On the efficiency of the gold options market. 1984
This 1984 paper looks at the earliest data available on gold options from the European Options Exchange in 1981. It uses the Black-Scholes formulae to assess whether options are over or under-priced. They find that gold options at during this period were over priced, using the implicit volatility from an at the money option as a proxy for true volatility.
Using this information the develop a trading rule but find that the excess returns that can be earned using this information are not statistically significantly different from zero.
Methodology: Black Scholes options pricing models, OLS
Data: Daily gold option data from the European Options Exchange and London PM Fix – 2/4/1981 to 31/12/1981
Citation: Beckers, Stan. “On the efficiency of the gold options market.” Journal of Banking & Finance 8.3 (1984): 459-470.