GDX Options History — August 2007

In August 2007, GDX traded between $34.49 and $40.13. ATM implied volatility averaged 35.0%, placing in the 30.2% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 0.3% (HV 20d: 35.2%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 9 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.79.

Notable Days

  • 2007-08-24: Highest Volume — 11,693 contracts
  • 2007-08-16: Largest IV spike — 62.1% change
  • 2007-08-16: Highest IV Rank — 68.1%
  • 2007-08-16: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.58$34.49$40.13$39.48$37.65
Max Pain$40.30$39.00$41.00$41.00$39.00
ATM IV35.0%29.8%48.8%32.5%29.8%
Expected Move10.2%8.6%14.0%9.3%8.6%
HV 20d35.2%28.0%42.6%30.4%42.6%
HV 60d29.7%26.7%32.5%27.0%32.4%
IV Rank30.2%16.2%68.1%23.5%16.2%
IV Percentile89.3%63.5%99.4%89.0%63.5%
Term Structure2.8%0.5%6.6%2.6%5.2%
VWIV35.8%31.3%47.4%31.8%31.3%
Skew 25d2.7%-0.1%8.1%1.4%3.4%
Skew 10d4.2%-2.8%9.0%1.0%6.1%
Call IV 25d34.7%28.6%44.6%31.7%28.6%
Put IV 25d37.4%32.0%52.6%33.1%32.0%
Bid-Ask Spread %23.3117.4548.0930.5918.79
Gamma HHI0.210.180.250.220.19
Net GEX-221.1K-1.6M1.9M65.3K-1.1M
Net DEX60.4M3.5M128.4M38.2M45.7M
Net VEX-1.0M-1.1M-889.2K-1.1M-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.132.180.632.18
Total Volume6,02886211,6932,7014,423
Total OI154,842.217136,104174,102145,024161,790

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-08-01$39.48$41.0032.5%9.3%30.4%23.5%31.8%1.4%2.6%65.3K38.2M-1.1M0.6330.591,6571,04467,48177,543
2007-08-02$39.81$41.0031.0%8.9%30.2%19.3%31.6%1.0%2.7%303.6K27.9M-1.1M0.9121.231,3651,24568,03477,664
2007-08-03$39.48$41.0034.5%9.9%28.0%28.9%34.2%-0.1%1.3%218.9K30.9M-1.1M0.1320.076,59483668,82877,524
2007-08-06$38.74$41.0037.6%10.5%28.4%37.5%37.6%2.5%2.0%252.9K50.1M-1.0M0.8022.043,7543,01873,06878,071
2007-08-07$38.58$41.0036.0%10.4%28.4%33.1%36.1%1.1%2.3%531.4K42.7M-1.0M0.1825.702,76249175,16078,770
2007-08-08$40.13$41.0032.5%10.0%32.0%23.5%35.0%3.0%2.0%1.9M3.5M-1.1M0.2424.758,0091,88476,61279,146
2007-08-09$39.45$41.0035.0%10.7%32.0%30.4%37.7%1.3%1.2%1.6M22.7M-1.1M1.4923.951,0291,52981,68879,389
2007-08-10$39.85$41.0035.4%10.8%32.3%31.3%37.9%1.3%1.0%1.8M10.3M-1.1M0.4622.584,4252,02080,50280,114
2007-08-13$39.13$41.0037.5%10.4%32.8%37.3%36.2%0.9%1.7%1.3M30.4M-1.1M0.3720.172,63796984,01380,948
2007-08-14$38.05$41.0035.5%10.3%34.0%31.6%35.2%1.0%2.6%-1.1M82.2M-976.4K0.5021.555,8612,91482,09481,179
2007-08-15$36.45$41.0030.1%11.0%32.7%17.0%37.4%5.3%1.9%-1.6M118.2M-933.4K0.4524.385,5322,47686,66581,349
2007-08-16$34.49$41.0048.8%14.0%35.7%68.1%47.4%8.1%0.8%-817.9K128.4M-889.2K0.7348.096,6254,81389,64080,875
2007-08-17$35.22$40.0043.4%12.4%37.3%53.4%42.9%4.1%0.5%-454.1K114.6M-920.2K1.3020.851,5672,04493,50280,600
2007-08-20$35.80$40.0038.0%10.9%38.4%38.7%37.9%3.0%1.8%-717.6K85.6M-926.1K0.7521.903,8932,92865,50270,602
2007-08-21$35.75$40.0036.5%10.5%38.4%34.3%36.7%3.2%1.8%-779.2K85.9M-938.3K0.1819.172,18139467,36172,722
2007-08-22$36.88$40.0032.8%9.4%40.8%24.2%33.0%2.8%4.0%-512.2K62.1M-983.1K0.7117.454,8803,46668,46071,737
2007-08-23$36.35$40.0034.2%9.8%39.5%28.1%33.7%3.9%3.2%-511.4K67.3M-963.3K1.3320.373,7094,91669,46971,822
2007-08-24$37.13$40.0031.7%9.1%39.2%21.3%34.1%4.3%4.8%-391.6K52.1M-1.0M0.7820.826,5705,12371,56875,315
2007-08-27$36.63$39.0032.7%9.4%37.7%24.0%32.9%3.0%3.4%-826.5K69.9M-986.0K1.6119.323,7285,98574,26679,955
2007-08-28$35.71$39.0034.3%9.8%38.5%28.3%36.0%0.8%5.1%-1.5M87.2M-989.0K1.0926.482,5462,76875,97482,424
2007-08-29$36.96$39.0032.7%9.4%40.9%24.1%33.7%3.4%5.3%-1.4M66.0M-1.0M0.7223.991,8471,32575,53584,392
2007-08-30$36.51$39.0031.8%9.1%40.8%21.7%32.8%3.3%6.6%-1.5M67.7M-1.0M0.6521.9052134176,39085,628
2007-08-31$37.65$39.0029.8%8.6%42.6%16.2%31.3%3.4%5.2%-1.1M45.7M-1.0M2.1818.791,3923,03176,48485,306