GDX Options History — April 2009

In April 2009, GDX traded between $30.97 and $38.60. ATM implied volatility averaged 50.4%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded below realized volatility by 8.0% (HV 20d: 58.4%). Max pain ranged from $33.00 to $37.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.60.

Notable Days

  • 2009-04-06: Highest Volume — 44,099 contracts
  • 2009-04-29: Largest IV drop — 36.0% change
  • 2009-04-13: Highest IV Rank — 32.0%
  • 2009-04-06: Largest Expected Move — 18.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.58$30.97$38.60$38.60$32.91
Max Pain$35.05$33.00$37.00$35.00$33.00
ATM IV50.4%31.8%61.9%48.2%31.8%
Expected Move15.1%9.1%18.9%13.8%9.1%
HV 20d58.4%48.2%70.4%64.9%52.7%
HV 60d60.4%58.2%64.3%63.9%59.1%
IV Rank24.6%12.6%32.0%23.2%12.6%
IV Percentile43.0%1.2%65.9%44.0%1.2%
Term Structure5.6%-0.4%18.3%8.0%18.3%
VWIV53.7%37.1%66.0%56.7%37.1%
Skew 25d11.4%7.9%15.6%12.6%15.6%
Skew 10d15.5%10.6%19.8%19.7%18.3%
Call IV 25d51.1%38.5%59.9%47.6%38.5%
Put IV 25d62.4%54.1%70.5%60.2%54.1%
Bid-Ask Spread %15.4712.7018.0116.3816.41
Gamma HHI0.090.070.270.080.10
Net GEX2.1M-3.3M6.6M4.9M6.4M
Net DEX-113.2M-322.6M103.0M-322.6M-161.0M
Net VEX-2.0M-2.1M-1.7M-2.1M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.231.491.490.23
Total Volume20,463.5717,93544,09922,87720,739
Total OI361,774.381301,431417,190330,803367,496

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-04-01$38.60$35.0048.2%13.8%64.9%23.2%56.7%12.6%8.0%4.9M-322.6M-2.1M1.4916.389,20313,674200,610130,193
2009-04-02$37.10$35.0053.2%15.2%65.4%26.4%55.5%7.9%3.6%2.8M-236.1M-2.1M0.3217.5011,6533,692203,190140,651
2009-04-03$34.87$37.0052.5%17.3%69.7%25.9%61.8%13.6%2.9%1.0M-136.1M-2.0M0.4515.5916,8907,650207,097141,480
2009-04-06$33.20$37.0058.1%18.9%70.4%29.6%66.0%10.6%-0.4%-198.4K-51.1M-1.9M0.6114.9927,37316,726215,288144,486
2009-04-07$33.43$37.0048.2%18.4%66.2%23.2%62.3%10.8%0.9%-277.5K-84.2M-2.0M0.2915.769,8952,825229,007151,747
2009-04-08$33.53$37.0048.5%17.9%63.6%23.4%60.0%12.2%2.5%360.2K-91.9M-2.0M0.8714.915,6254,913228,758152,600
2009-04-09$33.04$37.0061.3%17.6%62.3%31.6%60.1%13.2%4.4%-783.2K-38.3M-1.9M0.8615.2113,05411,287229,155155,594
2009-04-13$33.77$36.0061.9%17.7%62.6%32.0%59.5%11.2%1.3%-1.4M-78.9M-2.0M0.2816.7218,4465,257233,395164,474
2009-04-14$33.69$36.0059.3%17.0%62.3%30.3%59.7%12.4%4.5%-1.1M-63.5M-2.0M0.8716.6711,2769,830242,988166,128
2009-04-15$33.89$35.0058.1%16.7%61.7%29.5%57.0%11.6%4.1%-824.9K-66.3M-2.0M0.8817.116,9586,117247,779169,334
2009-04-16$32.28$35.0053.9%15.5%53.5%26.9%52.6%8.8%5.2%-306.4K53.2M-1.8M0.5413.2021,06011,372240,176163,259
2009-04-17$30.97$35.0051.4%14.7%48.2%25.3%50.2%12.7%5.3%-3.3M103.0M-1.7M0.6912.7017,79412,342251,675165,515
2009-04-20$32.19$34.0052.7%15.1%51.0%26.1%52.0%9.7%2.9%3.2M-100.3M-1.8M0.4213.8914,2505,935202,42599,006
2009-04-21$31.40$34.0052.0%14.9%51.2%25.7%51.5%8.7%4.7%3.0M-81.1M-1.8M0.5718.018,1184,592209,453101,964
2009-04-22$31.60$34.0046.0%13.2%51.2%21.8%49.4%10.1%5.4%3.1M-76.3M-1.7M0.8813.907,9546,998212,257102,687
2009-04-23$32.74$34.0046.7%13.4%50.3%22.2%48.7%8.4%4.5%4.0M-125.3M-1.9M0.6213.7118,53711,436216,409106,310
2009-04-24$34.65$33.0043.2%12.4%55.2%19.9%43.7%11.6%8.1%6.1M-231.3M-2.1M0.4914.6414,0126,884227,620112,241
2009-04-27$34.37$34.0048.0%13.8%53.6%23.0%48.9%12.7%12.2%5.9M-218.1M-2.1M0.4615.625,4392,496232,954115,967
2009-04-28$33.11$34.0050.6%14.5%54.7%24.7%54.0%11.5%6.3%5.2M-160.0M-2.0M0.4817.9911,4615,545235,476116,819
2009-04-29$33.89$34.0032.4%9.3%55.3%13.0%41.6%12.8%12.0%6.6M-211.3M-2.1M0.3414.057,7842,643243,443120,156
2009-04-30$32.91$33.0031.8%9.1%52.7%12.6%37.1%15.6%18.3%6.4M-161.0M-2.0M0.2316.4116,8433,896246,421121,075