Gold (GC) Option Volatility Analysis

Daily Gold Option Analysis - Thu, November 8, 2001
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Month
DEC
Futures
Closing Price
277.10
Days Left
2
Implied ATM
Volatility
13.14%
Last Trading Date
Fri, Nov. 9, 2001

Historical v. Implied Volatility Graphs
Historical Volatility Tables
Implied Standard Deviations

DEC Implied Volatility v. 2-Week Historical Volatility
November 28, 2000 - November 8, 2001

Days to Options Expiration v. Volatility (percent)
Solid line is Implied Volatility

DEC Futures
November 28, 2000 - November 8, 2001

Days to Options Expiration v. Futures Price

Historical Volatilities for GC

1-Week 2-Week 1-Month 6-Week 2-Month 3-Month 4-Month 6-Month

DEC
16.93%
10.27%
15.41%
17.79%
12.28%
14.86%
13.93%
13.95%

	1-Week	2-Week	1-Month	6-Week	2-Month	3-Month	4-Month	6-Month
DEC	16.93%	10.27%	15.41%	17.79%	12.28%	14.86%	13.93%	13.95%

Implied Standard Deviations for GC

1-Day 3-Day 1-Week 2-Week 1-Month 2-Month 3-Month ATM Vol.

DEC
2.25
3.90
5.96
8.43
12.34
17.60
21.50
13.14%

	1-Day	3-Day	1-Week	2-Week	1-Month	2-Month	3-Month	ATM Vol.
DEC	2.25	3.90	5.96	8.43	12.34	17.60	21.50	13.14%

DEC - GC Top

SETTLE (CLOSE)

FAIR VALUE

TICKS OVER FAIR

IMPLIED VOLATILITY

IMPLIED DELTA

VEGA

GAMMA

THETA

C/R

STRIKE

Call

Put

Call

Put

Call

Put

Call

Put

Call

Put

(ticks)

240
245
250
255
260
265
270
275*
280
285
290
295
300
305
310
315
320
325

3710
3210
2710
2210
1710
1210
710
260
30
10
10
10
10
10
10
10
10
10

10
10
10
10
10
10
10
50
320
790
1290
1790
2290
2790
3290
3790
4290
4790

3710
3210
2710
2210
1710
1210
711
258
32
1
---
---
---
---
---
---
---
---

---
---
---
---
---
---
1
48
322
791
1290
1790
2290
2790
3290
3790
4290
4790

0
0
0
0
0
0
-1
+2
-2
+9
+10
+10
+10
+10
+10
+10
+10
+10

+10
+10
+10
+10
+10
+10
+9
+2
-2
-1
0
0
0
0
0
0
0
0

----
----
39.10
31.66
24.27
17.16
----
13.36
12.85
19.51
28.76
37.38
45.56
53.39
60.92
68.20
75.26
82.11

76.71
67.10
57.53
47.96
38.33
28.55
18.42
13.35
12.87
10.95
----
----
----
----
42.71
48.63
----
----

*.99
*.98
1.00
1.00
1.00
1.00
*.95
.74
.18
.05
.04
.03
.02
.02
.02
.02
.02
.01

-.01
-.02
-.02
-.02
-.03
-.04
-.05
-.26
-.82
-1.00
*-.96
*-.97
*-.98
*-.98
-1.00
-1.00
*-.98
*-.99

.01
.01
.01
.01
.02
.02
.03
.08
.06
.03
.02
.02
.01
.01
.01
.01
.01
.01

0.2
0.3
0.3
0.5
0.7
1
2
10
8
0.2
1
0.7
0.5
0.4
0.0
0.0
0.2
0.2

9.6
9.5
9.5
9.4
9.3
9.1
8.8
28
20
0.1
9.2
9.3
9.4
9.5
0.4
0.5
9.6
9.6

10
10
10
10
10
10
10
0
0
10
10
10
10
10
10
10
10
10

DEC Fut=277.10 Days=2 atmVol=13.14% IntRate = 6.50%

DEC Volatility Skew
Last Trading Date: November 9, 2001

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