GOLD Options History — August 2008

In August 2008, GOLD traded between $20.86 and $24.82. ATM implied volatility averaged 55.2%, placing in the 71.0% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded below realized volatility by 10.5% (HV 20d: 65.8%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.51.

Notable Days

  • 2008-08-08: Highest Volume — 29,550 contracts
  • 2008-08-08: Largest IV spike — 15.7% change
  • 2008-08-11: Highest IV Rank — 98.9%
  • 2008-08-11: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.40$20.86$24.82$24.82$21.95
Max Pain$20.48$20.00$25.00$25.00$20.00
ATM IV55.2%48.2%64.9%52.0%48.2%
Expected Move15.8%13.8%16.9%14.9%13.8%
HV 20d65.8%56.2%69.9%63.7%56.2%
HV 60d56.4%52.8%58.5%53.2%56.1%
IV Rank71.0%50.7%98.9%61.6%50.7%
IV Percentile72.5%32.9%99.6%58.3%32.9%
Term Structure1.6%-0.5%4.6%2.6%4.6%
VWIV55.6%49.3%61.2%51.9%50.6%
Skew 25d2.1%-2.3%4.2%-2.3%2.2%
Skew 10d3.9%-10.0%9.4%-10.0%0.7%
Call IV 25d54.6%48.3%58.9%53.7%48.3%
Put IV 25d56.7%50.5%61.3%51.4%50.5%
Bid-Ask Spread %12.636.3319.1116.738.79
Gamma HHI0.250.220.320.300.24
Net GEX1.6M844.3K2.3M1.8M1.7M
Net DEX-34.9M-69.6M-1.0M-69.6M-26.9M
Net VEX-342.0K-411.7K-287.5K-341.6K-335.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.091.520.690.10
Total Volume8,057.8153429,5503,370534
Total OI121,988.571111,920152,314111,920121,178

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$24.82$25.0052.0%14.9%63.7%61.6%51.9%-2.3%2.6%1.8M-69.6M-341.6K0.6916.73N/AN/A2,0001,37074,70837,212
2008-08-04$23.79$20.0057.4%16.7%65.7%77.2%58.5%-0.2%-0.4%1.5M-47.5M-328.4K0.4612.16N/AN/A5,0302,30074,62237,678
2008-08-05$23.36$20.0056.8%16.3%66.1%75.5%57.3%-1.6%1.4%1.5M-42.4M-337.9K0.5413.72N/AN/A2,2281,19677,33238,564
2008-08-06$24.14$20.0054.0%15.8%66.9%67.5%55.0%0.2%1.8%1.9M-57.5M-345.1K0.6413.87N/AN/A1,7181,10078,28638,510
2008-08-07$23.86$20.0050.7%15.6%66.4%58.1%54.7%0.3%1.7%1.9M-51.1M-333.5K0.6312.48N/AN/A95659878,31838,882
2008-08-08$21.43$20.0058.7%16.3%69.6%81.1%56.4%2.0%0.4%844.3K-7.7M-287.5K0.1918.19N/AN/A24,7304,82078,19439,034
2008-08-11$20.86$20.0064.9%16.9%63.4%98.9%58.7%2.7%-0.5%880.6K-1.0M-287.9K0.6313.19N/AN/A9,5065,99296,45240,402
2008-08-12$21.33$20.0061.1%16.3%64.6%87.9%56.8%3.0%-0.1%1.1M-13.4M-306.1K0.1118.49N/AN/A19,1822,07891,49641,674
2008-08-13$22.89$20.0055.0%16.4%69.9%70.4%56.5%4.2%1.7%2.3M-51.1M-361.4K0.1813.44N/AN/A8,1541,43297,17240,070
2008-08-14$22.77$20.0058.8%16.9%69.8%81.2%61.0%4.0%0.5%2.1M-53.6M-381.2K0.4913.12N/AN/A16,1807,998101,12840,078
2008-08-15$22.21$20.0058.9%16.9%69.8%81.5%61.1%3.7%0.5%1.9M-38.1M-411.7K0.3619.11N/AN/A7,2102,600107,36044,954
2008-08-18$21.94$20.0058.8%16.9%68.7%81.3%61.2%4.2%0.0%1.6M-37.4M-361.1K0.2911.79N/AN/A4,9921,46484,25630,140
2008-08-19$21.65$20.0055.9%16.0%68.1%72.9%55.7%3.7%0.8%1.7M-34.8M-347.3K0.456.33N/AN/A3,3281,48685,70030,490
2008-08-20$21.64$22.5054.2%15.5%68.0%68.2%54.0%4.0%1.8%1.5M-24.9M-339.9K0.256.98N/AN/A1,09827081,31031,232
2008-08-21$22.18$20.0054.8%15.7%67.0%69.8%54.6%2.4%1.1%1.6M-32.0M-349.6K0.098.78N/AN/A9,85890480,92431,094
2008-08-22$21.73$20.0052.3%15.0%65.4%62.6%54.1%3.2%2.9%1.6M-27.4M-344.1K1.5210.65N/AN/A1,6182,45284,46431,486
2008-08-25$21.68$20.0055.0%15.8%65.3%70.4%55.0%2.3%1.3%1.6M-26.3M-340.9K0.9410.85N/AN/A1,8421,72484,71033,008
2008-08-26$21.59$22.5052.9%15.2%64.4%64.2%53.5%2.0%3.2%1.5M-22.8M-335.4K0.8412.99N/AN/A2,7442,29884,98833,626
2008-08-27$22.18$20.0050.6%14.5%65.3%57.7%51.1%2.5%3.8%1.7M-32.4M-350.1K0.6810.66N/AN/A1,5081,03085,87834,472
2008-08-28$22.48$20.0048.9%14.0%56.5%52.8%49.3%2.6%3.8%1.8M-36.0M-354.8K0.6912.99N/AN/A1,00068685,75634,922
2008-08-29$21.95$20.0048.2%13.8%56.2%50.7%50.6%2.2%4.6%1.7M-26.9M-335.8K0.108.79N/AN/A4864885,82035,358