GDX Options History — November 2008

In November 2008, GDX traded between $18.20 and $26.57. ATM implied volatility averaged 84.9%, placing in the 39.7% IV rank vs the trailing year. The 30-day expected move averaged 24.0%. IV traded below realized volatility by 50.8% (HV 20d: 135.7%). Max pain ranged from $21.00 to $26.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.96.

Notable Days

  • 2008-11-20: Highest Volume — 53,175 contracts
  • 2008-11-13: Largest IV drop — 14.7% change
  • 2008-11-20: Highest IV Rank — 48.8%
  • 2008-11-20: Largest Expected Move — 27.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.13$18.20$26.57$21.01$26.57
Max Pain$24.47$21.00$26.00$21.00$25.00
ATM IV84.9%73.6%97.4%91.7%73.6%
Expected Move24.0%21.1%27.9%26.3%21.1%
HV 20d135.7%116.2%150.6%141.9%128.0%
HV 60d112.6%103.4%123.7%103.4%123.0%
IV Rank39.7%31.4%48.8%44.7%31.4%
IV Percentile90.4%83.7%94.4%92.9%83.7%
Term Structure-0.8%-8.0%5.8%-0.5%2.1%
VWIV83.9%74.8%97.6%92.6%76.5%
Skew 25d6.3%-7.1%14.1%0.4%8.9%
Skew 10d12.9%-10.0%32.9%8.5%26.5%
Call IV 25d81.9%70.4%94.8%91.4%73.4%
Put IV 25d88.2%77.8%101.9%91.9%82.3%
Bid-Ask Spread %22.0912.9087.7818.4113.66
Gamma HHI0.070.050.130.060.07
Net GEX2.0M254.7K3.5M2.2M3.2M
Net DEX66.4M-44.5M164.1M63.6M-44.5M
Net VEX-1.2M-1.5M-904.8K-1.1M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.332.980.450.46
Total Volume20,972.4746,16453,1757,5976,164
Total OI550,414.368498,568611,520498,568559,359

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-11-03$21.01$21.0091.7%26.3%141.9%44.7%92.6%0.4%-0.5%2.2M63.6M-1.1M0.4518.415,2362,361364,955133,613
2008-11-04$23.90$21.0080.4%23.0%150.6%36.4%83.4%11.9%-0.8%3.4M11.1M-1.3M0.4526.3412,4865,608366,268132,683
2008-11-05$23.50$22.0079.6%22.8%141.4%35.8%79.4%7.7%-8.0%3.4M5.6M-1.4M2.2487.785,70412,777368,841133,646
2008-11-06$21.93$22.0080.5%23.1%142.6%36.5%77.9%-7.1%-3.4%2.2M86.1M-1.1M1.6017.355,3898,598369,233140,672
2008-11-07$21.75$26.0076.8%21.6%135.1%33.7%74.8%2.6%0.9%2.1M75.6M-1.1M1.6324.734,5237,394370,160145,442
2008-11-10$23.15$26.0081.5%21.9%137.2%37.2%76.9%2.2%-0.3%2.7M53.9M-1.2M0.9516.096,3395,991370,810148,199
2008-11-11$21.64$26.0086.5%23.1%138.3%40.9%79.8%-2.5%1.0%1.9M91.3M-1.1M2.9836.665,06015,058372,271152,337
2008-11-12$19.40$26.0092.4%24.2%137.5%45.2%82.9%6.9%-2.1%653.3K143.0M-904.8K1.0115.2218,20018,456374,212162,896
2008-11-13$21.66$25.0078.9%22.6%140.4%35.3%81.4%13.3%-0.7%1.3M109.3M-1.1M0.6816.7519,61413,278388,283176,804
2008-11-14$20.55$25.0088.3%25.3%141.4%42.2%88.9%3.5%1.1%1.2M100.7M-1.2M0.4419.4813,3785,910398,888182,538
2008-11-17$19.66$25.0092.2%26.4%135.7%45.1%89.4%6.3%-4.4%861.6K127.2M-1.1M0.3420.5714,0894,797401,650183,222
2008-11-18$19.56$25.0092.5%26.5%131.5%45.2%89.6%7.5%-3.4%741.0K137.3M-1.0M0.5817.0012,0336,930409,198184,865
2008-11-19$18.61$25.0093.3%26.8%118.0%45.9%91.9%5.8%-5.9%442.7K151.8M-972.2K0.7115.477,0344,983412,915188,286
2008-11-20$18.20$25.0097.4%27.9%116.2%48.8%97.6%7.1%-1.1%254.7K164.1M-925.6K0.7215.8230,84622,329415,190190,501
2008-11-21$23.03$25.0092.0%26.4%142.7%44.9%91.3%13.2%-4.5%3.5M21.3M-1.4M0.3517.4026,2489,304416,732194,788
2008-11-24$24.63$25.0081.3%23.3%139.2%37.1%84.0%11.2%4.6%2.5M-3.6M-1.4M0.3313.0519,9946,580374,235173,183
2008-11-25$25.69$25.0078.5%22.5%133.1%35.0%75.8%7.3%5.8%2.6M-3.2M-1.4M1.6914.956,37510,791372,223174,962
2008-11-26$26.11$25.0076.0%21.8%128.4%33.2%80.1%14.1%4.3%2.9M-29.7M-1.5M0.5812.9011,7876,833372,881180,932
2008-11-28$26.57$25.0073.6%21.1%128.0%31.4%76.5%8.9%2.1%3.2M-44.5M-1.5M0.4613.664,2161,948376,160183,199