GDX Options History — August 2008

In August 2008, GDX traded between $34.43 and $42.40. ATM implied volatility averaged 46.9%, placing in the 63.4% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded below realized volatility by 4.2% (HV 20d: 51.0%). Max pain ranged from $36.00 to $43.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.48.

Notable Days

2008-08-11: Highest Volume — 82,782 contracts
2008-08-05: Largest IV spike — 17.4% change
2008-08-05: Highest IV Rank — 100.0%
2008-08-11: Largest Expected Move — 15.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.36	$34.43	$42.40	$42.40	$37.64
Max Pain	$38.19	$36.00	$43.00	$42.00	$36.00
ATM IV	46.9%	39.9%	57.4%	44.5%	39.9%
Expected Move	13.5%	11.4%	15.2%	12.8%	11.4%
HV 20d	51.0%	40.1%	58.5%	40.1%	58.1%
HV 60d	42.8%	36.6%	46.5%	36.6%	45.6%
IV Rank	63.4%	36.3%	100.0%	67.4%	36.3%
IV Percentile	85.7%	47.6%	100.0%	87.3%	47.6%
Term Structure	0.7%	-3.4%	5.8%	1.1%	5.8%
VWIV	47.0%	42.4%	52.4%	44.4%	42.5%
Skew 25d	0.6%	-1.7%	4.7%	4.1%	-1.1%
Skew 10d	0.8%	-7.2%	6.6%	3.1%	2.3%
Call IV 25d	47.0%	41.9%	54.9%	42.8%	41.9%
Put IV 25d	47.7%	40.8%	53.7%	46.9%	40.8%
Bid-Ask Spread %	17.12	9.79	21.12	17.91	16.78
Gamma HHI	0.16	0.10	0.39	0.11	0.10
Net GEX	7.9M	5.1M	18.7M	6.1M	6.8M
Net DEX	-13.9M	-150.3M	150.7M	-56.2M	-94.3M
Net VEX	-2.0M	-2.2M	-1.5M	-2.0M	-2.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.48	0.07	1.47	0.26	0.26
Total Volume	28,650.238	2,319	82,782	8,089	2,319
Total OI	395,535.714	290,215	493,714	290,215	423,585

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
2008-08-01	$42.40	$42.00	44.5%	12.8%	40.1%	67.4%	44.4%	4.1%	1.1%	6.1M	-56.2M	-2.0M	0.26	17.91	6,443	1,646	196,190	94,025
2008-08-04	$40.85	$43.00	48.9%	13.8%	41.5%	87.5%	47.4%	4.7%	-2.1%	5.3M	2.6M	-1.8M	0.75	17.63	24,051	18,132	199,886	94,568
2008-08-05	$38.59	$43.00	57.4%	14.9%	45.2%	100.0%	52.1%	2.1%	-3.3%	5.7M	51.2M	-1.7M	0.38	18.89	25,496	9,714	219,035	98,036
2008-08-06	$39.21	$43.00	48.0%	14.1%	46.0%	65.8%	48.8%	3.5%	-0.8%	8.2M	13.0M	-1.9M	0.08	15.24	54,439	4,248	236,415	103,993
2008-08-07	$38.92	$43.00	45.0%	13.7%	44.0%	54.9%	47.9%	0.8%	-0.9%	13.6M	-6.1M	-1.9M	0.21	17.38	45,138	9,442	269,553	105,576
2008-08-08	$36.30	$41.00	48.6%	14.1%	44.5%	68.2%	48.5%	-0.5%	-0.9%	7.4M	100.0M	-1.7M	0.16	9.79	64,945	10,257	268,667	111,280
2008-08-11	$34.43	$40.00	55.8%	15.2%	40.9%	94.1%	52.2%	-1.7%	-2.6%	6.8M	150.7M	-1.5M	1.34	18.08	35,316	47,466	297,638	114,952
2008-08-12	$35.37	$39.00	50.9%	15.1%	44.0%	76.4%	52.4%	0.3%	-3.4%	9.4M	117.7M	-1.8M	0.07	18.66	57,899	4,105	322,431	139,735
2008-08-13	$37.55	$36.00	45.1%	14.1%	51.7%	55.5%	49.5%	1.7%	-1.0%	18.7M	-88.9M	-2.1M	0.30	18.60	16,463	4,931	342,501	134,485
2008-08-14	$35.87	$36.00	47.4%	13.6%	53.0%	63.6%	45.1%	-0.8%	0.5%	13.5M	37.5M	-2.0M	0.74	14.52	12,241	9,027	347,461	135,269
2008-08-15	$34.46	$36.00	49.5%	14.2%	53.5%	71.3%	50.7%	-0.9%	-0.6%	5.1M	113.3M	-1.9M	0.50	18.28	23,207	11,672	354,098	139,616
2008-08-18	$35.11	$36.00	49.3%	14.1%	53.0%	70.5%	49.6%	-1.1%	0.5%	5.6M	-2.9M	-2.0M	0.69	18.02	8,565	5,893	266,358	120,357
2008-08-19	$36.14	$36.00	47.8%	13.7%	54.8%	65.3%	48.1%	-1.5%	2.2%	6.2M	-42.7M	-2.1M	0.15	17.35	9,656	1,424	270,859	124,005
2008-08-20	$36.18	$36.00	45.3%	13.0%	52.9%	56.0%	46.2%	-0.2%	2.8%	6.1M	1.7M	-1.7M	0.28	21.12	7,274	2,046	240,191	82,396
2008-08-21	$38.30	$36.00	45.9%	13.2%	58.0%	58.3%	46.0%	1.5%	1.3%	7.3M	-150.3M	-2.2M	0.40	17.41	10,143	4,041	271,973	125,217
2008-08-22	$37.49	$36.00	43.1%	12.4%	58.1%	48.3%	43.4%	0.9%	3.5%	7.1M	-88.2M	-2.1M	1.47	18.52	3,694	5,445	273,976	126,444
2008-08-25	$37.05	$36.00	43.1%	12.4%	57.8%	48.3%	43.1%	0.8%	3.7%	6.8M	-62.5M	-2.1M	1.17	14.16	9,604	11,197	271,850	129,327
2008-08-26	$37.02	$36.00	43.6%	12.5%	57.6%	50.1%	44.1%	1.5%	2.9%	6.6M	-65.4M	-2.2M	0.55	15.03	6,323	3,447	278,079	138,659
2008-08-27	$37.80	$36.00	43.5%	12.5%	58.5%	49.5%	43.3%	-0.6%	2.2%	6.8M	-107.8M	-2.2M	0.22	18.27	2,890	632	278,625	139,733
2008-08-28	$37.92	$36.00	41.7%	12.0%	58.5%	43.1%	42.4%	-0.3%	3.6%	6.9M	-113.6M	-2.2M	0.13	17.98	9,534	1,250	279,247	139,959
2008-08-29	$37.64	$36.00	39.9%	11.4%	58.1%	36.3%	42.5%	-1.1%	5.8%	6.8M	-94.3M	-2.2M	0.26	16.78	1,844	475	283,321	140,264