GOLD Options History — June 2008

In June 2008, GOLD traded between $18.64 and $23.20. ATM implied volatility averaged 47.4%, placing in the 51.2% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 2.1% (HV 20d: 45.3%). 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 16 of 21 days. Put/call ratio averaged 0.70.

Notable Days

  • 2008-06-16: Highest Volume — 14,348 contracts
  • 2008-06-09: Largest IV spike — 10.3% change
  • 2008-06-16: Highest IV Rank — 68.5%
  • 2008-06-16: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.37$18.64$23.20$21.00$23.09
Max Pain$20.36$20.00$22.50$20.00$20.00
ATM IV47.4%40.1%53.6%45.3%47.6%
Expected Move13.7%11.5%15.4%13.0%13.7%
HV 20d45.3%41.0%52.1%46.3%51.9%
HV 60d53.6%45.6%60.0%60.0%48.0%
IV Rank51.2%32.1%68.5%46.5%49.7%
IV Percentile46.4%24.2%73.4%37.3%46.0%
Term Structure2.0%-1.5%5.5%3.8%3.2%
VWIV49.1%40.0%53.7%44.9%47.8%
Skew 25d3.6%-0.9%8.0%2.0%3.1%
Skew 10d6.1%-3.6%17.1%3.3%4.7%
Call IV 25d47.3%40.0%52.3%44.7%47.9%
Put IV 25d50.9%42.7%54.9%46.7%51.0%
Bid-Ask Spread %13.796.0522.159.1820.70
Gamma HHI0.230.180.330.290.24
Net GEX973.4K432.3K2.2M851.7K2.2M
Net DEX-7.3M-60.4M17.9M-4.6M-60.4M
Net VEX-250.6K-340.8K-178.8K-254.4K-340.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.082.632.450.44
Total Volume5,829.90584214,3482,7949,826
Total OI117,084.28699,026144,724106,492112,018

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$21.00$20.0045.3%13.0%46.3%46.5%44.9%2.0%3.8%851.7K-4.6M-254.4K2.459.18N/AN/A8101,98476,23630,256
2008-06-03$21.11$20.0043.6%12.5%45.6%41.5%42.1%2.3%4.2%884.5K-7.4M-251.5K0.487.75N/AN/A3,0901,49276,45429,566
2008-06-04$20.57$20.0043.9%12.6%46.2%42.5%43.2%3.9%3.9%793.6K-1.2M-240.0K0.668.01N/AN/A1,02867678,34030,242
2008-06-05$21.70$20.0040.1%11.5%48.1%32.1%40.0%2.7%5.5%1.1M-15.5M-265.3K0.086.05N/AN/A10,56284278,76630,200
2008-06-06$21.33$22.5042.3%13.3%44.0%38.1%47.7%2.5%2.5%1.3M-14.0M-268.1K0.3713.20N/AN/A2,8881,06685,17630,484
2008-06-09$20.56$22.5046.7%13.9%45.6%49.8%48.4%2.1%3.0%987.9K-2.3M-241.4K0.1815.13N/AN/A1,50026486,00231,224
2008-06-10$19.85$22.5046.5%14.3%46.8%49.3%50.4%1.1%1.6%772.0K5.8M-216.3K0.1819.13N/AN/A4,36079884,28631,210
2008-06-11$19.50$20.0048.7%14.5%47.0%55.3%51.8%-0.9%1.8%704.5K8.9M-207.9K0.389.93N/AN/A60823485,56831,222
2008-06-12$18.65$20.0052.3%15.0%48.1%64.9%52.6%-0.2%1.5%432.3K17.9M-178.8K0.2215.40N/AN/A8,3941,82883,72031,012
2008-06-13$18.82$20.0048.7%14.0%45.2%55.4%51.9%3.5%1.6%633.8K15.8M-181.0K0.8812.08N/AN/A5,0224,41489,85830,882
2008-06-16$18.64$20.0053.6%15.4%41.0%68.5%53.5%2.6%-0.7%491.8K17.0M-189.8K0.9319.32N/AN/A7,4446,90493,88234,602
2008-06-17$19.15$20.0049.3%14.1%43.0%57.0%53.1%5.7%-0.3%651.3K7.3M-234.9K0.7410.25N/AN/A2,1001,54699,78239,456
2008-06-18$19.26$20.0049.8%14.3%41.4%58.3%53.3%5.3%-0.1%693.5K5.7M-240.9K1.0417.96N/AN/A854886100,66040,614
2008-06-19$19.50$20.0049.4%14.2%42.1%57.1%52.2%4.9%-0.2%881.6K2.3M-251.3K0.6722.15N/AN/A3,2742,182100,91641,644
2008-06-20$20.21$20.0049.6%14.2%44.8%57.8%53.7%6.7%-1.5%1.4M-18.9M-269.0K0.5616.91N/AN/A4,2702,398101,69243,032
2008-06-23$20.03$20.0047.6%13.6%44.6%52.2%47.3%8.0%3.3%724.0K-6.7M-258.0K0.7013.42N/AN/A3,7722,65266,32432,702
2008-06-24$20.00$20.0047.9%13.7%41.4%50.8%53.1%6.6%2.3%746.4K-7.7M-271.4K2.6320.01N/AN/A36495669,60035,124
2008-06-25$20.30$20.0046.6%13.4%41.9%47.2%47.7%7.9%2.4%843.9K-8.8M-264.2K0.618.54N/AN/A78248069,70035,374
2008-06-26$21.39$20.0046.7%13.4%44.2%47.3%47.0%4.0%3.2%1.4M-28.4M-305.0K0.2212.76N/AN/A6,1701,35070,11035,362
2008-06-27$23.20$20.0049.1%14.1%52.1%54.2%50.1%2.8%1.7%1.9M-58.3M-332.0K0.3211.72N/AN/A9,3602,99870,11035,362
2008-06-30$23.09$20.0047.6%13.7%51.9%49.7%47.8%3.1%3.2%2.2M-60.4M-340.8K0.4420.70N/AN/A6,8442,98275,46036,558