GDX Options History — December 2007

In December 2007, GDX traded between $42.55 and $47.34. ATM implied volatility averaged 39.8%, placing in the 43.5% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded below realized volatility by 2.8% (HV 20d: 42.7%). Max pain ranged from $44.00 to $50.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.94.

Notable Days

  • 2007-12-18: Highest Volume — 37,836 contracts
  • 2007-12-11: Largest IV spike — 8.8% change
  • 2007-12-11: Highest IV Rank — 55.1%
  • 2007-12-05: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.31$42.55$47.34$46.82$45.83
Max Pain$46.90$44.00$50.00$45.00$44.00
ATM IV39.8%35.3%44.1%42.3%36.7%
Expected Move11.4%10.1%12.4%12.1%10.5%
HV 20d42.7%35.9%50.9%50.8%37.5%
HV 60d41.1%40.0%42.6%40.2%42.0%
IV Rank43.5%31.2%55.1%50.4%35.0%
IV Percentile81.8%65.1%97.9%92.6%69.2%
Term Structure2.0%-1.1%14.3%0.1%2.1%
VWIV40.0%35.2%44.7%44.2%37.7%
Skew 25d1.6%-18.6%7.7%1.4%2.4%
Skew 10d2.6%-14.8%9.3%6.1%9.3%
Call IV 25d39.3%33.3%58.3%42.2%37.0%
Put IV 25d40.9%36.3%43.6%43.6%39.4%
Bid-Ask Spread %31.8016.8478.4020.4024.84
Gamma HHI0.140.090.420.090.12
Net GEX-1.1M-9.5M5.2M-1.9M5.2M
Net DEX-57.5M-208.6M96.5M-80.0M-185.3M
Net VEX-1.3M-1.5M-1.1M-1.4M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.162.902.900.16
Total Volume9,639.81,89937,8366,5083,359
Total OI222,996.2166,695269,936220,994176,546

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-12-03$46.82$45.0042.3%12.1%50.8%50.4%44.2%1.4%0.1%-1.9M-80.0M-1.4M2.9020.401,6694,83999,165121,829
2007-12-04$46.20$45.0042.2%12.1%50.9%50.1%41.7%2.2%1.3%-2.8M-52.5M-1.5M2.5324.171,3683,459100,309126,239
2007-12-05$45.92$45.0043.2%12.4%48.7%52.9%42.2%1.1%-1.1%-3.1M-42.4M-1.4M2.0516.842,4785,092101,046124,962
2007-12-06$46.78$45.0039.8%11.4%49.4%43.4%40.7%5.2%1.8%-2.1M-82.9M-1.4M0.4824.162,3721,131102,251125,295
2007-12-07$46.40$48.0041.0%11.5%49.5%46.8%41.4%2.4%1.6%-2.3M-71.4M-1.4M0.3828.431,376523103,337125,263
2007-12-10$47.34$48.0040.5%12.0%49.8%45.4%41.8%0.9%1.0%-1.5M-106.0M-1.4M0.2018.327,3461,446103,747124,476
2007-12-11$45.93$48.0044.1%11.9%43.4%55.1%44.7%-18.6%14.3%-2.6M-42.3M-1.4M0.9878.405,5735,474109,049124,877
2007-12-12$46.70$48.0040.8%11.5%43.3%46.2%42.1%1.4%2.5%-1.2M-87.2M-1.3M1.7224.404,2817,344108,954125,491
2007-12-13$45.05$49.0040.3%11.5%44.0%44.7%38.8%1.4%1.8%-2.6M-19.2M-1.3M1.3258.306,2998,336109,911124,824
2007-12-14$44.31$50.0040.3%11.5%41.2%44.7%39.9%0.3%1.8%-4.0M26.8M-1.2M0.6240.953,5682,195112,948128,069
2007-12-17$42.55$50.0040.1%11.5%43.0%44.4%40.2%2.4%1.3%-4.3M96.5M-1.1M0.8939.874,9274,372114,418127,692
2007-12-18$43.42$50.0040.1%11.5%42.6%44.3%39.8%1.8%0.6%-4.4M54.5M-1.2M0.3941.3927,14410,692116,413126,660
2007-12-19$43.05$50.0039.8%11.4%37.3%43.5%40.1%1.8%2.0%-3.3M67.3M-1.3M0.5220.446,8653,543137,950131,986
2007-12-20$42.87$48.0039.5%11.3%36.7%42.6%39.3%1.7%1.3%-720.4K57.7M-1.2M0.5440.663,8742,101140,555127,383
2007-12-21$45.00$47.0038.5%11.0%37.7%40.0%40.5%2.8%3.8%-9.5M-66.1M-1.3M0.3119.3722,1536,935141,893127,220
2007-12-24$44.33$46.0038.8%11.1%35.9%40.8%37.3%3.3%-1.0%4.1M-70.3M-1.3M0.3420.581,531517112,69366,913
2007-12-26$45.68$44.0036.4%10.4%37.7%34.1%36.6%7.7%0.6%4.6M-168.5M-1.3M0.4734.203,6661,718113,41053,285
2007-12-27$45.38$44.0036.6%10.5%36.3%34.6%36.4%7.6%1.9%4.7M-168.9M-1.3M1.8440.772,3204,263115,78553,802
2007-12-28$46.63$44.0035.3%10.1%37.3%31.2%35.2%2.9%3.0%5.0M-208.6M-1.3M0.2419.445,3731,274116,71356,565
2007-12-31$45.83$44.0036.7%10.5%37.5%35.0%37.7%2.4%2.1%5.2M-185.3M-1.3M0.1624.842,891468119,71056,836