GOLD Options History — November 2008

In November 2008, GOLD traded between $13.10 and $19.11. ATM implied volatility averaged 102.7%, placing in the 58.2% IV rank vs the trailing year. The 30-day expected move averaged 29.0%. IV traded below realized volatility by 50.1% (HV 20d: 152.8%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.40.

Notable Days

  • 2008-11-24: Highest Volume — 13,094 contracts
  • 2008-11-12: Largest IV spike — 20.7% change
  • 2008-11-20: Highest IV Rank — 74.0%
  • 2008-11-20: Largest Expected Move — 34.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.68$13.10$19.11$16.14$19.11
Max Pain$18.95$15.00$20.00$15.00$20.00
ATM IV102.7%88.0%119.7%108.4%88.0%
Expected Move29.0%25.2%34.3%31.1%25.2%
HV 20d152.8%134.4%167.3%161.2%135.9%
HV 60d125.9%113.8%135.3%113.8%134.5%
IV Rank58.2%44.5%74.0%63.4%44.5%
IV Percentile91.4%84.1%97.2%92.9%84.1%
Term Structure-3.9%-9.4%1.0%-7.3%1.0%
VWIV96.8%82.6%112.3%95.2%87.9%
Skew 25d16.6%8.3%21.4%21.2%13.8%
Skew 10d31.6%15.6%39.8%39.8%23.9%
Call IV 25d92.8%80.7%108.7%93.8%84.0%
Put IV 25d109.4%97.8%124.8%115.0%97.8%
Bid-Ask Spread %18.1311.7227.4023.2811.72
Gamma HHI0.150.110.210.160.20
Net GEX379.0K79.2K785.4K443.8K647.3K
Net DEX2.2M-17.7M16.8M-1.3M-17.1M
Net VEX-171.9K-241.5K-118.4K-195.5K-216.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.050.940.110.62
Total Volume3,849.36869013,0944,4361,822
Total OI105,01095,368114,06899,39695,688

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-11-03$16.14$15.00108.4%31.1%161.2%63.4%95.2%21.2%-7.3%443.8K-1.3M-195.5K0.1123.28N/AN/A3,98245471,25228,144
2008-11-04$18.27$15.0093.3%26.7%167.3%49.4%89.0%18.0%-3.3%785.4K-17.7M-241.5K0.1327.40N/AN/A3,73649274,35628,524
2008-11-05$16.72$15.0089.1%25.5%152.2%45.6%88.8%17.5%-1.1%601.7K-5.6M-204.1K0.6526.15N/AN/A1,7701,14475,01028,714
2008-11-06$14.38$15.00102.1%29.3%158.7%57.6%101.2%17.0%-5.9%276.5K8.8M-154.7K0.7621.97N/AN/A3,3722,56074,22029,140
2008-11-07$15.43$20.0097.7%27.0%158.7%53.5%86.2%19.6%-2.4%372.4K5.9M-166.7K0.6818.79N/AN/A58840275,03430,244
2008-11-10$16.18$20.0099.1%26.8%158.9%54.9%82.6%18.1%-2.0%466.0K1.5M-178.3K0.0922.27N/AN/A1,92616474,25430,504
2008-11-11$15.09$20.0098.3%26.8%160.4%54.1%91.5%16.9%-2.6%329.5K8.4M-152.3K0.1718.61N/AN/A2,14236275,26230,532
2008-11-12$13.68$20.00118.6%30.5%155.9%72.9%93.1%16.9%-6.8%181.0K13.9M-126.6K0.9414.93N/AN/A1,8581,74676,32830,478
2008-11-13$14.88$20.00101.1%29.0%157.8%56.7%108.0%18.7%-5.1%319.7K8.7M-153.0K0.3811.93N/AN/A3,4721,31277,06831,238
2008-11-14$13.93$20.00102.5%29.4%159.5%57.9%98.5%15.8%-6.1%205.4K13.2M-136.0K0.2214.12N/AN/A1,63236278,55431,836
2008-11-17$13.93$20.00106.8%30.6%157.0%62.0%103.2%17.1%-5.2%227.6K12.4M-138.0K0.1514.24N/AN/A4,38864278,94031,912
2008-11-18$13.85$20.00106.0%30.4%155.4%61.2%97.6%18.6%-5.0%228.7K13.3M-133.9K0.2317.08N/AN/A1,93244281,79832,270
2008-11-19$13.10$20.00115.1%33.0%138.9%69.7%110.1%16.4%-6.6%79.2K16.8M-118.4K0.2813.23N/AN/A1,62246077,49632,348
2008-11-20$13.37$20.00119.7%34.3%137.9%74.0%102.7%16.0%-9.4%81.8K15.6M-125.9K0.5419.59N/AN/A2,8541,53077,67832,422
2008-11-21$16.70$20.00111.4%31.9%155.3%66.2%112.3%21.4%-6.2%356.4K-5.3M-193.3K0.6019.98N/AN/A3,2421,94877,30633,344
2008-11-24$17.42$20.00103.8%29.8%150.8%59.2%103.1%8.3%-3.0%476.1K-9.4M-211.4K0.0517.45N/AN/A12,42666867,07628,292
2008-11-25$17.89$20.0097.5%28.0%147.2%53.3%95.9%12.0%1.0%629.6K-13.2M-220.9K0.2815.92N/AN/A3,9041,09273,83028,530
2008-11-26$17.89$20.0092.7%26.6%134.4%48.8%93.1%11.9%1.0%493.5K-7.9M-199.8K0.8115.79N/AN/A38230866,32429,244
2008-11-28$19.11$20.0088.0%25.2%135.9%44.5%87.9%13.8%1.0%647.3K-17.1M-216.0K0.6211.72N/AN/A1,12869466,41029,278