GDX Options History — July 2007

In July 2007, GDX traded between $38.73 and $43.09. ATM implied volatility averaged 29.4%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 3.9% (HV 20d: 25.5%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.97.

Notable Days

  • 2007-07-19: Highest Volume — 18,326 contracts
  • 2007-07-12: Largest IV spike — 15.2% change
  • 2007-07-27: Highest IV Rank — 31.2%
  • 2007-07-27: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.91$38.73$43.09$38.84$39.94
Max Pain$40.62$39.00$41.00$39.00$41.00
ATM IV29.4%23.9%35.3%23.9%30.5%
Expected Move8.6%6.9%10.1%6.9%8.8%
HV 20d25.5%22.9%31.1%25.8%30.1%
HV 60d25.4%24.4%26.9%24.6%26.9%
IV Rank16.4%1.9%31.2%1.9%18.1%
IV Percentile71.5%2.4%98.6%2.4%81.3%
Term Structure1.7%0.0%5.4%5.4%1.9%
VWIV30.2%24.3%36.8%24.3%29.9%
Skew 25d1.6%0.6%3.8%2.1%2.6%
Skew 10d3.0%-1.0%8.6%3.9%-1.0%
Call IV 25d29.2%23.1%34.4%23.1%28.3%
Put IV 25d30.8%25.1%35.2%25.1%30.8%
Bid-Ask Spread %16.6211.6027.7716.4722.19
Gamma HHI0.220.160.280.250.21
Net GEX-301.3K-3.2M2.6M-3.2M577.9K
Net DEX-24.8M-125.6M45.0M41.7M13.1M
Net VEX-928.6K-1.1M-790.9K-851.6K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.112.480.341.48
Total Volume6,222.1978118,3261,6223,725
Total OI132,912.476118,541155,870118,541144,163

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-07-02$38.84$39.0023.9%6.9%25.8%0.0%24.3%2.1%5.4%-3.2M41.7M-851.6K0.3416.471,20741545,88972,652
2007-07-03$38.73$39.0024.9%7.1%25.7%0.0%24.8%1.6%4.1%-3.2M44.6M-846.2K0.9814.9939538646,42472,919
2007-07-05$39.25$39.0024.6%7.1%25.9%1.9%24.4%2.6%4.3%-2.7M25.1M-837.4K0.9924.664,7944,72546,49473,138
2007-07-06$40.53$39.0025.0%8.5%25.0%3.0%29.5%1.6%1.0%-1.2M-20.0M-946.1K1.4411.603,4965,03350,06176,626
2007-07-09$40.88$41.0027.3%8.8%25.1%9.3%30.9%1.6%0.4%-1.1M-34.9M-941.2K1.5615.551,9753,08051,69680,062
2007-07-10$40.66$41.0028.5%8.8%25.2%12.6%31.2%1.3%0.0%-2.1M-16.9M-944.9K0.5415.201,71792251,28382,090
2007-07-11$40.66$41.0026.4%8.8%23.6%6.7%30.1%1.2%1.1%-2.1M-15.9M-925.2K0.4814.301,20057151,42982,909
2007-07-12$41.28$41.0030.4%8.7%23.6%17.6%30.4%1.5%0.9%-990.9K-44.4M-918.7K0.1112.815,59064251,76383,232
2007-07-13$41.31$41.0030.2%8.6%23.5%17.1%30.3%1.2%0.9%-317.1K-52.0M-928.1K1.1612.331,5161,75855,16783,493
2007-07-16$41.06$41.0030.6%8.8%23.1%18.2%30.7%1.4%0.8%145.6K-40.1M-790.9K2.3814.2329971250,83977,138
2007-07-17$40.82$41.0030.2%8.7%23.2%17.3%30.2%0.9%0.6%437.2K-35.9M-905.7K0.1215.819,4291,13755,19084,821
2007-07-18$42.48$41.0031.4%9.0%26.6%20.6%32.1%1.3%0.6%1.7M-108.3M-919.8K1.1414.834,2344,84363,88084,909
2007-07-19$43.09$41.0031.1%8.9%25.3%19.6%31.0%1.1%0.2%1.5M-125.6M-920.9K0.2316.5414,9513,37564,29188,732
2007-07-20$43.04$41.0030.0%8.6%25.3%16.6%30.3%2.0%1.5%2.6M-112.9M-937.2K0.4014.112,7091,07364,74291,128
2007-07-23$42.99$41.0030.3%8.7%24.8%17.6%30.9%1.9%0.3%1.3M-61.7M-929.6K0.7914.432,1941,72853,27367,961
2007-07-24$42.40$41.0031.4%9.0%23.4%20.5%30.7%1.0%1.4%1.2M-41.0M-947.6K2.4817.291,1062,74653,92168,311
2007-07-25$41.72$41.0030.3%8.7%22.9%17.5%31.0%1.0%0.8%902.8K-19.8M-956.2K1.9516.471,8143,53953,93369,944
2007-07-26$40.30$41.0032.3%9.3%27.0%22.9%32.9%3.8%3.8%-50329.6M-966.7K0.9227.774,2203,86254,82671,814
2007-07-27$39.02$41.0035.3%10.1%29.8%31.2%36.8%0.6%3.2%-336.5K45.0M-984.9K0.5022.379,4704,74756,95773,963
2007-07-30$40.10$41.0032.2%9.2%31.1%22.7%31.9%1.1%2.2%467.2K9.0M-1.0M0.4215.096,5872,74463,15975,940
2007-07-31$39.94$41.0030.5%8.8%30.1%18.1%29.9%2.6%1.9%577.9K13.1M-1.1M1.4822.191,5042,22167,12777,036