GDX Options History — December 2008

In December 2008, GDX traded between $22.50 and $33.88. ATM implied volatility averaged 79.3%, placing in the 35.6% IV rank vs the trailing year. The 30-day expected move averaged 22.8%. IV traded below realized volatility by 40.0% (HV 20d: 119.3%). Max pain ranged from $25.00 to $32.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.55.

Notable Days

2008-12-19: Highest Volume — 46,246 contracts
2008-12-16: Largest IV drop — 10.4% change
2008-12-01: Highest IV Rank — 47.1%
2008-12-01: Largest Expected Move — 27.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.72	$22.50	$33.88	$22.50	$33.88
Max Pain	$29.18	$25.00	$32.00	$25.00	$30.00
ATM IV	79.3%	65.5%	95.0%	95.0%	65.5%
Expected Move	22.8%	18.8%	27.2%	27.2%	18.8%
HV 20d	119.3%	66.5%	145.3%	141.8%	66.5%
HV 60d	126.3%	123.0%	128.6%	127.4%	123.0%
IV Rank	35.6%	25.5%	47.1%	47.1%	25.5%
IV Percentile	82.2%	73.0%	92.9%	92.9%	73.0%
Term Structure	0.0%	-4.2%	4.1%	-4.0%	1.1%
VWIV	80.0%	68.8%	95.2%	95.2%	68.8%
Skew 25d	10.5%	5.2%	14.4%	5.2%	12.2%
Skew 10d	18.4%	9.4%	26.8%	10.1%	19.6%
Call IV 25d	74.7%	61.0%	95.5%	95.5%	61.0%
Put IV 25d	85.2%	73.1%	100.6%	100.6%	73.1%
Bid-Ask Spread %	14.76	7.72	31.86	15.91	7.72
Gamma HHI	0.09	0.06	0.20	0.06	0.06
Net GEX	3.7M	1.2M	9.1M	1.4M	2.9M
Net DEX	-102.8M	-335.0M	78.1M	60.5M	-206.9M
Net VEX	-1.3M	-1.5M	-1.2M	-1.2M	-1.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.55	0.11	3.02	0.64	0.46
Total Volume	17,169.227	6,461	46,246	13,959	9,682
Total OI	522,275.045	386,451	601,114	561,363	401,531

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
2008-12-01	$22.50	$25.00	95.0%	27.2%	141.8%	47.1%	95.2%	5.2%	-4.0%	1.4M	60.5M	-1.2M	0.64	15.91	8,507	5,452	377,918	183,445
2008-12-02	$24.69	$25.00	88.9%	25.5%	145.3%	42.6%	89.9%	13.0%	-2.6%	2.0M	26.2M	-1.4M	0.43	12.35	5,581	2,416	380,629	186,131
2008-12-03	$24.06	$25.00	87.1%	25.0%	138.5%	41.3%	86.1%	9.4%	0.2%	1.6M	50.1M	-1.3M	0.11	15.01	7,579	833	381,124	185,847
2008-12-04	$23.42	$25.00	88.2%	25.3%	138.7%	42.1%	92.0%	11.3%	2.4%	1.3M	78.1M	-1.2M	0.40	12.11	8,496	3,406	381,110	185,352
2008-12-05	$23.23	$32.00	90.7%	26.2%	136.3%	44.0%	92.9%	9.4%	-3.2%	1.2M	78.0M	-1.2M	0.33	19.20	10,430	3,459	384,843	189,756
2008-12-08	$25.26	$30.00	87.8%	24.9%	139.2%	41.8%	87.8%	10.2%	0.5%	2.1M	4.9M	-1.3M	0.13	13.81	12,775	1,721	387,393	191,313
2008-12-09	$25.41	$30.00	85.4%	25.0%	137.7%	40.1%	82.5%	13.8%	1.7%	2.3M	2.5M	-1.3M	0.14	17.89	11,280	1,545	389,613	190,310
2008-12-10	$28.13	$30.00	80.8%	23.4%	139.0%	36.7%	82.1%	14.4%	2.3%	4.5M	-115.5M	-1.4M	0.15	15.57	19,942	2,899	390,008	190,281
2008-12-11	$28.02	$30.00	82.8%	23.7%	131.6%	38.2%	83.4%	7.9%	-0.6%	4.3M	-102.8M	-1.4M	0.15	16.69	26,981	4,135	387,655	190,863
2008-12-12	$28.67	$29.00	80.5%	23.1%	127.1%	36.4%	76.8%	12.9%	1.8%	5.2M	-142.4M	-1.4M	0.17	15.23	10,494	1,814	395,685	191,316
2008-12-15	$30.34	$30.00	82.2%	23.6%	125.4%	37.7%	82.5%	8.4%	-2.3%	7.2M	-227.0M	-1.4M	0.21	13.54	15,710	3,278	395,590	191,142
2008-12-16	$32.34	$30.00	73.7%	21.1%	123.9%	31.5%	75.3%	11.1%	3.0%	8.8M	-335.0M	-1.5M	0.30	15.66	20,812	6,270	397,012	192,298
2008-12-17	$32.11	$30.00	77.0%	22.1%	124.0%	33.9%	75.5%	8.1%	0.1%	9.1M	-320.2M	-1.4M	0.41	16.60	27,506	11,284	396,888	194,667
2008-12-18	$29.84	$30.00	77.5%	22.2%	126.1%	34.3%	76.1%	6.0%	-1.1%	7.4M	-184.4M	-1.3M	0.44	13.56	13,201	5,756	401,295	199,282
2008-12-19	$30.58	$30.00	73.4%	21.0%	125.0%	31.3%	82.3%	10.1%	4.1%	6.3M	-222.2M	-1.4M	1.70	31.86	17,137	29,109	402,554	198,560
2008-12-22	$29.83	$30.00	72.9%	20.9%	98.5%	30.9%	69.7%	10.8%	0.2%	2.0M	-70.4M	-1.3M	0.43	13.82	7,018	2,986	238,362	148,089
2008-12-23	$30.74	$30.00	69.8%	20.0%	96.6%	28.6%	73.5%	12.5%	1.8%	2.2M	-90.0M	-1.3M	3.02	10.17	5,371	16,195	237,790	148,875
2008-12-24	$30.59	$30.00	70.8%	20.3%	96.1%	29.4%	71.9%	12.5%	0.7%	1.6M	-80.2M	-1.4M	0.60	10.80	4,411	2,643	239,674	159,548
2008-12-26	$32.25	$30.00	69.0%	19.8%	97.3%	28.0%	71.2%	10.2%	-0.2%	2.1M	-135.6M	-1.4M	0.73	10.28	5,492	4,011	239,626	159,485
2008-12-29	$33.03	$30.00	72.7%	20.8%	97.4%	30.8%	73.9%	13.7%	-0.7%	2.4M	-170.0M	-1.4M	0.60	15.20	8,515	5,130	241,096	160,866
2008-12-30	$33.00	$31.00	72.5%	20.8%	71.8%	30.7%	70.7%	8.7%	-4.2%	2.4M	-159.8M	-1.4M	0.59	11.70	4,058	2,403	243,148	162,081
2008-12-31	$33.88	$30.00	65.5%	18.8%	66.5%	25.5%	68.8%	12.2%	1.1%	2.9M	-206.9M	-1.4M	0.46	7.72	6,610	3,072	244,205	157,326