GDX Options History — September 2008

In September 2008, GDX traded between $28.10 and $38.09. ATM implied volatility averaged 60.7%, placing in the 83.6% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded below realized volatility by 13.2% (HV 20d: 73.9%). Max pain ranged from $32.00 to $36.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.49.

Notable Days

  • 2008-09-10: Highest Volume — 68,994 contracts
  • 2008-09-29: Largest IV spike — 31.4% change
  • 2008-09-09: Highest IV Rank — 100.0%
  • 2008-09-29: Largest Expected Move — 22.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.25$28.10$38.09$35.25$33.79
Max Pain$33.48$32.00$36.00$36.00$34.00
ATM IV60.7%46.1%77.8%46.1%70.7%
Expected Move17.4%13.2%22.3%13.2%20.3%
HV 20d73.9%59.4%87.3%60.9%84.3%
HV 60d57.1%47.1%63.7%47.1%63.6%
IV Rank83.6%59.0%100.0%59.0%84.9%
IV Percentile97.5%87.3%100.0%87.3%99.2%
Term Structure-3.5%-16.7%13.3%3.1%-7.8%
VWIV60.6%47.1%77.6%47.1%70.3%
Skew 25d0.2%-5.2%13.8%-1.3%-5.2%
Skew 10d2.5%-8.9%39.8%3.8%4.6%
Call IV 25d61.5%47.6%76.3%47.6%73.4%
Put IV 25d61.7%46.3%81.7%46.3%68.2%
Bid-Ask Spread %35.8815.92104.7616.4643.61
Gamma HHI0.160.070.330.120.07
Net GEX6.4M2.2M14.4M5.4M5.1M
Net DEX-59.6M-328.8M221.2M39.0M-155.5M
Net VEX-2.2M-2.7M-1.4M-1.9M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.171.520.311.07
Total Volume34,073.7625,33268,99418,2569,252
Total OI492,063.571393,999587,643423,209430,607

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-09-02$35.25$36.0046.1%13.2%60.9%59.0%47.1%-1.3%3.1%5.4M39.0M-1.9M0.3116.4613,9764,280282,880140,329
2008-09-03$33.57$36.0047.4%13.6%60.1%63.4%47.9%-0.3%3.4%4.6M94.3M-1.8M0.2115.9253,05611,012291,883140,958
2008-09-04$32.18$35.0053.4%15.3%60.7%84.9%50.7%-2.7%0.4%3.9M133.8M-1.7M0.2217.3954,08911,835300,621148,410
2008-09-05$32.65$36.0049.8%14.8%61.3%71.7%51.7%1.4%-3.0%5.5M100.2M-2.0M0.6216.8814,8999,198345,587159,842
2008-09-08$30.94$35.0054.5%15.4%59.4%89.3%53.9%0.7%-3.5%4.3M149.4M-1.8M0.1917.6928,7675,536352,693154,819
2008-09-09$28.10$34.0062.3%17.2%65.5%100.0%61.7%-1.0%-4.0%2.2M221.2M-1.4M0.6118.0739,26024,118363,901150,554
2008-09-10$29.08$33.0055.3%16.5%66.1%77.8%58.6%-0.9%-2.7%3.9M162.4M-1.7M0.9820.1234,85734,137392,998153,108
2008-09-11$28.20$33.0061.4%17.6%61.0%97.0%60.6%-0.4%-4.6%3.6M162.4M-1.8M0.3519.5320,1067,098403,200164,134
2008-09-12$31.25$32.0061.1%17.5%72.6%96.3%61.4%-0.8%-4.2%8.2M-391.3K-2.3M0.4620.8719,2258,792410,165166,158
2008-09-15$30.33$32.0065.3%18.7%72.0%100.0%66.2%-1.3%-6.0%6.1M80.9M-2.2M0.4836.269,4654,543414,551173,092
2008-09-16$30.55$32.0070.8%20.3%71.6%100.0%71.5%0.1%-7.7%7.0M35.9M-2.2M1.5221.235,9759,072413,849169,466
2008-09-17$34.10$32.0069.6%20.0%82.0%97.0%72.5%-2.3%13.3%11.8M-222.2M-2.6M0.4991.1440,10719,731414,265165,971
2008-09-18$34.20$32.0070.0%20.1%82.0%98.0%62.7%13.8%-16.7%14.4M-243.5M-2.5M0.22104.7645,91410,254421,309165,141
2008-09-19$35.20$32.0063.4%18.2%79.9%81.5%64.1%0.7%-8.8%12.0M-305.6M-2.6M0.1746.4720,6743,544408,967165,234
2008-09-22$38.09$32.0059.8%17.2%84.8%72.7%59.5%3.4%-4.9%6.5M-328.8M-2.7M0.3145.5333,15010,312269,537124,462
2008-09-23$37.18$33.0060.7%17.4%85.2%74.8%60.7%2.0%-4.4%6.3M-280.2M-2.7M0.2841.4925,6327,292275,710129,925
2008-09-24$37.39$33.0058.0%16.6%85.2%68.2%57.8%0.6%-0.5%6.3M-288.6M-2.7M0.2133.806,8711,420279,455130,946
2008-09-25$36.40$33.0058.2%16.7%85.4%68.5%59.0%0.4%-2.7%6.0M-237.3M-2.6M0.7226.0912,6749,110281,697131,490
2008-09-26$35.83$34.0059.2%17.0%85.5%71.1%57.7%-2.6%-2.3%5.7M-200.3M-2.6M0.5939.593,3631,969286,599136,407
2008-09-29$34.00$34.0077.8%22.3%87.3%100.0%77.6%0.8%-10.8%4.8M-167.7M-2.6M0.3060.6823,9017,083286,823135,592
2008-09-30$33.79$34.0070.7%20.3%84.3%84.9%70.3%-5.2%-7.8%5.1M-155.5M-2.5M1.0743.614,4734,779294,462136,145