GDX Options History — October 2007

In October 2007, GDX traded between $43.58 and $50.60. ATM implied volatility averaged 39.8%, placing in the 43.4% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 7.1% (HV 20d: 32.7%). Max pain ranged from $42.00 to $46.00. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 0.82.

Notable Days

  • 2007-10-11: Highest Volume — 15,406 contracts
  • 2007-10-11: Largest IV spike — 9.4% change
  • 2007-10-16: Highest IV Rank — 52.9%
  • 2007-10-16: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.74$43.58$50.60$45.82$50.60
Max Pain$44.83$42.00$46.00$42.00$46.00
ATM IV39.8%34.8%43.2%38.5%40.0%
Expected Move11.4%10.4%12.4%11.0%11.5%
HV 20d32.7%29.9%36.5%31.7%31.5%
HV 60d36.7%35.2%37.6%35.2%37.1%
IV Rank43.4%29.8%52.9%40.0%44.1%
IV Percentile94.7%83.8%98.5%96.8%93.8%
Term Structure-0.7%-2.0%1.1%-0.5%-2.0%
VWIV40.6%36.6%46.3%39.8%40.3%
Skew 25d3.2%0.5%5.6%3.7%3.3%
Skew 10d6.8%3.5%10.7%9.9%10.7%
Call IV 25d38.8%35.8%42.1%37.9%39.5%
Put IV 25d42.0%37.1%45.4%41.6%42.9%
Bid-Ask Spread %21.2410.2832.3213.0923.07
Gamma HHI0.100.080.120.100.08
Net GEX481.7K-1.2M2.1M550.4K706.4K
Net DEX-155.4M-219.9M-78.7M-150.2M-219.3M
Net VEX-1.2M-1.3M-1.1M-1.1M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.192.081.130.50
Total Volume7,080.3912,33315,4063,9407,912
Total OI168,204.304152,932194,996152,932169,532

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-10-01$45.82$42.0038.5%11.0%31.7%40.0%39.8%3.7%-0.5%550.4K-150.2M-1.1M1.1313.091,8542,08672,18580,747
2007-10-02$43.80$42.0039.1%11.2%36.5%41.7%39.6%4.5%-0.4%-72.1K-105.7M-1.1M2.0810.283,3156,88172,36281,714
2007-10-03$43.58$42.0037.9%10.9%36.5%38.2%38.4%2.0%0.6%-631.7K-84.8M-1.2M0.2713.887,3431,97573,01786,855
2007-10-04$44.37$42.0037.5%10.7%30.4%37.0%37.5%1.7%0.8%-390.3K-103.9M-1.1M0.5115.904,2122,15772,12986,980
2007-10-05$45.59$44.0034.8%10.4%31.5%29.8%36.6%0.5%0.8%134.4K-134.9M-1.1M0.1919.9910,0981,90372,12587,335
2007-10-08$44.62$44.0038.0%10.8%32.7%38.6%38.5%2.4%1.1%855.6K-120.5M-1.1M0.7416.932,2351,66077,55887,624
2007-10-09$45.79$44.0036.8%10.7%32.6%35.2%39.2%4.1%0.5%1.4M-153.8M-1.1M0.2121.773,22367277,86888,637
2007-10-10$46.68$43.0036.9%10.9%33.0%35.5%39.9%3.4%-0.5%1.9M-183.3M-1.1M1.2319.042,9773,66378,90288,337
2007-10-11$46.80$44.0040.3%11.6%33.0%45.0%40.1%3.0%-2.0%2.1M-197.2M-1.1M0.5827.579,7805,62679,60790,229
2007-10-12$47.79$46.0040.6%11.6%33.4%45.7%40.9%3.5%-1.9%1.9M-212.6M-1.1M0.5818.651,47286182,68994,692
2007-10-15$48.02$46.0042.1%12.1%33.3%49.7%44.1%3.6%-1.4%1.9M-219.9M-1.1M1.6323.953,5075,72381,30895,085
2007-10-16$47.29$46.0043.2%12.4%32.5%52.9%46.3%2.6%-2.0%1.3M-191.4M-1.1M0.8520.883,7743,21481,91498,965
2007-10-17$46.46$46.0042.8%12.3%33.3%51.7%42.9%2.8%-1.0%854.1K-155.8M-1.2M1.5723.125,8789,23382,276100,415
2007-10-18$47.40$46.0041.4%11.9%31.0%47.7%41.4%3.5%-0.2%1.5M-194.9M-1.3M0.7022.614,5703,17785,696107,199
2007-10-19$46.80$46.0041.8%12.0%31.3%48.8%42.8%2.2%-1.5%636.3K-172.3M-1.3M1.5326.583,0624,68285,806109,190
2007-10-22$45.53$46.0043.0%12.3%32.8%52.3%43.7%3.7%-1.8%-1.2M-78.7M-1.3M1.1018.525,4966,04867,90785,822
2007-10-23$46.62$46.0039.5%11.3%33.5%42.7%40.4%5.6%-0.1%-962.9K-111.8M-1.3M0.4527.402,6161,18370,85889,801
2007-10-24$47.00$46.0039.6%11.4%32.7%42.9%40.0%2.1%0.3%-856.6K-121.4M-1.3M0.5525.872,2291,23471,96890,506
2007-10-25$47.45$46.0039.3%11.3%32.7%42.1%38.6%2.8%-0.1%-751.6K-131.2M-1.3M0.9032.321,5201,36873,17391,141
2007-10-26$48.40$46.0039.1%11.2%32.5%41.6%39.4%5.2%-1.1%-61.8K-166.4M-1.2M0.5423.682,5781,40174,13791,241
2007-10-29$49.84$46.0040.5%11.6%33.7%45.3%41.8%3.4%-1.8%327.0K-195.7M-1.2M0.6624.242,9321,94174,15791,255
2007-10-30$48.82$46.0042.3%12.1%29.9%50.3%42.5%3.8%-1.9%-84.0K-168.8M-1.2M0.4219.222,5161,06274,94292,813
2007-10-31$50.60$46.0040.0%11.5%31.5%44.1%40.3%3.3%-2.0%706.4K-219.3M-1.2M0.5023.075,2672,64575,97393,559