GDX Options History — February 2008

In February 2008, GDX traded between $46.75 and $54.38. ATM implied volatility averaged 39.8%, placing in the 54.5% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 3.8% (HV 20d: 36.0%). Max pain ranged from $45.00 to $49.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.74.

Notable Days

  • 2008-02-21: Highest Volume — 24,448 contracts
  • 2008-02-14: Largest IV spike — 15.5% change
  • 2008-02-06: Highest IV Rank — 76.4%
  • 2008-02-07: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.54$46.75$54.38$49.15$53.12
Max Pain$45.50$45.00$49.00$49.00$46.00
ATM IV39.8%33.6%48.4%46.1%35.1%
Expected Move11.6%9.6%13.4%13.2%10.1%
HV 20d36.0%31.8%39.5%38.4%34.4%
HV 60d41.6%38.7%45.0%45.0%39.2%
IV Rank54.5%34.8%76.4%60.8%40.3%
IV Percentile70.8%45.6%96.4%94.4%50.8%
Term Structure2.4%-2.3%6.2%0.1%5.7%
VWIV40.6%35.0%46.1%46.1%35.6%
Skew 25d2.6%-1.0%5.8%5.8%4.1%
Skew 10d5.0%0.1%9.8%9.5%6.5%
Call IV 25d39.1%31.3%45.0%43.6%32.4%
Put IV 25d41.7%36.0%49.3%49.3%36.5%
Bid-Ask Spread %14.419.9219.1513.8213.49
Gamma HHI0.140.110.210.120.18
Net GEX4.9M504.1K10.4M3.6M9.9M
Net DEX-225.2M-430.5M-93.9M-207.3M-388.8M
Net VEX-1.5M-1.7M-1.5M-1.6M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.122.920.420.77
Total Volume11,654.254,98324,4486,6129,150
Total OI199,363.7166,220221,399200,189205,635

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-02-01$49.15$49.0046.1%13.2%38.4%60.8%46.1%5.8%0.1%3.6M-207.3M-1.6M0.4213.824,6511,961129,25670,933
2008-02-04$48.15$45.0048.4%13.0%38.6%67.0%45.1%1.8%0.6%2.1M-151.7M-1.6M0.4515.243,9091,770129,81571,886
2008-02-05$46.75$45.0045.5%13.4%39.5%59.2%45.8%2.1%-1.5%1.1M-93.9M-1.5M1.4315.016,8749,796130,36472,762
2008-02-06$46.90$45.0045.1%13.1%37.1%76.4%45.0%1.3%-0.1%1.5M-111.8M-1.5M0.9317.633,4283,196131,30472,795
2008-02-07$46.86$45.0042.8%13.4%36.9%68.3%45.2%0.9%-2.3%1.4M-110.2M-1.5M0.1218.4514,0211,716132,18972,901
2008-02-08$48.54$45.0040.2%12.7%38.8%58.9%44.1%1.6%0.6%4.4M-188.3M-1.6M0.7012.963,0302,119138,77172,923
2008-02-11$48.65$45.0044.9%12.5%38.7%75.7%43.7%0.9%1.4%4.5M-199.1M-1.5M0.4513.084,2361,886140,29472,616
2008-02-12$46.89$45.0041.2%12.3%39.5%62.4%42.7%-1.0%1.1%2.3M-119.5M-1.5M0.3513.8815,2435,365141,66973,247
2008-02-13$47.76$45.0035.3%11.7%38.3%41.2%41.8%1.7%3.2%2.4M-145.0M-1.5M2.9217.912,9068,499141,77274,138
2008-02-14$47.49$45.0040.8%11.7%34.6%60.9%39.2%0.1%2.0%504.1K-116.5M-1.5M0.5516.564,5472,505142,06579,033
2008-02-15$47.75$45.0039.4%11.3%34.1%55.7%39.5%0.1%3.5%2.6M-132.5M-1.5M1.1615.044,5685,299143,24578,154
2008-02-19$49.60$45.0039.7%11.4%36.6%56.9%39.4%2.1%1.9%5.4M-227.1M-1.5M0.2612.249,8772,611113,82852,392
2008-02-20$50.95$45.0038.4%11.0%36.8%52.3%37.0%4.8%3.5%6.4M-275.2M-1.5M0.4414.407,7733,426117,69053,639
2008-02-21$50.79$45.0038.2%10.9%35.4%51.4%38.3%4.0%3.0%6.7M-278.8M-1.5M0.3911.8117,5636,885119,97654,708
2008-02-22$50.88$46.0037.3%10.7%31.8%48.3%38.6%4.4%4.7%7.8M-295.6M-1.6M1.6719.154,0216,701130,85857,656
2008-02-25$50.94$46.0036.9%10.6%31.8%46.8%37.6%3.4%4.4%7.4M-295.1M-1.5M0.4312.903,4961,487129,17159,950
2008-02-26$52.03$46.0034.3%9.8%32.3%37.6%35.2%4.5%4.3%8.6M-341.8M-1.5M0.6213.736,9074,304130,66260,451
2008-02-27$53.16$46.0033.8%9.7%32.8%35.7%35.0%3.9%5.8%9.9M-394.7M-1.5M0.3511.0512,0884,184132,79260,864
2008-02-28$54.38$46.0033.6%9.6%33.5%34.8%36.0%5.0%6.2%10.4M-430.5M-1.5M0.459.9214,5096,578133,08961,781
2008-02-29$53.12$46.0035.1%10.1%34.4%40.3%35.6%4.1%5.7%9.9M-388.8M-1.7M0.7713.495,1713,979139,79765,838