GDX Options History — March 2008

In March 2008, GDX traded between $46.97 and $56.42. ATM implied volatility averaged 44.1%, placing in the 72.8% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 1.0% (HV 20d: 43.1%). Max pain ranged from $46.00 to $49.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.67.

Notable Days

  • 2008-03-13: Highest Volume — 58,904 contracts
  • 2008-03-13: Largest IV spike — 17.5% change
  • 2008-03-17: Highest IV Rank — 99.9%
  • 2008-03-17: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.90$46.97$56.42$54.62$47.70
Max Pain$48.25$46.00$49.00$46.00$47.00
ATM IV44.1%37.5%51.6%38.5%46.7%
Expected Move12.9%10.7%14.8%11.0%13.4%
HV 20d43.1%33.9%52.4%33.9%50.8%
HV 60d41.9%39.4%44.2%39.4%41.6%
IV Rank72.8%49.0%99.9%52.5%82.2%
IV Percentile82.9%59.5%99.6%64.7%92.1%
Term Structure0.4%-2.2%4.2%1.8%-0.6%
VWIV45.4%38.0%52.0%39.3%50.2%
Skew 25d4.9%-1.9%8.0%6.2%7.8%
Skew 10d8.7%-3.0%14.3%10.8%12.4%
Call IV 25d42.7%34.8%51.6%35.6%42.4%
Put IV 25d47.6%40.4%54.4%41.8%50.2%
Bid-Ask Spread %13.979.8919.6113.6414.65
Gamma HHI0.150.090.200.190.12
Net GEX10.5M2.1M30.6M10.2M10.7M
Net DEX-335.7M-698.3M-101.5M-449.1M-179.3M
Net VEX-1.8M-2.0M-1.7M-1.7M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.041.481.290.17
Total Volume26,1775,78358,90418,92920,083
Total OI263,973.5206,739351,843208,867275,550

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-03-03$54.62$46.0038.5%11.0%33.9%52.5%39.3%6.2%1.8%10.2M-449.1M-1.7M1.2913.648,26710,662141,22167,646
2008-03-04$52.75$47.0038.6%11.1%35.7%53.0%38.9%2.5%4.2%8.3M-363.7M-1.7M0.7413.8510,1977,555143,18375,077
2008-03-05$54.69$47.0037.5%10.7%35.0%49.0%38.0%6.6%4.2%9.3M-441.1M-1.7M0.8513.3815,08112,827145,32577,217
2008-03-06$54.78$48.0038.9%11.2%35.0%54.1%40.8%7.9%3.1%9.4M-441.5M-1.8M1.1311.375,5036,230150,65384,525
2008-03-07$53.45$49.0040.2%12.6%36.8%58.7%43.9%4.0%0.4%7.4M-360.2M-1.8M1.489.896,1209,065150,93988,413
2008-03-10$51.42$49.0044.3%13.4%38.5%73.7%47.2%3.0%-0.9%5.1M-261.7M-1.8M0.7710.838,6776,701154,82592,611
2008-03-11$53.56$49.0038.5%12.4%40.7%52.6%43.8%6.0%0.2%8.9M-384.0M-1.8M0.5012.843,8501,933158,26692,502
2008-03-12$53.65$49.0039.2%12.9%37.7%55.2%43.1%5.0%-1.1%9.1M-394.1M-1.8M0.0415.2527,6641,074158,29492,715
2008-03-13$56.05$49.0046.1%13.2%39.8%79.9%45.9%4.5%-2.0%16.3M-582.9M-1.8M0.0816.1054,6864,218182,05892,656
2008-03-14$56.42$49.0047.9%13.7%39.4%86.6%47.9%7.7%-2.2%30.6M-698.3M-2.0M1.0214.3110,97911,216230,02593,607
2008-03-17$54.97$49.0051.6%14.8%41.3%99.9%52.0%5.1%-2.1%24.3M-564.4M-2.0M0.9610.378,2187,919229,160100,854
2008-03-18$52.39$49.0049.1%14.1%44.0%91.1%49.2%2.8%-1.5%10.3M-344.1M-1.9M0.6415.6714,4469,238232,120100,394
2008-03-19$49.37$49.0050.2%14.4%48.1%94.9%50.5%-1.9%-2.2%2.1M-152.3M-1.7M0.6016.0426,70016,134233,423100,462
2008-03-20$47.78$49.0049.7%14.3%49.4%93.1%49.7%-0.8%-0.8%2.4M-101.5M-1.7M0.4415.0338,02816,676250,263101,580
2008-03-24$46.97$48.0050.7%14.5%49.6%96.8%50.2%4.0%-0.2%8.1M-138.5M-1.7M0.8113.3925,23020,349158,63148,108
2008-03-25$49.04$48.0046.0%13.2%52.4%79.6%47.0%7.6%1.1%8.4M-190.9M-1.9M0.6311.2120,45712,962162,12562,606
2008-03-26$49.90$48.0043.3%12.4%52.1%69.8%44.4%8.0%1.6%9.9M-242.4M-2.0M0.2116.1820,6774,414172,19772,136
2008-03-27$49.36$48.0043.0%12.3%51.5%69.1%44.4%5.9%2.5%10.3M-223.4M-2.0M0.8215.834,3463,570180,87773,989
2008-03-28$49.08$48.0041.9%12.0%50.5%64.8%42.2%5.9%2.7%9.5M-200.0M-1.9M0.1219.6128,1923,396176,87976,358
2008-03-31$47.70$47.0046.7%13.4%50.8%82.2%50.2%7.8%-0.6%10.7M-179.3M-1.9M0.1714.6517,1002,983197,19778,353