GDX Options History — February 2007

In February 2007, GDX traded between $39.31 and $42.35. ATM implied volatility averaged 28.8%. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 2.5% (HV 20d: 26.4%). Max pain ranged from $37.00 to $39.00. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 1.36.

Notable Days

  • 2007-02-27: Highest Volume — 24,246 contracts
  • 2007-02-05: Largest IV spike — 129.2% change
  • 2007-02-05: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.41$39.31$42.35$39.85$39.90
Max Pain$38.26$37.00$39.00$38.00$39.00
ATM IV28.8%25.2%60.5%26.9%32.5%
Expected Move8.3%7.2%15.9%7.7%9.3%
HV 20d26.4%23.0%35.5%26.8%35.5%
Term Structure0.3%-15.1%2.9%1.2%-0.9%
VWIV27.7%25.1%34.4%25.7%31.3%
Skew 25d3.0%0.6%30.0%2.0%2.5%
Skew 10d5.5%1.4%46.6%3.4%4.3%
Call IV 25d27.1%23.9%33.9%26.2%30.9%
Put IV 25d30.1%25.6%59.5%28.2%33.4%
Bid-Ask Spread %23.2111.46107.7316.4522.54
Gamma HHI0.160.110.200.130.19
Net GEX440.3K-2.5M2.3M-343.2K-2.5M
Net DEX-51.8M-82.4M-13.9M-42.8M-13.9M
Net VEX-311.1K-468.6K-249.7K-260.9K-468.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.085.880.080.46
Total Volume5,184.63267724,2463,7874,650
Total OI67,061.15857,52484,22460,41384,224

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-02-01$39.85$38.0026.9%7.7%26.8%0.0%25.7%2.0%1.2%-343.2K-42.8M-260.9K0.0816.453,50827929,19131,222
2007-02-02$39.32$37.0026.4%8.3%26.4%0.0%29.4%1.8%-0.2%-839.6K-37.3M-273.7K5.8821.071,6269,56931,16131,258
2007-02-05$39.48$38.0060.5%15.9%25.7%0.0%28.0%30.0%-15.1%-917.5K-29.0M-296.5K2.09107.7326354930,37031,628
2007-02-06$39.73$38.0026.8%8.3%25.7%0.0%29.2%1.5%0.7%-93.3K-39.4M-266.5K0.5519.3751428530,43531,977
2007-02-07$39.31$38.0027.3%8.1%26.0%0.0%28.5%1.1%1.4%-359.6K-34.2M-266.5K0.7723.1038229530,62832,104
2007-02-08$40.26$38.0027.8%8.0%26.3%0.0%27.9%1.9%1.5%1.3M-50.8M-249.7K0.9620.773,5733,42030,86032,236
2007-02-09$40.11$38.0026.9%7.7%26.5%0.0%27.0%0.8%2.0%1.0M-57.1M-270.9K1.0519.871,7431,83634,03532,328
2007-02-12$39.61$38.0026.6%7.6%25.8%0.0%27.7%1.0%2.3%459.6K-41.2M-273.3K0.7423.5765448133,35933,826
2007-02-13$40.23$38.0026.8%7.7%25.8%0.0%27.5%1.3%1.9%1.8M-56.7M-257.0K0.9116.688,0057,30633,59032,947
2007-02-14$40.89$38.0026.0%7.5%26.2%0.0%27.1%0.8%2.9%2.3M-74.7M-325.0K0.8317.081,16596440,53438,882
2007-02-15$41.20$38.0026.0%7.4%24.6%0.0%25.8%1.7%1.6%2.2M-82.4M-316.4K2.0516.777561,55039,89339,261
2007-02-16$40.94$38.0025.6%7.3%24.7%0.0%25.5%0.6%2.1%2.3M-74.9M-327.5K0.4516.441,14451140,02540,388
2007-02-20$40.08$38.0025.2%7.2%26.1%0.0%25.1%2.1%0.9%-307.2K-44.1M-320.1K0.9316.821,9171,77732,26925,255
2007-02-21$41.57$39.0025.5%7.3%23.7%0.0%26.0%1.0%1.5%756.2K-67.5M-319.9K1.0011.463,3163,30933,19326,474
2007-02-22$41.80$39.0025.9%7.4%23.5%0.0%26.9%1.4%1.1%822.5K-69.0M-350.8K0.6314.611,48793234,65229,057
2007-02-23$41.83$39.0025.2%7.2%23.0%0.0%26.6%2.7%1.3%890.1K-70.0M-350.0K0.7817.992,0451,60034,82829,448
2007-02-26$42.35$39.0026.5%7.6%23.2%0.0%27.3%2.5%0.2%1.1M-77.2M-335.1K2.2114.748891,96234,99030,619
2007-02-27$39.35$39.0033.5%9.6%35.4%0.0%34.4%1.3%-0.8%-1.2M-23.0M-381.5K3.5023.985,38718,85935,02931,986
2007-02-28$39.90$39.0032.5%9.3%35.5%0.0%31.3%2.5%-0.9%-2.5M-13.9M-468.6K0.4622.543,1751,47537,69146,533