GDX Options History — June 2007

In June 2007, GDX traded between $37.10 and $40.06. ATM implied volatility averaged 27.0%. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 0.3% (HV 20d: 26.7%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.66.

Notable Days

  • 2007-06-07: Highest Volume — 21,543 contracts
  • 2007-06-14: Largest IV spike — 21.1% change
  • 2007-06-07: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.55$37.10$40.06$40.06$37.89
Max Pain$38.95$38.00$40.00$40.00$39.00
ATM IV27.0%24.2%29.8%24.2%25.5%
Expected Move8.2%6.9%9.4%6.9%7.3%
HV 20d26.7%23.8%28.5%25.9%23.8%
HV 60d23.7%22.9%24.4%23.9%24.0%
Term Structure1.9%0.4%5.1%2.8%3.8%
VWIV28.5%25.3%32.6%25.3%25.6%
Skew 25d1.4%0.1%2.2%0.9%1.5%
Skew 10d2.8%0.3%5.4%1.6%0.3%
Call IV 25d27.7%23.7%31.8%23.7%24.5%
Put IV 25d29.2%24.7%32.9%24.7%26.0%
Bid-Ask Spread %20.3614.5928.6215.9516.36
Gamma HHI0.240.140.330.140.25
Net GEX-3.9M-8.4M-548.6K-548.6K-3.4M
Net DEX64.1M-22.9M142.1M-22.9M71.0M
Net VEX-813.4K-885.1K-616.2K-616.2K-849.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.660.2921.642.751.00
Total Volume5,720.7621,08421,5439,5741,317
Total OI130,526.905101,905160,531119,471118,628

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-06-01$40.06$40.0024.2%6.9%25.9%0.0%25.3%0.9%2.8%-548.6K-22.9M-616.2K2.7515.952,5537,02161,39558,076
2007-06-04$40.05$38.0025.4%8.0%25.9%0.0%28.0%1.8%1.8%-967.4K-13.8M-646.4K4.4321.401,5156,71061,73461,795
2007-06-05$39.73$38.0026.3%8.1%25.9%0.0%29.0%1.2%1.9%-2.2M8.9M-706.0K21.6419.1375916,42862,53867,784
2007-06-06$39.33$39.0027.1%8.7%26.0%0.0%30.3%1.7%1.2%-3.3M33.3M-730.0K5.5423.942,61314,46562,65372,933
2007-06-07$38.01$39.0028.3%9.4%28.5%0.0%32.6%0.9%0.4%-5.1M94.6M-815.1K3.8423.534,44917,09463,89183,307
2007-06-08$38.29$39.0027.1%9.2%27.1%0.0%31.9%1.6%0.5%-7.4M115.0M-885.1K1.0822.332,0482,20765,70194,290
2007-06-11$38.23$39.0029.1%9.1%26.7%0.0%31.7%0.9%1.1%-6.7M107.6M-867.1K0.9920.7184082866,84493,668
2007-06-12$37.43$39.0028.0%9.1%26.9%0.0%31.5%1.3%1.0%-7.6M142.1M-828.3K0.5520.471,8921,04866,78193,543
2007-06-13$37.99$39.0024.6%9.0%27.6%0.0%31.2%2.2%1.5%-8.4M114.6M-830.5K6.5819.411961,29067,78092,751
2007-06-14$38.38$39.0029.8%8.6%27.3%0.0%29.7%1.7%1.3%-5.2M92.7M-837.8K0.6420.311,45993567,88291,423
2007-06-15$39.09$39.0028.7%8.2%28.0%0.0%29.3%1.4%1.8%-4.7M63.9M-858.7K0.3919.603,1691,23967,89791,753
2007-06-18$38.98$39.0027.5%7.9%27.1%0.0%27.0%1.7%1.9%-2.7M44.3M-834.9K0.7023.703,6132,51737,06264,843
2007-06-19$39.47$39.0027.4%7.9%27.2%0.0%26.9%2.1%1.6%-2.2M29.3M-850.2K0.8720.311,8681,61639,16065,891
2007-06-20$38.69$39.0025.1%7.2%27.6%0.0%25.4%0.9%5.1%-2.6M45.8M-851.4K1.4728.628271,21440,26366,959
2007-06-21$39.15$39.0026.9%7.7%27.6%0.0%27.2%1.8%1.6%-2.6M44.0M-857.5K0.8417.533,9683,32640,88567,913
2007-06-22$38.79$39.0026.3%7.5%25.2%0.0%26.4%2.1%2.7%-2.7M47.2M-878.9K0.8516.8559950944,04170,874
2007-06-25$37.85$39.0027.1%7.8%26.7%0.0%27.0%0.1%2.3%-3.1M67.8M-851.2K0.4520.3385538744,41671,171
2007-06-26$37.10$39.0027.8%8.0%27.5%0.0%27.5%1.6%1.9%-3.2M96.8M-806.9K0.3322.622,96698544,71971,458
2007-06-27$37.40$39.0027.5%7.9%27.7%0.0%27.6%1.2%2.3%-3.2M85.3M-836.0K0.2919.841,34038745,75672,194
2007-06-28$37.63$39.0027.2%7.8%25.3%0.0%27.0%1.7%2.0%-3.2M77.8M-843.9K0.6414.5965942546,08772,326
2007-06-29$37.89$39.0025.5%7.3%23.8%0.0%25.6%1.5%3.8%-3.4M71.0M-849.8K1.0016.3665865946,05372,575