GDX Options History — September 2007

In September 2007, GDX traded between $38.48 and $45.82. ATM implied volatility averaged 36.3%, placing in the 33.9% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded below realized volatility by 2.6% (HV 20d: 38.9%). Max pain ranged from $37.00 to $42.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 1.04.

Notable Days

  • 2007-09-07: Highest Volume — 22,059 contracts
  • 2007-09-13: Largest IV spike — 11.6% change
  • 2007-09-17: Highest IV Rank — 43.2%
  • 2007-09-10: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.80$38.48$45.82$38.66$45.35
Max Pain$40.05$37.00$42.00$39.00$42.00
ATM IV36.3%29.9%39.7%29.9%36.9%
Expected Move10.6%8.6%11.5%8.6%10.6%
HV 20d38.9%32.5%46.7%43.3%32.5%
HV 60d34.9%32.9%35.7%32.9%35.7%
IV Rank33.9%16.5%43.2%16.5%35.5%
IV Percentile91.7%64.9%98.3%64.9%91.9%
Term Structure0.1%-2.5%5.3%5.3%0.6%
VWIV38.1%30.7%42.0%30.7%37.2%
Skew 25d3.5%1.7%5.3%2.3%1.7%
Skew 10d7.7%2.6%12.0%9.2%2.6%
Call IV 25d36.0%30.5%38.7%30.5%37.0%
Put IV 25d39.5%32.8%43.0%32.8%38.8%
Bid-Ask Spread %17.7212.0326.6918.5514.38
Gamma HHI0.140.100.210.190.11
Net GEX2.1M-477.1K4.5M-477.1K224.8K
Net DEX-140.3M-299.7M17.6M12.0M-133.3M
Net VEX-1.1M-1.2M-975.0K-1.1M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.133.220.220.47
Total Volume11,418.6323,25022,0598,2646,416
Total OI172,062.947132,505204,807163,566149,583

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-09-04$38.66$39.0029.9%8.6%43.3%16.5%30.7%2.3%5.3%-477.1K12.0M-1.1M0.2218.556,7941,47076,55587,011
2007-09-05$38.48$39.0032.6%9.4%43.3%23.8%35.8%4.4%4.6%-226.7K17.6M-1.1M2.9826.691,5984,75879,59985,303
2007-09-06$40.95$39.0034.7%10.0%46.7%29.6%35.0%3.3%1.8%1.4M-77.3M-1.1M0.3324.3415,5285,06880,80989,447
2007-09-07$41.17$37.0036.8%11.4%46.2%35.3%39.7%4.0%-1.0%2.1M-87.3M-1.2M1.5516.328,66113,39886,12292,648
2007-09-10$40.94$37.0036.7%11.5%46.2%35.0%42.0%4.2%-1.5%3.0M-92.6M-1.1M1.8025.434,2837,72490,28687,673
2007-09-11$42.05$38.0034.4%11.1%46.4%28.6%40.5%3.6%-1.1%3.5M-141.6M-1.1M1.0221.408,6728,83990,08588,698
2007-09-12$42.19$40.0033.1%10.9%44.9%25.3%37.3%3.3%-0.6%4.4M-160.8M-1.1M0.4516.822,8721,29496,20987,787
2007-09-13$42.21$40.0037.0%10.6%41.2%35.8%39.2%2.4%0.9%4.4M-161.1M-1.1M0.8917.983,9073,48194,73788,877
2007-09-14$42.17$40.0037.8%10.8%34.2%38.0%38.5%4.2%-0.7%4.5M-157.0M-1.1M0.4618.017,1683,27695,81391,826
2007-09-17$42.15$40.0039.7%11.4%34.1%43.2%40.6%4.3%-1.6%4.1M-158.2M-1.1M1.0818.331,5591,69195,90493,564
2007-09-18$43.60$40.0037.6%10.8%35.2%37.6%39.7%5.3%-1.9%4.0M-224.7M-985.8K0.5018.3912,5616,33694,98794,563
2007-09-19$44.03$40.0037.5%10.7%34.9%37.1%38.1%5.3%-1.8%4.1M-248.2M-1.0M0.7917.628,6066,78798,84497,595
2007-09-20$45.82$40.0038.6%11.1%35.7%40.2%40.9%2.9%-2.5%3.3M-299.7M-975.0K0.9315.389,0018,38598,174101,468
2007-09-21$45.48$42.0039.7%11.4%35.1%43.1%40.6%3.3%-1.7%1.9M-287.6M-1.0M0.3612.726,0612,21198,714106,093
2007-09-24$45.10$42.0038.0%10.9%35.6%38.6%39.1%2.8%-0.3%182.5K-131.9M-1.0M3.2212.032,9259,42362,66069,845
2007-09-25$44.59$42.0036.5%10.5%35.4%34.4%36.9%3.1%0.9%142.3K-118.1M-1.0M0.8714.354,1413,61962,38471,190
2007-09-26$43.85$42.0035.6%10.2%34.4%32.0%36.8%3.4%2.3%64.4K-102.8M-1.1M1.7314.674,9068,48264,87072,955
2007-09-27$44.33$42.0036.8%10.5%33.2%35.1%36.1%3.7%-0.1%-218.5K-113.7M-1.1M0.1313.304,45360066,17380,145
2007-09-28$45.35$42.0036.9%10.6%32.5%35.5%37.2%1.7%0.6%224.8K-133.3M-1.1M0.4714.384,3622,05469,54280,041