GOLD Options History — May 2008

In May 2008, GOLD traded between $20.71 and $23.99. ATM implied volatility averaged 47.5%, placing in the 53.0% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded below realized volatility by 1.3% (HV 20d: 48.7%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.53.

Notable Days

  • 2008-05-05: Highest Volume — 9,678 contracts
  • 2008-05-06: Largest IV drop — 13.4% change
  • 2008-05-05: Highest IV Rank — 74.4%
  • 2008-05-01: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.38$20.71$23.99$21.95$21.20
Max Pain$20.24$20.00$22.50$22.50$20.00
ATM IV47.5%44.0%55.5%54.0%44.2%
Expected Move13.9%12.6%15.5%15.5%12.7%
HV 20d48.7%45.2%53.4%45.5%46.8%
HV 60d61.3%60.2%62.4%62.4%60.2%
IV Rank53.0%43.0%74.4%70.4%43.4%
IV Percentile48.1%34.1%83.7%76.6%34.1%
Term Structure1.5%-4.2%4.9%-4.2%4.9%
VWIV48.6%43.8%55.3%55.3%43.8%
Skew 25d1.8%-0.1%4.6%0.1%1.4%
Skew 10d3.6%-7.2%10.7%3.4%4.2%
Call IV 25d48.0%43.7%55.9%55.9%43.7%
Put IV 25d49.8%45.1%56.1%56.1%45.1%
Bid-Ask Spread %13.358.4517.2617.2611.71
Gamma HHI0.330.270.360.300.30
Net GEX1.2M791.3K1.7M989.1K903.0K
Net DEX-23.4M-45.7M-1.4M-16.6M-6.7M
Net VEX-331.9K-365.7K-255.9K-330.8K-264.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.141.180.470.21
Total Volume3,526.3815249,6784,8402,458
Total OI106,476.381101,052112,232101,290105,828

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-05-01$21.95$22.5054.0%15.5%45.5%70.4%55.3%0.1%-4.2%989.1K-16.6M-330.8K0.4717.26N/AN/A3,2861,55470,40030,890
2008-05-02$22.31$22.5052.9%15.2%46.0%67.7%54.1%2.0%-2.2%1.1M-21.7M-348.7K0.3815.80N/AN/A1,37651871,80831,506
2008-05-05$22.80$20.0055.5%14.7%45.6%74.4%50.5%1.5%1.2%1.2M-28.4M-354.2K0.1414.21N/AN/A8,5201,15872,26831,648
2008-05-06$22.52$20.0048.1%14.4%45.6%55.0%50.7%2.4%1.3%1.3M-27.8M-362.5K0.5114.88N/AN/A4,1362,09078,04831,744
2008-05-07$21.57$20.0047.5%14.6%47.2%53.4%51.1%1.1%0.0%1.0M-13.9M-339.1K1.0711.83N/AN/A2,7442,93077,93232,360
2008-05-08$22.77$20.0047.0%14.5%52.3%52.2%51.0%3.0%0.5%1.4M-30.5M-363.6K0.3316.25N/AN/A2,59485676,86232,620
2008-05-09$22.60$20.0046.8%14.6%51.2%51.5%50.8%3.0%1.3%1.3M-28.4M-365.7K1.0910.86N/AN/A59264878,15433,050
2008-05-12$22.38$20.0048.7%14.7%49.6%56.5%51.6%1.6%0.0%1.2M-24.4M-350.7K1.1811.85N/AN/A1,7262,03478,12633,240
2008-05-13$22.20$20.0044.6%14.2%49.4%45.9%49.4%1.9%1.0%1.1M-20.0M-336.5K0.4912.63N/AN/A1,62680277,76033,804
2008-05-14$21.50$20.0046.4%14.0%45.2%50.5%49.1%0.7%1.9%900.2K-9.2M-314.6K0.6112.87N/AN/A78447678,14233,812
2008-05-15$22.39$20.0048.3%13.8%48.8%55.5%48.0%2.5%1.8%1.1M-20.6M-334.4K0.4915.45N/AN/A1,37467478,10233,724
2008-05-16$23.36$20.0047.6%13.6%52.1%53.7%47.6%4.6%2.4%1.5M-38.1M-358.0K0.4715.09N/AN/A1,97091678,57033,662
2008-05-19$23.39$20.0047.0%13.5%52.2%52.1%47.1%0.9%1.0%1.5M-37.2M-351.2K0.8316.71N/AN/A2,8502,37870,51430,538
2008-05-20$23.99$20.0045.2%13.0%53.4%47.5%45.7%2.6%2.2%1.7M-45.7M-365.0K0.2815.78N/AN/A1,51442471,72230,440
2008-05-21$23.55$20.0045.9%13.2%52.3%48.1%45.9%0.7%2.6%1.6M-41.4M-353.9K0.209.88N/AN/A4,09482672,51830,552
2008-05-22$23.05$20.0044.6%12.8%47.5%44.6%44.9%1.8%3.0%1.5M-32.6M-337.8K0.228.45N/AN/A1,59634472,02230,524
2008-05-23$22.64$20.0044.0%12.6%47.9%43.0%44.8%1.3%3.6%1.3M-24.8M-323.1K1.1516.09N/AN/A24428071,86430,638
2008-05-27$21.52$20.0046.7%13.4%50.8%50.2%46.2%-0.1%2.7%964.9K-11.2M-283.4K0.2011.76N/AN/A1,42829071,94830,456
2008-05-28$21.49$20.0044.9%12.9%46.6%45.5%46.9%2.0%3.9%948.9K-10.3M-277.5K0.2111.06N/AN/A6,8281,44672,53830,326
2008-05-29$20.71$20.0047.0%13.5%47.3%50.9%45.6%3.5%2.2%791.3K-1.4M-255.9K0.589.94N/AN/A1,06061074,97030,374
2008-05-30$21.20$20.0044.2%12.7%46.8%43.4%43.8%1.4%4.9%903.0K-6.7M-264.2K0.2111.71N/AN/A2,03042875,43030,398