GDX Options History — April 2007

In April 2007, GDX traded between $39.56 and $42.88. ATM implied volatility averaged 27.1%. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 7.0% (HV 20d: 20.1%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.11.

Notable Days

  • 2007-04-19: Highest Volume — 18,202 contracts
  • 2007-04-12: Largest IV spike — 9.1% change
  • 2007-04-16: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.13$39.56$42.88$40.15$39.56
Max Pain$40.00$39.00$41.00$39.00$41.00
ATM IV27.1%24.7%29.7%26.4%26.9%
Expected Move7.8%7.1%8.5%7.6%7.7%
HV 20d20.1%16.2%24.5%24.5%22.5%
HV 60d29.6%28.7%30.3%30.3%29.2%
Term Structure1.2%0.0%3.3%3.0%1.4%
VWIV27.5%24.8%30.1%27.4%26.5%
Skew 25d2.0%1.0%2.8%2.7%1.8%
Skew 10d4.2%1.0%9.1%3.1%1.2%
Call IV 25d26.6%23.2%28.2%25.2%26.8%
Put IV 25d28.5%25.8%30.7%28.0%28.6%
Bid-Ask Spread %17.8111.9226.2515.3815.37
Gamma HHI0.160.140.200.150.15
Net GEX1.3M-1.3M3.6M-273.9K-1.2M
Net DEX-48.4M-100.0M19.6M-31.6M19.6M
Net VEX-608.8K-702.9K-541.6K-571.0K-687.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.093.190.541.51
Total Volume4,403.0573318,2028721,183
Total OI105,696.2591,826128,90197,462111,218

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-04-02$40.15$39.0026.4%7.6%24.5%0.0%27.4%2.7%3.0%-273.9K-31.6M-571.0K0.5415.3856630644,82552,637
2007-04-03$40.48$39.0025.4%7.3%22.5%0.0%27.2%1.6%3.3%566.7K-43.9M-566.7K3.1918.961,0313,28445,05052,815
2007-04-04$41.19$39.0025.2%7.2%23.0%0.0%24.8%2.4%2.9%1.6M-61.6M-557.4K0.5917.273,0421,79545,37654,976
2007-04-05$41.17$39.0024.7%7.1%23.1%0.0%24.9%2.7%2.5%1.7M-63.1M-584.5K0.6120.7569442647,54956,455
2007-04-09$41.05$40.0026.5%8.1%22.8%0.0%28.5%1.1%0.4%1.7M-59.9M-552.9K0.7617.0780261046,52354,829
2007-04-10$41.38$40.0026.6%8.2%22.4%0.0%29.0%2.0%0.4%2.1M-67.3M-546.6K1.4826.2529643746,66555,088
2007-04-11$41.10$40.0026.2%8.1%16.2%0.0%28.1%1.8%0.8%2.0M-61.1M-541.6K1.2820.212,4363,12646,68855,387
2007-04-12$41.28$40.0028.6%8.2%16.2%0.0%28.7%2.8%0.2%2.5M-65.4M-589.6K0.9418.6254250848,26557,918
2007-04-13$42.35$40.0029.1%8.3%16.5%0.0%28.2%2.6%1.6%3.2M-90.0M-573.3K1.2816.303,4134,37148,36458,316
2007-04-16$42.88$40.0029.7%8.5%16.7%0.0%30.1%2.5%0.6%3.4M-100.0M-584.6K0.5617.682,8261,57750,55961,983
2007-04-17$42.29$40.0028.5%8.2%17.8%0.0%28.5%1.3%0.6%3.6M-91.4M-594.6K0.0918.115,19546451,72962,965
2007-04-18$42.09$40.0029.0%8.3%18.0%0.0%29.1%1.5%0.1%3.3M-80.8M-582.5K0.1418.891,86926750,17763,283
2007-04-19$41.07$40.0028.3%8.1%19.1%0.0%27.3%2.5%0.2%2.1M-46.5M-581.4K1.0218.609,0099,19349,53263,482
2007-04-20$41.47$40.0028.0%8.0%19.3%0.0%27.6%2.2%0.0%2.2M-60.5M-666.6K0.1418.531,18716856,91571,986
2007-04-23$41.09$40.0026.9%7.7%19.6%0.0%28.0%1.3%1.2%650.3K-31.4M-652.1K1.6711.928761,46147,55244,274
2007-04-24$40.55$40.0026.4%7.6%20.1%0.0%26.1%1.4%0.3%164.5K-16.0M-649.7K3.0817.902,7608,51348,12145,252
2007-04-25$41.01$41.0026.2%7.5%19.3%0.0%25.3%1.0%1.2%-886.6K-19.2M-689.4K0.9717.602,5052,42850,22052,899
2007-04-26$40.06$41.0027.0%7.7%21.2%0.0%27.0%2.0%1.3%-1.3M6.2M-701.3K0.1314.756,34280952,33953,360
2007-04-27$40.34$41.0026.3%7.5%21.3%0.0%26.7%2.3%2.0%-842.4K-5.0M-702.9K2.2816.105321,21254,71253,641
2007-04-30$39.56$41.0026.9%7.7%22.5%0.0%26.5%1.8%1.4%-1.2M19.6M-687.6K1.5115.3747171256,48454,734