56N/AN/A2,65261673,83434,204
2008-03-13$26.64$25.0053.7%15.4%60.0%79.5%54.5%4.6%-1.6%1.3M-129.0M-252.6K0.1211.32N/AN/A3,13437073,11833,824
2008-03-14$26.82$25.0055.1%15.8%60.0%83.7%55.5%5.2%-2.3%1.3M-133.8M-246.3K0.4214.03N/AN/A2,4181,02073,46233,978
2008-03-17$26.18$25.0062.5%17.9%60.6%100.0%62.1%4.0%-3.5%1.2M-121.9M-243.9K0.2917.89N/AN/A9,0342,63672,96034,424
2008-03-18$25.41$25.0060.2%17.3%59.2%93.6%59.7%1.6%-2.9%1.3M-116.1M-275.9K0.4319.18N/AN/A4,9982,14478,04234,838
2008-03-19$23.21$25.0059.2%17.0%66.2%90.8%59.9%-0.0%-2.3%1.4M-74.0M-262.5K0.7215.41N/AN/A6,4544,67079,29635,300
2008-03-20$22.07$25.0065.3%18.7%67.9%100.0%65.9%1.1%-7.0%1.1M-48.9M-246.3K0.4618.90N/AN/A10,7524,96481,02635,286
2008-03-24$21.91$22.5062.5%17.9%67.9%92.6%63.1%-0.1%-2.1%904.4K-28.2M-248.8K0.7412.80N/AN/A2,7722,05051,10016,988
2008-03-25$23.63$22.5059.3%17.0%73.6%84.2%58.8%3.1%-1.2%1.1M-43.6M-273.8K0.4015.30N/AN/A6,3862,58052,14417,834
2008-03-26$24.81$22.5057.1%16.4%72.9%78.5%57.8%1.9%0.7%1.3M-55.6M-294.7K0.9821.11N/AN/A2,4702,41852,89018,962
2008-03-27$23.23$22.5058.3%16.7%75.8%81.6%58.2%1.9%0.5%1.1M-37.8M-288.0K0.5013.28N/AN/A1,81490653,48820,546
2008-03-28$23.45$22.5056.4%16.2%76.0%76.7%56.3%2.3%2.0%1.1M-39.4M-291.8K0.7519.29N/AN/A1,05479453,76220,862
2008-03-31$23.17$22.5059.0%16.9%75.9%83.5%57.8%4.2%-0.0%1.1M-36.4M-282.4K1.8012.74N/AN/A1,5302,76054,16820,988