GOLD Options History — September 2008

In September 2008, GOLD traded between $16.23 and $23.26. ATM implied volatility averaged 69.3%, placing in the 85.2% IV rank vs the trailing year. The 30-day expected move averaged 19.8%. IV traded below realized volatility by 8.6% (HV 20d: 77.9%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.92.

Notable Days

  • 2008-09-09: Highest Volume — 16,718 contracts
  • 2008-09-29: Largest IV spike — 17.7% change
  • 2008-09-09: Highest IV Rank — 100.0%
  • 2008-09-29: Largest Expected Move — 23.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.33$16.23$23.26$20.09$20.52
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV69.3%54.7%82.4%54.7%79.5%
Expected Move19.8%15.7%23.6%15.7%22.8%
HV 20d77.9%51.8%101.4%62.2%96.1%
HV 60d67.5%58.6%76.1%58.9%75.3%
IV Rank85.2%69.4%100.0%69.4%93.1%
IV Percentile96.0%70.6%100.0%70.6%99.6%
Term Structure-2.8%-8.8%2.4%2.4%-4.9%
VWIV68.8%54.7%82.5%54.7%81.2%
Skew 25d4.6%0.9%8.7%1.8%8.7%
Skew 10d8.9%-2.3%17.7%-0.7%17.7%
Call IV 25d66.9%53.9%79.8%53.9%76.4%
Put IV 25d71.6%55.7%88.0%55.7%85.1%
Bid-Ask Spread %16.547.8734.8712.5013.55
Gamma HHI0.250.180.670.210.24
Net GEX765.7K45.1K3.3M1.1M601.7K
Net DEX-3.2M-42.9M31.5M2.0M-21.7M
Net VEX-250.9K-324.5K-156.4K-270.5K-286.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.162.022.021.13
Total Volume6,207.9051,56816,7187,9241,568
Total OI113,642.09574,192139,840121,19884,346

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$20.09$20.0054.7%15.7%62.2%69.4%54.7%1.8%2.4%1.1M2.0M-270.5K2.0212.50N/AN/A2,6245,30085,81235,386
2008-09-03$19.40$20.0055.7%16.0%62.8%71.3%54.7%3.8%0.3%881.9K8.5M-249.1K0.967.87N/AN/A3,5023,37286,56834,314
2008-09-04$18.47$20.0059.9%17.2%62.3%83.5%58.6%2.4%-1.5%576.2K17.4M-224.4K0.4112.29N/AN/A2,01083287,74634,354
2008-09-05$18.48$20.0059.0%17.2%62.5%77.5%58.8%3.9%-1.4%560.0K18.1M-221.2K0.8011.05N/AN/A1,4841,19288,00034,290
2008-09-08$18.08$20.0063.5%17.7%51.8%93.6%60.4%2.5%-1.3%428.8K21.3M-205.4K1.9011.85N/AN/A3,0345,76687,86234,458
2008-09-09$16.23$20.0074.5%19.5%62.4%100.0%65.5%2.5%-4.6%45.1K31.5M-156.4K0.3515.83N/AN/A12,4144,30488,47035,108
2008-09-10$17.18$20.0067.2%19.0%66.0%80.3%67.0%5.3%-3.8%323.5K21.2M-203.4K1.4016.82N/AN/A3,1104,34496,66235,044
2008-09-11$16.66$20.0067.0%19.2%58.8%79.7%68.1%4.6%-3.2%189.6K22.9M-192.5K0.9010.78N/AN/A1,9901,79097,61635,740
2008-09-12$17.80$20.0067.3%19.3%65.7%79.4%63.6%6.6%-3.5%403.9K14.8M-220.0K0.5218.56N/AN/A3,7241,93698,11235,864
2008-09-15$16.90$20.0073.8%21.1%67.1%97.9%74.3%6.0%-5.7%290.2K18.3M-204.4K1.9214.64N/AN/A1,0281,97298,90636,226
2008-09-16$17.05$20.0074.3%21.3%67.6%99.4%75.4%5.3%-5.9%305.9K17.5M-204.5K0.9217.34N/AN/A1,9661,80099,46636,422
2008-09-17$19.18$20.0078.6%22.5%81.8%100.0%80.6%6.0%-8.8%1.0M-6.6M-266.4K0.1619.25N/AN/A12,5941,96899,85636,432
2008-09-18$19.79$20.0076.4%21.9%82.9%94.4%76.5%0.9%-7.1%1.6M-19.8M-279.9K0.3630.90N/AN/A6,0062,160102,51637,324
2008-09-19$19.98$20.0071.6%20.5%82.4%81.9%71.0%3.0%-5.7%3.3M-18.4M-271.0K0.7530.68N/AN/A3,2022,408102,38037,414
2008-09-22$23.26$20.0071.2%20.4%99.1%80.8%70.8%4.1%-3.6%852.0K-42.9M-309.1K0.4218.88N/AN/A5,2962,20250,86623,326
2008-09-23$22.51$20.0072.4%20.8%99.9%84.0%75.3%4.2%-1.0%795.3K-40.1M-308.5K0.529.99N/AN/A8,0124,19052,36024,542
2008-09-24$22.23$20.0068.2%19.6%100.1%73.1%68.0%6.3%1.4%870.2K-40.8M-324.5K1.2511.31N/AN/A8081,00657,07626,738
2008-09-25$21.13$20.0068.1%19.5%101.2%72.8%67.8%6.0%0.2%705.6K-26.9M-294.2K1.1512.58N/AN/A1,6061,85254,97826,902
2008-09-26$20.55$20.0070.1%20.1%101.4%77.9%70.1%5.4%-0.2%622.2K-21.8M-287.1K0.6915.90N/AN/A2,2261,53455,48027,474
2008-09-29$20.40$20.0082.4%23.6%101.2%100.0%82.5%8.2%-2.0%575.5K-21.1M-289.3K0.8634.87N/AN/A1,2001,03456,02028,028
2008-09-30$20.52$20.0079.5%22.8%96.1%93.1%81.2%8.7%-4.9%601.7K-21.7M-286.6K1.1313.55N/AN/A73683255,89628,450