GDX Options History — January 2008

In January 2008, GDX traded between $47.91 and $53.32. ATM implied volatility averaged 45.4%, placing in the 58.7% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded below realized volatility by 0.8% (HV 20d: 46.1%). Max pain ranged from $44.00 to $52.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.73.

Notable Days

  • 2008-01-15: Highest Volume — 25,644 contracts
  • 2008-01-04: Largest IV spike — 14.9% change
  • 2008-01-24: Highest IV Rank — 75.8%
  • 2008-01-24: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.32$47.91$53.32$49.24$50.35
Max Pain$49.19$44.00$52.00$44.00$50.00
ATM IV45.4%34.9%51.6%36.3%48.2%
Expected Move13.0%10.0%14.8%10.4%13.8%
HV 20d46.1%39.0%47.9%45.4%39.0%
HV 60d45.3%44.1%47.0%44.1%44.8%
IV Rank58.7%30.1%75.8%33.9%66.4%
IV Percentile93.5%63.9%99.6%66.9%96.4%
Term Structure-0.6%-3.6%4.0%3.5%-2.5%
VWIV45.5%35.0%51.3%35.0%48.5%
Skew 25d4.2%1.3%8.8%3.1%8.7%
Skew 10d7.0%0.6%12.9%5.9%11.8%
Call IV 25d43.3%34.0%48.1%34.9%44.5%
Put IV 25d47.5%37.5%54.1%38.0%53.2%
Bid-Ask Spread %21.5211.3231.6111.3224.32
Gamma HHI0.130.110.150.140.13
Net GEX4.7M2.2M6.6M6.6M4.1M
Net DEX-298.3M-465.2M-163.6M-310.3M-240.6M
Net VEX-1.5M-1.7M-1.3M-1.3M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.071.440.210.53
Total Volume14,009.7625,62825,64418,0295,798
Total OI194,968.286163,032228,517177,609198,429

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-01-02$49.24$44.0036.3%10.4%45.4%33.9%35.0%3.1%3.5%6.6M-310.3M-1.3M0.2111.3214,9413,088121,13256,477
2008-01-03$50.74$44.0034.9%10.0%46.0%30.1%36.8%3.5%4.0%6.6M-365.8M-1.3M0.8614.179,7958,469123,53558,302
2008-01-04$49.90$49.0040.2%11.5%46.4%44.4%40.8%2.3%0.1%5.6M-326.1M-1.4M0.9424.115,6605,324124,61563,912
2008-01-07$49.06$49.0045.1%12.1%46.7%58.0%42.2%2.1%1.0%4.7M-287.6M-1.4M0.7622.806,1254,633125,88169,329
2008-01-08$50.80$49.0044.5%12.5%47.9%56.4%43.6%2.2%-2.7%5.5M-371.2M-1.4M0.5021.176,2203,080128,82469,549
2008-01-09$51.13$49.0044.0%12.8%47.5%55.1%45.8%3.7%-2.2%5.6M-373.8M-1.4M1.0621.454,3194,580129,92670,051
2008-01-10$52.02$49.0043.1%12.4%46.0%52.6%43.9%4.5%-1.2%6.1M-412.7M-1.4M0.4618.775,0352,327131,23173,697
2008-01-11$52.42$49.0042.0%12.1%45.8%49.6%42.5%3.8%-2.4%6.5M-440.8M-1.3M0.6222.013,4692,159132,52374,319
2008-01-14$53.32$49.0044.3%12.7%43.2%55.8%43.5%3.1%-0.9%6.5M-465.2M-1.3M0.9519.8711,87611,323132,61975,390
2008-01-15$51.21$50.0045.6%13.1%45.8%59.5%45.6%2.1%-0.6%5.5M-360.0M-1.4M1.3519.9510,90014,744134,22383,209
2008-01-16$48.83$52.0044.5%12.8%46.8%56.4%44.6%1.9%1.3%3.7M-251.1M-1.5M0.6420.658,7925,595139,18588,155
2008-01-17$47.91$52.0047.4%13.6%47.4%64.2%46.8%1.3%-1.9%3.2M-207.3M-1.4M0.6922.847,1024,868138,46486,975
2008-01-18$48.34$51.0046.8%13.4%47.1%62.7%47.9%2.2%-0.2%2.7M-217.0M-1.4M1.4421.338,01311,506140,69687,821
2008-01-22$49.50$51.0049.8%14.3%47.4%70.8%50.5%3.9%1.3%2.2M-176.6M-1.5M0.5231.6110,2465,333101,24361,789
2008-01-23$48.19$50.0049.6%14.2%46.2%70.2%50.0%3.8%0.8%2.5M-163.6M-1.5M0.4123.626,0702,481106,46561,317
2008-01-24$50.35$50.0051.6%14.8%47.8%75.8%51.3%5.9%-2.4%3.3M-231.0M-1.5M0.3723.5610,4353,851108,06161,880
2008-01-25$50.42$49.0049.3%14.1%47.0%69.4%48.9%5.0%-1.9%3.7M-236.3M-1.5M0.0722.5617,6051,155110,58461,863
2008-01-28$51.21$49.0048.6%13.9%46.9%67.5%48.9%8.8%-3.6%4.6M-282.6M-1.7M1.3914.7310,63214,804120,51662,124
2008-01-29$50.70$49.0048.2%13.8%46.6%66.4%48.4%6.6%-2.0%4.6M-265.6M-1.7M0.8321.834,6003,799122,57365,061
2008-01-30$51.05$49.0048.6%13.9%45.9%67.6%49.6%8.8%-0.2%4.9M-278.7M-1.7M0.7929.197,5175,936125,26767,122
2008-01-31$50.35$50.0048.2%13.8%39.0%66.4%48.5%8.7%-2.5%4.1M-240.6M-1.7M0.5324.323,7991,999127,89870,531