GDX Options History — May 2009

In May 2009, GDX traded between $33.04 and $44.16. ATM implied volatility averaged 40.6%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 8.4% (HV 20d: 48.9%). Max pain ranged from $33.00 to $36.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.73.

Notable Days

  • 2009-05-04: Highest Volume — 95,359 contracts
  • 2009-05-14: Largest IV spike — 113.7% change
  • 2009-05-08: Highest IV Rank — 25.8%
  • 2009-05-05: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.68$33.04$44.16$33.04$44.16
Max Pain$34.75$33.00$36.00$33.00$36.00
ATM IV40.6%23.1%52.3%25.4%45.4%
Expected Move13.2%7.3%14.9%7.3%13.0%
HV 20d48.9%41.1%55.3%51.4%41.1%
HV 60d58.3%54.6%60.8%59.0%55.1%
IV Rank18.3%7.0%25.8%8.5%21.3%
IV Percentile22.8%0.4%44.8%0.4%31.3%
Term Structure6.7%3.5%22.1%22.1%8.4%
VWIV46.4%33.5%53.1%33.5%45.9%
Skew 25d9.5%7.5%12.6%11.5%10.0%
Skew 10d13.7%10.3%15.8%14.8%13.2%
Call IV 25d44.6%39.8%49.0%47.8%42.7%
Put IV 25d54.1%47.7%59.3%59.3%52.7%
Bid-Ask Spread %12.739.2317.1317.1310.71
Gamma HHI0.110.090.120.120.12
Net GEX10.3M7.6M12.1M7.6M11.4M
Net DEX-516.5M-834.0M-195.7M-195.7M-834.0M
Net VEX-2.8M-3.3M-2.1M-2.1M-3.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.152.450.150.64
Total Volume32,652.557,17195,3597,17162,297
Total OI472,721.65374,737544,892379,445544,892

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-05-01$33.04$33.0025.4%7.3%51.4%8.5%33.5%11.5%22.1%7.6M-195.7M-2.1M0.1517.136,250921254,137125,308
2009-05-04$35.03$33.0028.4%14.8%51.8%10.4%50.2%10.6%7.1%8.1M-283.8M-2.2M0.6115.3659,10836,251250,267124,470
2009-05-05$34.78$33.0032.1%14.9%48.5%12.8%53.1%10.4%6.2%10.4M-332.5M-2.7M0.3516.1016,9526,012302,120155,040
2009-05-06$36.86$34.0036.7%14.6%52.4%15.7%51.7%9.7%5.4%11.8M-463.3M-2.9M0.6111.8614,3378,677309,402158,643
2009-05-07$36.55$34.0045.5%14.9%52.6%21.4%52.5%9.1%5.0%11.1M-432.2M-2.8M0.8413.2011,7149,865308,128160,066
2009-05-08$37.46$34.0052.3%14.7%52.6%25.8%51.8%9.9%6.5%11.5M-492.8M-2.9M1.0213.7911,48211,764312,699164,351
2009-05-11$37.31$34.0030.4%14.8%52.4%11.7%52.1%9.3%3.6%11.2M-486.1M-2.8M0.6614.0610,1286,702314,191169,331
2009-05-12$38.96$35.0050.1%14.1%54.0%24.4%49.4%8.4%4.0%12.1M-603.6M-2.9M0.5313.0220,25010,744318,780174,365
2009-05-13$37.94$35.0023.1%14.3%55.3%7.0%49.5%9.3%3.5%10.0M-536.4M-2.8M0.6211.8110,5976,602320,510180,261
2009-05-14$38.05$35.0049.3%14.1%51.5%23.9%49.3%8.9%4.2%11.7M-502.3M-2.9M0.7612.5012,9699,908321,745182,983
2009-05-15$37.65$35.0047.2%13.5%48.6%22.6%44.6%12.6%7.1%10.7M-504.8M-2.8M0.1614.8016,6422,609324,455188,790
2009-05-18$37.49$35.0044.3%12.7%47.6%20.7%45.2%9.8%5.9%8.1M-375.2M-2.7M1.2014.575,8477,032274,457155,385
2009-05-19$38.43$35.0043.3%12.4%46.4%20.0%43.9%8.2%3.5%8.6M-429.5M-2.8M0.5912.8611,8346,936276,814159,748
2009-05-20$40.47$35.0043.9%12.6%48.6%20.4%43.6%8.6%6.4%9.6M-564.3M-2.9M0.8610.9219,40116,748285,260163,540
2009-05-21$41.24$35.0044.9%12.9%47.9%21.0%46.1%8.0%4.1%9.9M-613.9M-3.0M0.8610.0017,51215,139292,462171,671
2009-05-22$42.05$36.0043.6%12.5%45.0%20.2%42.3%10.6%8.3%9.3M-658.1M-3.1M0.429.9630,13712,616297,912183,869
2009-05-26$41.84$36.0042.8%12.3%44.9%19.7%42.7%8.4%6.2%10.3M-646.1M-3.0M0.7711.6319,48715,081306,500187,649
2009-05-27$41.22$36.0041.4%11.9%42.4%18.8%42.7%7.5%7.2%10.6M-612.3M-3.1M0.4011.1516,2256,413317,475193,720
2009-05-28$43.01$36.0041.3%11.8%43.7%18.7%38.4%9.5%8.8%11.7M-762.9M-3.2M2.459.2326,02163,841325,935197,102
2009-05-29$44.16$36.0045.4%13.0%41.1%21.3%45.9%10.0%8.4%11.4M-834.0M-3.3M0.6410.7137,92524,372335,812209,080