GDX Options History — July 2008 In July 2008, GDX traded between $43.19 and $50.84. ATM implied volatility averaged 40.1%, placing in the 50.6% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 0.3% (HV 20d: 39.8%). Max pain ranged from $42.00 to $50.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.50.
Notable Days 2008-07-30 : Highest Volume — 30,187 contracts2008-07-07 : Largest IV spike — 10.7% change2008-07-30 : Highest IV Rank — 70.5%2008-07-30 : Largest Expected Move — 13.0%Monthly Statistics Metric Avg Min Max Open Close Price $46.58 $43.19 $50.84 $49.53 $43.48 Max Pain $45.91 $42.00 $50.00 $44.00 $42.00 ATM IV 40.1% 33.7% 45.2% 33.7% 44.2% Expected Move 11.6% 9.7% 13.0% 9.7% 12.7% HV 20d 39.8% 32.3% 48.5% 36.1% 39.9% HV 60d 37.1% 36.3% 38.2% 36.4% 36.4% IV Rank 50.6% 34.7% 70.5% 35.3% 66.1% IV Percentile 58.7% 14.7% 89.3% 14.7% 86.1% Term Structure 1.1% -1.3% 4.3% 2.0% 0.6% VWIV 40.9% 36.1% 46.3% 36.1% 44.0% Skew 25d 4.8% 1.8% 7.6% 5.2% 2.9% Skew 10d 9.6% 4.9% 14.1% 14.1% 13.5% Call IV 25d 38.6% 32.1% 44.6% 32.1% 44.6% Put IV 25d 43.4% 37.3% 48.3% 37.3% 47.4% Bid-Ask Spread % 22.04 15.98 28.65 17.30 28.17 Gamma HHI 0.17 0.11 0.24 0.19 0.11 Net GEX 5.6M 4.1M 7.5M 6.2M 6.8M Net DEX -172.4M -304.8M -69.5M -270.7M -110.6M Net VEX -2.0M -2.2M -1.2M -2.0M -2.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.50 0.13 0.98 0.74 0.26 Total Volume 12,672.227 4,608 30,187 13,156 5,391 Total OI 236,630.909 157,562 290,178 213,176 290,178
Daily Data (22 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 2008-07-01 $49.53 $44.00 33.7% 9.7% 36.1% 35.3% 36.1% 5.2% 2.0% 6.2M -270.7M -2.0M 0.74 17.30 7,554 5,602 139,437 73,739 2008-07-02 $48.14 $44.00 36.7% 10.5% 37.2% 44.7% 36.9% 5.5% 1.4% 5.8M -226.5M -2.0M 0.80 17.74 2,556 2,052 141,607 74,935 2008-07-03 $47.07 $44.00 35.7% 10.2% 37.4% 41.1% 38.5% 7.6% 4.3% 5.3M -185.9M -2.0M 0.51 17.12 3,662 1,874 142,315 75,636 2008-07-07 $46.25 $45.00 39.6% 11.8% 37.4% 54.7% 40.9% 4.0% -0.1% 5.0M -151.8M -1.9M 0.71 15.98 3,716 2,636 144,262 75,510 2008-07-08 $45.55 $44.00 39.0% 12.1% 37.7% 49.9% 42.4% 5.8% -0.8% 4.7M -130.8M -1.9M 0.32 17.65 8,971 2,840 145,414 76,087 2008-07-09 $45.36 $45.00 38.9% 12.2% 32.3% 49.5% 42.8% 3.4% -1.3% 4.9M -139.3M -1.9M 0.49 16.25 3,737 1,844 148,682 76,812 2008-07-10 $46.67 $44.00 42.0% 12.0% 33.7% 61.8% 42.5% 7.3% -0.8% 5.6M -186.6M -2.0M 0.98 17.51 2,728 2,673 149,121 77,484 2008-07-11 $48.71 $45.00 40.8% 11.7% 35.2% 50.2% 40.9% 7.6% 1.7% 6.9M -274.1M -2.0M 0.59 19.12 10,937 6,443 150,324 78,066 2008-07-14 $50.84 $45.00 40.7% 11.7% 37.4% 50.0% 40.9% 6.0% 0.7% 6.3M -274.3M -1.2M 0.39 26.53 9,276 3,648 105,833 51,729 2008-07-15 $49.60 $48.00 41.3% 11.8% 39.2% 52.7% 42.0% 4.5% 0.2% 7.5M -304.8M -2.2M 0.64 28.27 11,268 7,264 160,530 87,007 2008-07-16 $48.57 $50.00 40.4% 11.6% 40.3% 48.5% 41.8% 6.1% 1.2% 5.8M -239.2M -2.2M 0.50 27.79 7,649 3,795 162,546 93,846 2008-07-17 $47.55 $50.00 42.0% 12.0% 41.4% 55.8% 42.0% 5.9% -0.1% 5.4M -207.9M -2.1M 0.40 23.10 11,111 4,421 164,325 93,500 2008-07-18 $47.55 $50.00 40.8% 11.7% 41.3% 50.5% 41.2% 4.3% 1.0% 5.8M -199.9M -2.2M 0.57 24.54 4,899 2,799 167,621 93,887 2008-07-21 $48.69 $48.00 37.4% 10.7% 41.7% 34.7% 38.7% 5.8% 3.4% 5.9M -213.0M -2.2M 0.53 22.44 4,814 2,555 149,870 75,321 2008-07-22 $47.00 $48.00 39.3% 11.3% 44.1% 43.3% 38.0% 3.3% 0.2% 5.4M -152.0M -2.1M 0.13 25.01 16,739 2,163 152,525 76,320 2008-07-23 $44.57 $48.00 38.9% 11.1% 48.3% 41.4% 38.5% 2.7% 2.6% 4.1M -72.0M -1.9M 0.53 22.44 12,181 6,470 154,450 77,175 2008-07-24 $44.01 $47.00 42.0% 12.0% 48.5% 55.7% 42.3% 3.6% 2.5% 4.3M -69.5M -2.0M 0.30 20.19 12,675 3,813 160,558 79,174 2008-07-25 $44.26 $45.00 40.1% 11.5% 43.9% 47.0% 39.4% 3.2% 2.0% 5.4M -103.7M -2.1M 0.18 25.34 16,627 3,048 170,471 80,644 2008-07-28 $44.61 $45.00 42.7% 12.3% 41.2% 59.2% 40.1% 4.9% 2.1% 6.2M -126.5M -2.1M 0.19 28.65 7,694 1,476 179,080 81,810 2008-07-29 $43.67 $45.00 41.0% 11.8% 41.5% 51.5% 43.3% 1.8% 1.4% 5.5M -73.8M -1.9M 0.70 22.36 9,994 7,007 176,321 82,335 2008-07-30 $43.19 $44.00 45.2% 13.0% 40.5% 70.5% 46.3% 4.0% 0.5% 5.4M -79.0M -1.9M 0.44 21.50 20,954 9,233 181,152 88,241 2008-07-31 $43.48 $42.00 44.2% 12.7% 39.9% 66.1% 44.0% 2.9% 0.6% 6.8M -110.6M -2.1M 0.26 28.17 4,275 1,116 196,074 94,104
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