GDX Options History — June 2008

In June 2008, GDX traded between $43.15 and $48.59. ATM implied volatility averaged 36.8%, placing in the 46.5% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 3.5% (HV 20d: 33.3%). Max pain ranged from $43.00 to $47.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.78.

Notable Days

2008-06-12: Highest Volume — 16,508 contracts
2008-06-05: Largest IV drop — 11.8% change
2008-06-19: Highest IV Rank — 55.4%
2008-06-19: Largest Expected Move — 11.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.03	$43.15	$48.59	$46.41	$48.59
Max Pain	$44.95	$43.00	$47.00	$46.00	$44.00
ATM IV	36.8%	34.1%	39.3%	36.7%	34.5%
Expected Move	10.7%	9.8%	11.3%	10.5%	9.9%
HV 20d	33.3%	30.4%	36.7%	32.2%	36.7%
HV 60d	37.5%	34.4%	41.0%	41.0%	36.2%
IV Rank	46.5%	36.9%	55.4%	46.1%	38.3%
IV Percentile	37.0%	17.1%	54.4%	36.5%	19.0%
Term Structure	2.3%	-0.8%	5.1%	1.3%	2.2%
VWIV	37.5%	34.7%	40.1%	38.6%	35.1%
Skew 25d	2.8%	-0.3%	6.3%	2.7%	4.8%
Skew 10d	5.0%	1.4%	12.5%	1.6%	11.7%
Call IV 25d	35.7%	31.5%	38.3%	34.8%	32.9%
Put IV 25d	38.5%	36.5%	40.5%	37.4%	37.7%
Bid-Ask Spread %	17.67	9.36	21.82	13.90	21.46
Gamma HHI	0.14	0.11	0.18	0.16	0.18
Net GEX	3.2M	-97.3K	5.5M	5.5M	5.2M
Net DEX	-82.3M	-228.0M	10.8M	-138.1M	-228.0M
Net VEX	-1.9M	-2.0M	-1.7M	-2.0M	-2.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.22	2.69	0.27	0.31
Total Volume	8,744.19	2,883	16,508	5,269	8,821
Total OI	251,817.333	193,220	288,316	255,701	209,875

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2008-06-02	$46.41	$46.00	36.7%	10.5%	32.2%	46.1%	38.6%	2.7%	1.3%	5.5M	-138.1M	-2.0M	0.27	13.90	4,145	1,124	167,230	88,471
2008-06-03	$45.45	$46.00	38.6%	11.1%	32.6%	53.1%	39.2%	2.5%	-0.0%	5.1M	-106.7M	-1.9M	2.69	11.03	3,184	8,558	169,630	88,572
2008-06-04	$44.68	$45.00	38.7%	11.1%	32.1%	53.4%	38.3%	1.3%	-0.8%	3.7M	-59.9M	-1.9M	0.57	11.63	4,148	2,372	170,816	94,846
2008-06-05	$45.79	$45.00	34.1%	9.8%	32.7%	36.9%	35.7%	3.5%	3.7%	4.8M	-108.4M	-2.0M	0.88	9.36	5,148	4,535	172,129	95,577
2008-06-06	$46.69	$47.00	34.5%	10.8%	31.0%	38.2%	37.8%	2.8%	5.1%	5.5M	-158.0M	-2.0M	0.34	17.83	7,267	2,503	173,854	98,403
2008-06-09	$46.65	$47.00	34.8%	10.6%	31.0%	39.3%	37.0%	3.1%	4.1%	5.2M	-145.8M	-1.9M	1.52	16.35	2,280	3,471	171,910	97,139
2008-06-10	$44.21	$47.00	35.5%	10.8%	36.5%	41.8%	38.1%	-0.3%	3.3%	2.4M	-22.2M	-1.8M	0.62	17.23	5,170	3,208	172,248	99,187
2008-06-11	$44.11	$47.00	35.5%	10.9%	36.3%	42.0%	38.5%	1.9%	4.4%	2.2M	-21.3M	-1.8M	0.60	19.16	2,993	1,796	172,633	99,852
2008-06-12	$43.18	$47.00	38.4%	11.0%	36.6%	52.3%	38.0%	-0.2%	3.3%	1.2M	10.8M	-1.7M	0.24	16.01	13,353	3,155	173,790	96,082
2008-06-13	$43.15	$45.00	38.0%	10.9%	34.2%	50.9%	38.6%	2.9%	3.5%	1.7M	4.2M	-1.8M	1.06	16.50	4,014	4,273	180,478	96,754
2008-06-16	$43.65	$45.00	39.1%	11.2%	33.2%	55.0%	37.9%	1.8%	1.7%	2.0M	-23.2M	-1.8M	0.91	20.07	3,289	3,009	179,372	98,349
2008-06-17	$44.04	$45.00	38.4%	11.0%	33.3%	52.3%	38.1%	1.1%	2.2%	2.3M	-44.4M	-1.8M	0.26	20.77	4,533	1,183	179,589	99,449
2008-06-18	$44.28	$45.00	39.1%	11.2%	31.9%	54.7%	39.6%	3.6%	1.5%	2.7M	-53.7M	-1.8M	1.86	19.72	1,750	3,250	181,693	99,562
2008-06-19	$44.05	$45.00	39.3%	11.3%	31.8%	55.4%	40.1%	1.4%	1.9%	2.0M	-34.0M	-1.8M	0.27	20.41	9,243	2,486	182,489	101,083
2008-06-20	$43.84	$43.00	37.9%	10.9%	31.8%	50.6%	37.2%	3.3%	1.7%	-97.3K	-26.8M	-1.8M	0.28	20.31	10,969	3,071	186,764	101,552
2008-06-23	$44.28	$43.00	37.2%	10.7%	32.1%	47.9%	36.3%	5.0%	1.6%	2.8M	-75.6M	-1.8M	1.60	19.47	3,732	5,980	126,368	66,852
2008-06-24	$44.06	$43.00	36.2%	10.4%	30.9%	44.3%	35.4%	3.4%	1.7%	2.8M	-68.6M	-1.8M	0.50	21.82	1,928	955	128,095	69,845
2008-06-25	$43.88	$43.00	37.2%	10.7%	30.4%	48.1%	37.8%	3.8%	0.3%	2.8M	-63.9M	-1.8M	0.82	21.81	6,056	4,959	128,946	69,286
2008-06-26	$46.42	$43.00	35.0%	10.0%	34.5%	39.9%	34.7%	6.3%	2.8%	3.8M	-148.4M	-1.9M	0.22	20.06	5,807	1,270	129,772	69,925
2008-06-27	$48.29	$43.00	34.2%	9.8%	36.7%	37.2%	34.7%	5.0%	2.4%	4.5M	-215.2M	-2.0M	0.48	16.06	9,924	4,716	129,772	69,925
2008-06-30	$48.59	$44.00	34.5%	9.9%	36.7%	38.3%	35.1%	4.8%	2.2%	5.2M	-228.0M	-2.0M	0.31	21.46	6,750	2,071	136,456	73,419