GDX Options History — May 2007

In May 2007, GDX traded between $37.95 and $40.98. ATM implied volatility averaged 26.7%. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 3.2% (HV 20d: 23.6%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.99.

Notable Days

  • 2007-05-17: Highest Volume — 11,238 contracts
  • 2007-05-10: Largest IV spike — 6.2% change
  • 2007-05-17: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.36$37.95$40.98$39.30$39.16
Max Pain$40.14$40.00$41.00$41.00$40.00
ATM IV26.7%24.4%28.7%27.9%25.9%
Expected Move7.7%7.0%8.2%8.0%7.4%
HV 20d23.6%21.9%24.9%21.9%24.7%
HV 60d27.9%23.5%29.6%29.1%23.5%
Term Structure1.3%0.1%2.6%0.9%1.8%
VWIV26.9%24.5%29.0%27.5%25.1%
Skew 25d1.5%-0.6%3.0%2.0%1.8%
Skew 10d2.9%-0.2%10.0%2.4%2.2%
Call IV 25d26.4%23.7%29.1%27.3%24.6%
Put IV 25d27.9%25.9%29.5%29.3%26.4%
Bid-Ask Spread %16.4212.8219.3814.9217.28
Gamma HHI0.160.130.230.150.15
Net GEX-1.1M-3.0M436.8K-1.3M-2.0M
Net DEX19.2M-40.7M60.6M30.9M15.2M
Net VEX-637.1K-719.6K-559.7K-666.7K-611.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.107.600.190.31
Total Volume3,130.77373011,2384,5591,998
Total OI115,912.545109,997130,940110,303118,232

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-05-01$39.30$41.0027.9%8.0%21.9%0.0%27.5%2.0%0.9%-1.3M30.9M-666.7K0.1914.923,81874155,65154,652
2007-05-02$40.36$41.0026.8%7.7%23.8%0.0%26.5%2.6%0.6%-582.7K-9.3M-708.7K0.2715.082,00154258,84854,596
2007-05-03$40.71$41.0026.2%7.5%23.2%0.0%26.3%2.0%1.2%-208.4K-26.5M-709.2K0.8816.501,2671,12059,25654,600
2007-05-04$40.71$40.0025.1%7.9%23.2%0.0%27.6%0.1%0.9%-249.7K-27.0M-719.6K0.1512.821,98229760,21555,427
2007-05-07$40.98$40.0026.7%8.0%23.3%0.0%27.5%0.7%0.6%-65.8K-40.7M-694.9K0.4414.153,1621,39059,90455,471
2007-05-08$40.75$40.0026.7%7.8%23.2%0.0%27.8%1.5%1.1%-110.5K-31.1M-689.0K1.0116.9636336762,19054,593
2007-05-09$40.60$40.0025.9%7.9%23.1%0.0%27.5%1.1%0.1%-850.3K-21.2M-668.3K0.1615.951,31921159,76254,730
2007-05-10$39.48$40.0027.5%7.9%24.9%0.0%27.6%0.1%0.5%-1.3M26.1M-630.6K0.8017.531,3101,04660,10354,788
2007-05-11$39.92$40.0027.5%7.9%23.3%0.0%27.1%1.5%0.3%-1.6M11.2M-637.9K2.0917.9633870660,39555,132
2007-05-14$39.16$40.0028.1%8.1%23.2%0.0%28.6%2.1%0.1%-1.2M40.2M-592.7K1.9318.841,0061,94660,44055,038
2007-05-15$39.07$40.0028.4%8.1%22.9%0.0%29.0%-0.6%1.5%-877.3K44.3M-599.9K0.1019.384,24443160,88756,264
2007-05-16$38.44$40.0027.9%8.0%23.3%0.0%27.9%2.3%2.6%-172.4K52.7M-598.0K1.0316.582,6212,70663,99156,289
2007-05-17$38.26$40.0028.7%8.2%22.1%0.0%28.7%0.2%2.0%-162.1K59.5M-610.2K7.6018.261,3079,93165,47957,366
2007-05-18$39.01$40.0027.0%7.7%23.1%0.0%26.8%1.9%2.6%436.8K45.4M-653.0K0.3516.844,4641,54566,26464,676
2007-05-21$39.47$40.0026.3%7.5%23.6%0.0%26.4%1.3%1.3%-904.3K3.3M-646.0K0.1515.632,21234155,78254,215
2007-05-22$38.86$40.0024.9%7.1%23.8%0.0%25.3%1.7%2.6%-1.7M26.1M-621.1K1.1918.719461,12956,54754,367
2007-05-23$39.32$40.0024.4%7.0%23.8%0.0%24.5%1.1%1.7%-1.3M10.5M-633.1K0.1817.031,68630057,11155,176
2007-05-24$38.09$40.0025.9%7.4%24.9%0.0%26.7%1.0%2.3%-2.3M48.7M-595.7K1.6413.191,2492,04957,98055,224
2007-05-25$38.26$40.0025.9%7.4%24.8%0.0%25.0%3.0%2.2%-2.7M49.0M-599.0K0.3614.8368224458,93456,767
2007-05-29$37.95$40.0027.0%7.7%24.1%0.0%26.5%1.9%1.6%-2.8M53.8M-572.3K0.2215.111,03522559,31756,808
2007-05-30$37.99$40.0027.2%7.8%24.1%0.0%25.9%2.7%0.8%-3.0M60.6M-559.7K0.7817.771,4591,14159,71656,893
2007-05-31$39.16$40.0025.9%7.4%24.7%0.0%25.1%1.8%1.8%-2.0M15.2M-611.2K0.3117.281,52047860,39657,836