GDX Options History — March 2009 In March 2009, GDX traded between $29.67 and $38.57. ATM implied volatility averaged 56.3%, placing in the 28.4% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded below realized volatility by 9.1% (HV 20d: 65.4%). Max pain ranged from $32.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.73.
Notable Days 2009-03-19 : Highest Volume — 66,308 contracts2009-03-12 : Largest IV spike — 31.2% change2009-03-02 : Highest IV Rank — 34.8%2009-03-10 : Largest Expected Move — 19.4%Monthly Statistics Metric Avg Min Max Open Close Price $34.31 $29.67 $38.57 $31.09 $36.88 Max Pain $33.00 $32.00 $35.00 $33.00 $35.00 ATM IV 56.3% 45.8% 66.2% 66.2% 47.4% Expected Move 17.0% 13.6% 19.4% 19.0% 13.6% HV 20d 65.4% 58.3% 74.8% 59.4% 63.9% HV 60d 64.1% 61.9% 66.0% 65.9% 64.1% IV Rank 28.4% 21.6% 34.8% 34.8% 22.6% IV Percentile 57.4% 43.3% 71.4% 71.4% 43.3% Term Structure 4.0% -0.5% 10.5% 2.4% 7.2% VWIV 60.1% 50.0% 69.1% 67.2% 50.0% Skew 25d 12.3% 7.1% 16.9% 10.7% 13.5% Skew 10d 17.8% 13.5% 23.5% 15.0% 19.2% Call IV 25d 55.9% 48.6% 64.5% 64.5% 48.7% Put IV 25d 68.1% 58.9% 76.1% 75.2% 62.1% Bid-Ask Spread % 18.23 9.73 23.52 12.91 18.35 Gamma HHI 0.10 0.07 0.18 0.07 0.08 Net GEX 5.6M 213.9K 16.0M 2.2M 3.9M Net DEX -216.4M -553.4M -9.1M -63.0M -245.3M Net VEX -1.8M -2.1M -1.5M -1.6M -2.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.73 0.23 1.42 0.75 0.90 Total Volume 26,531.773 9,428 66,308 48,980 9,698 Total OI 387,134 268,676 477,500 381,443 327,476
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 2009-03-02 $31.09 $33.00 66.2% 19.0% 59.4% 34.8% 67.2% 10.7% 2.4% 2.2M -63.0M -1.6M 0.75 12.91 27,988 20,992 247,410 134,033 2009-03-03 $31.68 $32.00 56.0% 16.1% 58.5% 28.2% 61.7% 15.8% 7.2% 3.7M -123.6M -1.7M 0.64 12.48 20,445 13,168 249,856 133,895 2009-03-04 $31.40 $32.00 55.5% 15.9% 58.3% 27.9% 55.7% 13.8% 10.5% 4.1M -110.2M -1.7M 0.66 9.73 8,380 5,500 255,469 129,968 2009-03-05 $33.02 $32.00 55.3% 15.9% 60.7% 27.8% 52.4% 12.6% 8.5% 5.8M -177.7M -1.8M 0.23 10.43 24,880 5,628 258,282 131,274 2009-03-06 $32.88 $32.00 57.0% 18.8% 60.3% 28.8% 62.8% 14.7% 4.6% 6.3M -201.9M -1.8M 1.00 18.19 16,533 16,498 267,857 135,318 2009-03-09 $31.55 $32.00 45.8% 19.2% 61.1% 21.6% 65.3% 16.9% 3.8% 4.7M -135.2M -1.6M 0.43 21.62 22,248 9,474 273,847 143,050 2009-03-10 $29.67 $32.00 49.5% 19.4% 63.7% 24.0% 66.3% 12.7% 4.1% 213.9K -9.1M -1.5M 0.51 19.05 21,159 10,796 273,137 147,209 2009-03-11 $31.34 $32.00 48.5% 18.8% 67.4% 23.4% 69.1% 12.4% 3.9% 3.7M -110.9M -1.7M 0.92 18.26 14,949 13,750 285,185 149,450 2009-03-12 $32.68 $32.00 63.7% 18.3% 64.5% 33.2% 66.2% 11.0% 2.5% 6.8M -177.0M -1.9M 1.42 21.02 6,307 8,952 293,239 158,506 2009-03-13 $33.08 $32.00 62.1% 17.8% 64.7% 32.2% 62.1% 11.3% 1.5% 7.0M -203.2M -1.8M 0.97 18.87 6,970 6,784 288,372 162,009 2009-03-16 $32.56 $32.00 62.4% 17.9% 64.5% 32.3% 62.5% 13.5% 2.4% 4.7M -147.1M -1.7M 1.01 19.61 5,799 5,860 288,154 160,688 2009-03-17 $31.85 $33.00 61.6% 17.7% 62.9% 31.8% 60.3% 14.7% 4.2% 2.3M -100.3M -1.7M 0.50 20.24 6,328 3,177 290,815 163,165 2009-03-18 $35.07 $32.00 65.1% 18.7% 72.8% 34.1% 65.7% 10.3% -0.5% 11.6M -315.7M -1.8M 0.44 20.59 34,238 15,042 292,943 162,879 2009-03-19 $37.46 $33.00 62.7% 18.0% 74.8% 32.5% 63.0% 11.3% -0.1% 15.1M -553.4M -1.9M 0.39 21.71 47,748 18,560 302,779 165,630 2009-03-20 $37.55 $33.00 59.4% 17.0% 73.6% 30.4% 58.7% 12.3% 3.6% 16.0M -550.8M -2.0M 0.29 20.70 29,555 8,591 303,755 173,745 2009-03-23 $37.71 $34.00 55.7% 16.0% 73.3% 28.0% 56.3% 13.7% 5.0% 3.9M -260.8M -2.0M 0.65 23.52 9,879 6,420 168,582 100,094 2009-03-24 $36.86 $34.00 51.8% 14.9% 66.6% 25.5% 55.8% 10.9% 5.1% 3.8M -243.6M -1.9M 0.77 21.64 7,367 5,681 173,371 103,296 2009-03-25 $38.47 $34.00 53.6% 15.4% 67.3% 26.7% 56.1% 9.0% 2.9% 4.2M -279.6M -2.0M 0.69 19.78 20,179 13,973 175,634 106,265 2009-03-26 $38.57 $35.00 52.0% 14.9% 67.2% 25.6% 53.3% 12.5% 4.7% 4.3M -289.3M -2.1M 0.93 18.32 7,698 7,162 187,218 115,649 2009-03-27 $37.00 $35.00 52.1% 14.9% 69.3% 25.7% 55.9% 9.8% 4.6% 4.0M -241.9M -2.0M 1.31 17.54 12,928 16,987 192,202 119,758 2009-03-30 $36.40 $35.00 56.4% 16.2% 64.0% 28.5% 56.8% 7.1% -0.1% 3.7M -220.5M -2.0M 0.55 16.55 6,079 3,349 201,249 124,235 2009-03-31 $36.88 $35.00 47.4% 13.6% 63.9% 22.6% 50.0% 13.5% 7.2% 3.9M -245.3M -2.0M 0.90 18.35 5,099 4,599 199,022 128,454
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