GDX Options History — February 2009

In February 2009, GDX traded between $32.90 and $37.37. ATM implied volatility averaged 52.9%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded below realized volatility by 4.2% (HV 20d: 57.2%). Max pain ranged from $30.00 to $33.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.62.

Notable Days

2009-02-20: Highest Volume — 65,014 contracts
2009-02-12: Largest IV spike — 117.3% change
2009-02-23: Highest IV Rank — 32.5%
2009-02-23: Largest Expected Move — 18.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.95	$32.90	$37.37	$32.90	$33.36
Max Pain	$31.58	$30.00	$33.00	$32.00	$33.00
ATM IV	52.9%	26.0%	62.7%	60.6%	57.5%
Expected Move	16.4%	10.5%	18.0%	17.4%	16.5%
HV 20d	57.2%	47.9%	71.5%	71.5%	54.2%
HV 60d	85.9%	66.6%	96.8%	96.8%	66.6%
IV Rank	26.2%	8.9%	32.5%	31.2%	29.1%
IV Percentile	54.4%	0.4%	69.4%	67.5%	61.1%
Term Structure	5.4%	-4.2%	14.4%	12.0%	-4.2%
VWIV	57.6%	45.5%	64.3%	55.6%	60.4%
Skew 25d	11.8%	0.4%	21.3%	21.3%	0.4%
Skew 10d	17.8%	5.0%	30.1%	30.1%	5.0%
Call IV 25d	53.2%	45.3%	58.2%	53.9%	58.2%
Put IV 25d	65.0%	55.5%	75.2%	75.2%	58.6%
Bid-Ask Spread %	12.75	9.94	17.72	15.08	11.36
Gamma HHI	0.13	0.07	0.72	0.08	0.07
Net GEX	9.4M	4.1M	39.5M	4.7M	4.6M
Net DEX	-298.1M	-464.3M	-155.5M	-219.5M	-163.7M
Net VEX	-1.7M	-1.8M	-1.6M	-1.7M	-1.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.62	0.27	1.42	0.67	0.29
Total Volume	24,419.895	6,189	65,014	30,643	12,895
Total OI	366,167.526	315,989	398,532	340,578	382,773

Daily Data (19 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
2009-02-02	$32.90	$32.00	60.6%	17.4%	71.5%	31.2%	55.6%	21.3%	12.0%	4.7M	-219.5M	-1.7M	0.67	15.08	18,379	12,264	223,175	117,403
2009-02-03	$33.36	$32.00	60.2%	17.3%	69.4%	30.9%	64.3%	9.7%	2.3%	4.8M	-217.4M	-1.7M	1.42	15.59	8,057	11,469	228,177	125,743
2009-02-04	$34.06	$32.00	52.8%	15.1%	69.1%	26.2%	55.4%	15.0%	12.7%	5.9M	-257.6M	-1.8M	0.77	17.72	9,941	7,697	228,852	127,038
2009-02-05	$34.70	$32.00	36.7%	10.5%	61.7%	15.7%	45.5%	10.2%	14.4%	9.6M	-311.8M	-1.7M	0.38	16.15	4,482	1,707	235,596	133,066
2009-02-06	$35.42	$30.00	45.4%	17.0%	59.2%	21.4%	57.4%	14.1%	8.3%	8.0M	-329.7M	-1.8M	0.40	12.96	10,541	4,226	230,663	130,383
2009-02-09	$34.37	$30.00	41.6%	17.3%	60.1%	18.9%	59.6%	11.4%	3.9%	6.1M	-258.6M	-1.7M	0.85	14.33	6,204	5,279	232,275	133,089
2009-02-10	$34.00	$30.00	42.2%	17.2%	52.0%	19.3%	59.7%	10.7%	5.6%	6.5M	-238.6M	-1.7M	1.11	14.02	8,199	9,068	233,048	136,574
2009-02-11	$36.33	$30.00	26.0%	16.1%	55.9%	8.9%	55.7%	11.4%	5.6%	10.1M	-397.4M	-1.7M	0.48	11.47	21,340	10,289	234,131	139,059
2009-02-12	$36.48	$31.00	56.5%	16.2%	51.9%	28.5%	57.7%	11.7%	5.6%	10.6M	-404.9M	-1.7M	0.81	11.77	11,506	9,282	237,929	141,129
2009-02-13	$35.68	$31.00	54.4%	15.6%	52.8%	27.2%	52.6%	11.1%	7.5%	10.7M	-358.0M	-1.7M	0.37	12.11	8,049	2,984	243,624	140,298
2009-02-17	$37.00	$31.00	58.8%	16.8%	50.4%	30.0%	57.1%	12.7%	4.4%	13.6M	-464.3M	-1.7M	0.45	13.15	20,248	9,045	247,069	140,119
2009-02-18	$37.37	$31.00	59.0%	16.9%	50.3%	30.2%	60.5%	10.0%	2.3%	13.7M	-461.5M	-1.7M	0.27	10.76	15,664	4,248	247,503	144,339
2009-02-19	$35.64	$31.00	56.2%	16.1%	53.8%	28.3%	57.3%	12.0%	7.7%	10.3M	-332.7M	-1.7M	0.64	12.20	10,127	6,507	252,123	142,826
2009-02-20	$37.03	$32.00	59.0%	16.9%	54.8%	30.2%	60.3%	15.7%	4.0%	39.5M	-448.4M	-1.7M	0.60	10.97	40,583	24,431	253,550	144,982
2009-02-23	$36.47	$33.00	62.7%	18.0%	47.9%	32.5%	61.7%	14.9%	0.3%	5.7M	-300.5M	-1.7M	0.48	12.29	13,950	6,693	208,956	107,033
2009-02-24	$33.50	$33.00	62.4%	17.9%	57.2%	32.4%	60.2%	9.1%	0.6%	4.3M	-174.4M	-1.6M	0.68	10.27	31,910	21,732	213,409	107,756
2009-02-25	$32.90	$33.00	57.3%	16.4%	57.3%	29.0%	55.5%	13.0%	5.6%	4.1M	-155.5M	-1.7M	0.40	9.94	25,719	10,353	225,414	121,105
2009-02-26	$33.50	$33.00	56.7%	16.3%	57.1%	28.7%	58.2%	10.7%	4.3%	5.2M	-169.0M	-1.7M	0.78	10.08	16,212	12,698	240,844	126,130
2009-02-27	$33.36	$33.00	57.5%	16.5%	54.2%	29.1%	60.4%	0.4%	-4.2%	4.6M	-163.7M	-1.8M	0.29	11.36	10,025	2,870	249,420	133,353