GDX Options History — January 2007

In January 2007, GDX traded between $36.61 and $39.60. ATM implied volatility averaged 30.1%. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 1.9% (HV 20d: 28.2%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 2.11.

Notable Days

  • 2007-01-05: Highest Volume — 17,119 contracts
  • 2007-01-05: Largest IV spike — 7.5% change
  • 2007-01-08: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.01$36.61$39.60$38.43$39.60
Max Pain$38.75$38.00$40.00$40.00$38.00
ATM IV30.1%26.4%34.4%30.5%26.6%
Expected Move8.8%7.6%10.1%8.7%7.6%
HV 20d28.2%27.5%29.3%29.3%27.5%
Term Structure1.6%0.0%3.7%2.7%2.4%
VWIV30.7%26.7%35.3%30.1%26.7%
Skew 25d1.3%-0.5%2.4%0.7%1.8%
Skew 10d2.0%-9.9%4.0%1.5%2.4%
Call IV 25d30.2%25.1%35.3%30.2%26.4%
Put IV 25d31.5%27.4%36.0%30.9%28.2%
Bid-Ask Spread %19.1614.3724.8524.8522.38
Gamma HHI0.200.140.360.350.14
Net GEX-1.7M-3.0M-654.6K-682.1K-915.4K
Net DEX17.0M-34.3M55.8M10.4M-34.3M
Net VEX-263.2K-285.0K-240.7K-258.6K-261.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.110.1117.610.280.11
Total Volume3,729.7592017,1193,1654,775
Total OI68,957.251,02983,17564,67359,263

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-01-03$38.43$40.0030.5%8.7%0.0%0.0%30.1%0.7%2.7%-682.1K10.4M-258.6K0.2824.852,46370236,50028,173
2007-01-04$37.72$40.0029.4%8.4%0.0%0.0%30.1%-0.5%3.7%-654.6K24.3M-246.4K17.6120.2259710,51637,59828,541
2007-01-05$37.21$39.0031.6%9.9%0.0%0.0%34.7%1.2%0.9%-1.9M48.5M-268.4K6.5317.672,27214,84737,68136,938
2007-01-08$37.30$39.0033.2%10.1%0.0%0.0%35.1%0.2%1.0%-1.9M47.0M-281.4K4.2718.168253,51938,81138,995
2007-01-09$37.05$39.0033.6%10.0%0.0%0.0%35.3%1.3%0.4%-1.6M44.0M-272.8K0.3919.032,19184738,91937,046
2007-01-10$36.61$39.0032.8%10.0%0.0%0.0%35.3%0.4%0.8%-1.8M53.0M-259.4K1.3217.831,9872,62440,19137,530
2007-01-11$36.93$39.0034.4%9.9%0.0%0.0%34.7%1.1%0.8%-2.0M48.6M-281.5K0.7414.8371352540,24339,916
2007-01-12$37.90$39.0032.9%9.4%0.0%0.0%33.2%1.4%0.8%-2.7M33.0M-285.0K1.0414.3768170740,57940,165
2007-01-16$37.52$39.0033.7%9.7%0.0%0.0%33.2%1.8%0.0%-2.7M43.0M-264.3K0.4219.3397541040,97240,633
2007-01-17$37.70$39.0032.9%9.4%0.0%0.0%33.1%1.2%0.1%-3.0M40.0M-262.0K0.6918.2160942341,45440,907
2007-01-18$36.97$39.0030.7%8.8%0.0%0.0%30.7%1.4%1.7%-1.5M55.8M-247.2K2.3520.185721,34741,76740,960
2007-01-19$37.53$39.0029.2%8.4%0.0%0.0%29.1%1.9%1.5%-1.8M45.2M-248.1K0.3219.432,88091841,95941,216
2007-01-22$37.27$38.0028.2%8.1%0.0%0.0%28.4%1.3%1.9%-2.4M11.7M-246.9K1.0020.001,6111,60922,77328,256
2007-01-23$39.10$38.0027.3%7.8%0.0%0.0%27.1%2.4%2.0%-1.8M-17.3M-240.7K0.6419.291,8951,22223,57129,585
2007-01-24$39.56$38.0026.4%7.6%0.0%0.0%27.1%2.2%2.8%-1.1M-30.8M-254.6K0.8919.371,2001,06426,18029,657
2007-01-25$39.15$39.0027.1%7.8%29.3%0.0%27.2%1.2%2.0%-1.5M-21.9M-262.5K0.2323.603,07371525,76430,515
2007-01-26$39.20$38.0027.0%7.7%28.3%0.0%27.2%2.3%1.5%-1.3M-25.7M-276.2K2.0521.2538779227,46730,478
2007-01-29$38.55$38.0027.5%7.9%28.3%0.0%28.0%1.5%2.6%-2.1M-12.7M-276.2K0.8217.5365153127,71231,054
2007-01-30$38.97$38.0027.5%7.9%27.7%0.0%27.7%1.5%1.6%-1.6M-22.5M-269.7K0.4715.6362729327,90431,271
2007-01-31$39.60$38.0026.6%7.6%27.5%0.0%26.7%1.8%2.4%-915.4K-34.3M-261.9K0.1122.384,28748828,15631,107