GDX Options History — March 2007

In March 2007, GDX traded between $36.92 and $40.14. ATM implied volatility averaged 29.5%. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 8.6% (HV 20d: 38.1%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.41.

Notable Days

  • 2007-03-14: Highest Volume — 20,100 contracts
  • 2007-03-14: Largest IV drop — 16.0% change
  • 2007-03-05: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.74$36.92$40.14$39.15$39.57
Max Pain$39.82$39.00$40.00$39.00$39.00
ATM IV29.5%25.4%37.3%32.8%25.8%
Expected Move8.6%7.3%10.7%9.4%7.4%
HV 20d38.1%25.7%42.0%35.8%25.7%
HV 60d31.8%30.4%33.0%32.2%30.4%
Term Structure1.0%-2.4%3.4%0.2%3.4%
VWIV29.9%25.0%37.5%33.4%25.9%
Skew 25d1.5%-0.5%2.4%1.1%1.4%
Skew 10d2.7%1.2%4.3%3.3%2.2%
Call IV 25d29.3%24.1%36.9%33.7%25.9%
Put IV 25d30.8%26.5%38.2%34.8%27.3%
Bid-Ask Spread %20.5017.4625.5817.4620.51
Gamma HHI0.180.140.290.210.17
Net GEX-3.3M-8.0M-715.5K-3.1M-1.3M
Net DEX14.2M-24.2M67.7M5.9M-14.6M
Net VEX-504.3K-593.4K-474.3K-484.1K-588.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.086.401.600.08
Total Volume5,026.31871720,1004,955839
Total OI92,836.22777,978108,20186,87996,867

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-03-01$39.15$39.0032.8%9.4%35.8%0.0%33.4%1.1%0.2%-3.1M5.9M-484.1K1.6017.461,9083,04739,41347,466
2007-03-02$37.68$39.0034.4%9.9%38.1%0.0%34.9%-0.5%0.2%-3.4M34.8M-474.3K4.1821.762,98312,46340,72847,839
2007-03-05$36.92$40.0037.3%10.7%38.4%0.0%37.5%1.3%-2.4%-3.2M59.3M-474.7K1.1717.932,0612,42042,17352,731
2007-03-06$38.08$40.0034.3%10.0%40.2%0.0%34.5%1.8%-1.0%-3.9M31.9M-497.8K0.1621.802,22336542,46053,657
2007-03-07$38.09$40.0032.5%9.8%40.1%0.0%34.2%1.4%-0.3%-4.0M28.6M-494.7K1.6922.001,1061,87343,53353,318
2007-03-08$38.35$40.0030.9%9.6%40.1%0.0%33.3%1.8%-1.6%-4.4M28.9M-482.2K1.4124.029451,33343,98853,421
2007-03-09$38.03$40.0029.9%9.0%39.0%0.0%31.3%0.4%0.3%-4.8M34.7M-486.9K2.7618.605131,41844,44154,385
2007-03-12$38.65$40.0030.4%8.9%39.6%0.0%31.5%1.5%0.5%-5.4M21.6M-481.2K1.7122.972,3754,06244,60955,298
2007-03-13$37.15$40.0034.2%9.2%41.7%0.0%32.1%1.8%-0.3%-5.0M67.7M-504.0K1.9119.272,0083,82846,61658,636
2007-03-14$37.36$40.0028.7%9.3%41.2%0.0%31.9%1.9%-0.2%-5.6M64.5M-493.1K6.4020.672,71617,38444,54958,917
2007-03-15$38.24$40.0030.8%8.8%41.8%0.0%30.4%1.5%0.7%-8.0M36.2M-527.8K0.5320.982,2061,16444,99263,209
2007-03-16$38.36$40.0030.1%8.6%41.6%0.0%30.3%1.6%1.0%-7.5M28.1M-500.7K0.9120.154,3984,01443,27262,293
2007-03-19$38.85$40.0027.5%7.9%42.0%0.0%27.1%0.9%2.0%-2.6M9.0M-493.5K0.6425.582,2641,43831,25246,726
2007-03-20$39.22$40.0026.0%7.4%41.6%0.0%25.9%1.0%2.3%-2.3M1.6M-493.0K1.9220.361,9493,73332,67146,634
2007-03-21$40.11$40.0025.9%7.4%40.2%0.0%25.8%2.4%1.6%-1.2M-19.6M-486.1K0.4417.831,53666933,84348,085
2007-03-22$39.97$40.0025.4%7.3%40.1%0.0%25.1%2.0%2.4%-976.1K-20.3M-495.0K0.2419.152,12051235,47546,795
2007-03-23$39.83$40.0025.5%7.3%40.1%0.0%25.0%2.1%2.9%-996.5K-18.5M-492.4K1.4723.4631846736,58746,819
2007-03-26$40.14$40.0026.3%7.5%39.9%0.0%27.3%1.8%2.3%-715.5K-24.2M-480.6K0.3919.5051420336,71147,072
2007-03-27$39.45$40.0026.7%7.6%30.6%0.0%27.1%1.8%2.6%-1.3M-13.0M-482.2K0.9518.565,4125,16736,94347,207
2007-03-28$39.64$40.0026.2%7.5%30.2%0.0%26.7%1.9%3.4%-1.3M-15.0M-588.2K0.1219.632,66332441,97852,316
2007-03-29$39.45$39.0026.5%7.6%29.5%0.0%26.1%1.7%2.5%-1.1M-15.0M-593.4K0.4418.731,13650244,04352,429
2007-03-30$39.57$39.0025.8%7.4%25.7%0.0%25.9%1.4%3.4%-1.3M-14.6M-588.8K0.0820.517796044,28152,586