GDX Options History — January 2009

In January 2009, GDX traded between $28.20 and $34.40. ATM implied volatility averaged 56.8%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 18.8%. IV traded below realized volatility by 12.3% (HV 20d: 69.1%). Max pain ranged from $30.00 to $33.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.72.

Notable Days

  • 2009-01-26: Highest Volume — 45,793 contracts
  • 2009-01-15: Largest IV spike — 493.7% change
  • 2009-01-15: Highest IV Rank — 39.1%
  • 2009-01-14: Largest Expected Move — 21.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.72$28.20$34.40$33.32$34.23
Max Pain$31.30$30.00$33.00$30.00$32.00
ATM IV56.8%12.3%73.2%61.4%59.5%
Expected Move18.8%15.3%21.7%17.6%17.1%
HV 20d69.1%65.4%73.3%65.8%70.3%
HV 60d110.7%99.5%122.9%122.9%99.6%
IV Rank24.8%0.0%39.1%22.5%30.5%
IV Percentile61.4%0.0%77.4%71.4%66.3%
Term Structure4.1%-1.2%9.2%0.9%6.3%
VWIV65.9%55.7%77.4%57.4%59.0%
Skew 25d16.1%11.4%22.0%12.2%16.9%
Skew 10d24.3%12.0%34.1%21.0%24.2%
Call IV 25d59.1%49.3%67.8%57.8%53.6%
Put IV 25d75.2%65.7%84.0%70.1%70.5%
Bid-Ask Spread %17.2411.6723.5911.6715.57
Gamma HHI0.090.060.260.070.07
Net GEX2.6M366.1K4.4M3.0M4.4M
Net DEX-134.9M-237.1M-2.8M-213.8M-237.1M
Net VEX-1.3M-1.6M-1.1M-1.3M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.271.700.450.32
Total Volume24,075.3511,33745,79311,33743,850
Total OI365,745.3232,246466,275406,736317,887

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-01-02$33.32$30.0061.4%17.6%65.8%22.5%57.4%12.2%0.9%3.0M-213.8M-1.3M0.4511.677,8253,512247,815158,921
2009-01-05$31.74$33.0060.0%18.9%68.1%21.4%67.9%16.2%4.5%2.6M-141.4M-1.2M0.8218.068,3576,884245,897160,489
2009-01-06$32.61$33.0039.6%18.5%67.6%6.6%67.4%15.7%5.1%3.0M-186.2M-1.2M1.0117.328,7468,853248,010164,585
2009-01-07$30.05$33.0052.4%21.2%71.3%15.9%72.5%11.4%-1.2%1.3M-66.2M-1.2M1.1423.5913,17914,966251,839171,306
2009-01-08$31.79$31.0059.1%21.0%73.3%20.8%68.0%15.6%0.2%2.6M-141.3M-1.3M0.3120.8213,6274,202260,479180,058
2009-01-09$31.31$31.0053.7%20.5%65.5%16.9%71.7%13.8%-1.1%3.4M-137.4M-1.2M0.6815.967,1674,899268,120179,948
2009-01-12$28.95$31.0039.4%21.5%71.9%6.4%72.8%16.4%-0.2%1.8M-44.0M-1.1M0.6818.9914,87310,101269,839180,602
2009-01-13$29.52$31.0073.2%19.4%71.8%31.1%77.4%18.3%2.9%1.8M-49.2M-1.1M1.7017.3810,67918,144272,899180,887
2009-01-14$28.20$31.0012.3%21.7%70.5%0.0%72.9%14.0%0.1%831.4K-12.9M-1.1M1.0918.618,0098,758280,020184,827
2009-01-15$29.13$31.0072.9%20.9%67.4%39.1%71.0%15.8%3.1%366.1K-2.8M-1.1M0.4518.0114,9246,728277,057181,935
2009-01-16$30.93$31.0068.0%19.5%71.2%36.0%67.3%18.2%4.3%4.2M-127.6M-1.2M0.5022.0618,2119,066283,128183,147
2009-01-20$30.88$30.0067.0%19.2%66.0%35.3%66.9%16.8%5.2%1.6M-103.0M-1.2M0.4717.2018,1828,632148,85383,393
2009-01-21$31.65$31.0064.9%18.6%66.0%33.9%64.8%22.0%5.4%2.1M-122.6M-1.2M0.4414.349,0744,001156,66587,541
2009-01-22$31.46$31.0065.7%18.8%65.4%34.5%62.8%15.8%5.3%1.9M-116.3M-1.2M0.2717.7610,3932,804155,60289,265
2009-01-23$34.14$31.0060.2%17.3%70.6%30.9%61.8%18.1%9.2%3.1M-201.5M-1.3M0.3314.6733,94311,175160,14189,979
2009-01-26$33.97$31.0058.4%16.7%70.6%29.7%59.1%18.6%9.1%3.8M-218.6M-1.4M0.6014.4628,56017,233180,14896,942
2009-01-27$33.47$31.0057.4%16.5%68.6%29.1%59.3%15.1%8.5%3.6M-190.9M-1.5M1.1917.4010,69812,692191,348110,451
2009-01-28$32.73$31.0053.2%15.3%68.6%26.4%62.8%16.4%7.5%3.1M-159.8M-1.5M1.6916.647,31412,342192,442114,375
2009-01-29$34.40$32.0057.1%16.4%70.9%28.9%55.7%14.6%7.7%3.9M-224.8M-1.6M0.2814.3822,6566,248192,461115,605
2009-01-30$34.23$32.0059.5%17.1%70.3%30.5%59.0%16.9%6.3%4.4M-237.1M-1.6M0.3215.5733,30710,543202,675115,212