GDX Options History — November 2007

In November 2007, GDX traded between $45.45 and $52.25. ATM implied volatility averaged 42.9%, placing in the 51.9% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded below realized volatility by 3.1% (HV 20d: 46.0%). Max pain ranged from $44.00 to $46.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.43.

Notable Days

  • 2007-11-12: Highest Volume — 19,246 contracts
  • 2007-11-13: Largest IV drop — 15.8% change
  • 2007-11-12: Highest IV Rank — 74.0%
  • 2007-11-12: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.37$45.45$52.25$48.82$46.36
Max Pain$45.05$44.00$46.00$46.00$45.00
ATM IV42.9%39.4%50.9%41.5%43.4%
Expected Move12.2%11.3%13.7%11.9%12.4%
HV 20d46.0%34.7%56.0%34.7%52.8%
HV 60d39.2%34.5%41.9%37.3%40.1%
IV Rank51.9%42.4%74.0%48.2%53.2%
IV Percentile94.8%87.7%99.5%95.7%96.1%
Term Structure0.9%-1.0%3.4%-0.7%1.9%
VWIV43.0%37.6%47.7%43.5%42.7%
Skew 25d2.4%-1.3%5.4%4.7%3.4%
Skew 10d4.7%1.4%9.7%9.7%3.9%
Call IV 25d41.8%38.6%47.4%40.5%40.7%
Put IV 25d44.2%42.1%49.0%45.2%44.1%
Bid-Ask Spread %24.7614.6833.8925.3833.89
Gamma HHI0.090.080.120.080.09
Net GEX-703.7K-2.9M1.1M366.7K-1.1M
Net DEX-146.0M-263.9M-52.5M-180.5M-77.6M
Net VEX-1.3M-1.5M-1.1M-1.2M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.430.474.181.844.18
Total Volume9,778.815,10719,2466,49512,580
Total OI191,867.619171,266213,169171,266213,169

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-11-01$48.82$46.0041.5%11.9%34.7%48.2%43.5%4.7%-0.7%366.7K-180.5M-1.2M1.8425.382,2894,20677,59693,670
2007-11-02$50.71$46.0039.4%11.3%35.8%42.4%42.3%5.4%0.5%966.2K-226.3M-1.2M1.6322.522,3913,89678,18396,517
2007-11-05$50.44$44.0042.1%11.8%34.7%49.7%42.6%3.7%1.0%1.0M-221.9M-1.2M3.5017.802,6129,13678,68496,367
2007-11-06$52.25$45.0043.9%12.0%35.5%54.8%41.8%3.6%-1.0%1.1M-263.9M-1.1M0.6414.683,7312,39379,459103,348
2007-11-07$51.53$45.0043.9%12.5%35.9%54.7%43.4%2.2%-0.4%964.2K-241.7M-1.2M0.7525.435,2673,94980,019100,998
2007-11-08$51.40$45.0042.2%12.1%36.0%50.1%42.1%2.7%0.5%705.4K-231.4M-1.2M0.8017.904,7613,82781,211103,571
2007-11-09$50.31$45.0044.1%12.6%36.6%55.3%44.5%4.0%0.2%296.8K-207.8M-1.3M2.2620.501,6973,83682,145104,420
2007-11-12$46.69$45.0050.9%13.7%45.7%74.0%47.7%2.8%-0.8%-2.2M-84.4M-1.3M2.1630.016,09213,15483,028105,106
2007-11-13$47.58$45.0042.9%12.9%45.9%51.9%45.6%2.2%1.2%-2.5M-119.3M-1.3M1.9423.853,2166,24984,550111,859
2007-11-14$48.70$45.0041.8%12.1%46.1%48.9%42.9%0.5%1.4%-1.9M-154.3M-1.3M0.4728.087,7063,61085,928114,224
2007-11-15$46.44$45.0043.3%12.4%48.8%53.0%42.7%1.6%-0.1%-2.9M-82.8M-1.4M0.9127.556,6176,02591,569114,749
2007-11-16$46.95$45.0041.5%11.9%48.8%48.0%42.3%1.5%1.8%-1.2M-96.0M-1.4M0.9821.723,0052,96092,772117,188
2007-11-19$45.45$45.0042.9%12.3%49.2%51.9%43.3%0.2%0.7%-1.9M-52.5M-1.4M1.2331.605,2886,50079,385100,014
2007-11-20$47.93$45.0041.3%11.8%52.1%47.5%40.1%2.1%1.9%-1.3M-121.1M-1.4M0.6429.256,9454,43982,354103,728
2007-11-21$46.82$45.0042.4%12.2%52.8%50.6%43.8%2.6%0.2%-1.2M-98.3M-1.4M0.6422.799,6816,24084,924105,529
2007-11-23$48.85$45.0041.5%11.9%54.8%48.1%41.2%1.1%3.4%-456.2K-160.1M-1.4M0.5318.373,3481,75988,821106,940
2007-11-26$47.06$45.0046.8%13.4%56.0%62.5%46.7%-1.3%0.2%-1.1M-112.2M-1.4M0.9224.523,0432,78591,235106,059
2007-11-27$46.61$45.0044.0%12.6%54.9%54.8%44.6%2.3%2.6%-1.2M-91.5M-1.4M0.6930.714,4673,09090,301107,725
2007-11-28$47.86$45.0040.6%11.6%55.5%45.5%40.9%2.2%2.9%-621.4K-128.7M-1.4M0.6526.638,1925,33792,868109,449
2007-11-29$47.02$45.0040.6%11.6%54.0%45.6%37.6%3.2%2.1%-567.3K-113.3M-1.5M2.5726.842,5296,50797,534112,024
2007-11-30$46.36$45.0043.4%12.4%52.8%53.2%42.7%3.4%1.9%-1.1M-77.6M-1.5M4.1833.892,43010,15098,331114,838