GDX Options History — June 2009

In June 2009, GDX traded between $35.74 and $44.55. ATM implied volatility averaged 41.7%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded below realized volatility by 6.0% (HV 20d: 47.7%). Max pain ranged from $37.00 to $42.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.73.

Notable Days

  • 2009-06-22: Highest Volume — 75,609 contracts
  • 2009-06-30: Largest IV spike — 58.6% change
  • 2009-06-16: Highest IV Rank — 24.8%
  • 2009-06-08: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.84$35.74$44.55$43.41$37.81
Max Pain$40.14$37.00$42.00$37.00$40.00
ATM IV41.7%20.4%50.8%46.2%32.4%
Expected Move12.6%5.9%14.8%13.2%9.3%
HV 20d47.7%39.4%54.8%42.5%52.9%
HV 60d51.7%48.9%55.3%54.5%49.4%
IV Rank19.0%5.3%24.8%21.9%13.0%
IV Percentile22.7%0.4%42.1%33.7%4.4%
Term Structure6.7%1.7%20.6%4.5%8.9%
VWIV44.5%30.5%51.4%45.3%40.0%
Skew 25d7.5%1.9%10.8%7.8%6.8%
Skew 10d9.3%4.2%14.6%9.6%8.5%
Call IV 25d43.6%32.0%49.4%44.6%37.1%
Put IV 25d51.1%39.2%56.6%52.4%43.9%
Bid-Ask Spread %13.048.6518.218.9811.24
Gamma HHI0.100.080.140.140.09
Net GEX9.8M5.4M14.7M11.8M6.3M
Net DEX-493.4M-894.8M-146.5M-795.3M-283.2M
Net VEX-3.5M-3.8M-3.0M-3.5M-3.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.211.670.531.26
Total Volume28,314.45512,43875,60926,74615,440
Total OI615,417.045502,456693,426572,422570,795

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-06-01$43.41$37.0046.2%13.2%42.5%21.9%45.3%7.8%4.5%11.8M-795.3M-3.5M0.538.9817,5119,235355,042217,380
2009-06-02$44.55$37.0042.0%12.0%39.4%19.2%39.1%8.9%6.1%12.3M-894.8M-3.5M0.659.7221,77214,199361,257222,212
2009-06-03$42.16$37.0045.0%12.9%45.6%21.1%44.5%10.8%7.9%11.4M-689.7M-3.6M0.359.5229,02910,109375,045227,355
2009-06-04$43.51$37.0041.3%11.8%42.8%18.7%44.3%8.1%7.4%13.0M-823.2M-3.8M0.218.6520,9554,361391,214230,418
2009-06-05$41.33$42.0041.2%14.0%47.5%18.7%50.2%7.9%4.7%11.7M-623.5M-3.8M1.0012.7521,13121,050403,743231,660
2009-06-08$41.30$42.0047.6%14.8%47.0%22.8%51.4%7.8%1.7%12.1M-632.2M-3.8M0.4012.0237,81514,943407,433236,585
2009-06-09$41.09$42.0026.7%14.6%47.0%9.3%50.6%6.2%2.0%14.7M-696.2M-3.7M0.4312.589,2143,959422,130241,300
2009-06-10$40.80$42.0039.8%14.2%44.9%17.7%48.9%8.9%4.3%14.2M-640.5M-3.7M0.6116.557,7234,715423,814239,264
2009-06-11$40.92$42.0048.1%13.8%43.6%23.1%49.2%8.1%5.5%14.2M-641.9M-3.7M1.1613.197,1758,329425,403240,083
2009-06-12$39.54$42.0047.0%13.5%45.7%22.4%47.0%9.9%7.3%7.1M-483.9M-3.4M0.6713.7512,0218,082427,619239,548
2009-06-15$37.97$41.0047.9%13.7%47.9%22.9%48.2%8.8%6.8%9.0M-344.3M-3.4M1.2012.9710,99213,212428,648239,800
2009-06-16$38.37$41.0050.8%14.6%48.0%24.8%49.5%4.6%2.5%9.2M-374.7M-3.4M0.2513.6221,2345,397430,936238,427
2009-06-17$38.23$41.0048.7%14.0%47.2%23.5%49.0%4.7%3.4%9.6M-371.3M-3.4M0.6315.8517,58110,989440,504236,490
2009-06-18$37.20$40.0048.3%13.9%43.9%23.3%46.0%7.1%5.4%5.7M-146.5M-3.3M0.8512.7810,6559,020445,455240,482
2009-06-19$38.39$40.0043.7%12.5%45.0%20.3%38.5%9.4%12.6%7.6M-419.9M-3.5M1.0618.2116,57317,556449,864243,562
2009-06-22$35.74$40.0040.2%11.5%50.1%18.0%43.5%8.1%8.6%5.4M-180.9M-3.0M0.9513.5138,73736,872339,108163,348
2009-06-23$37.33$40.0043.8%12.6%53.4%20.4%44.3%6.1%5.1%5.4M-251.3M-3.3M0.3116.0530,3259,413344,072188,529
2009-06-24$38.49$40.0043.0%12.3%54.8%19.8%43.0%8.0%7.9%7.3M-335.0M-3.5M0.7314.3910,6837,835359,020189,655
2009-06-25$39.99$40.0037.9%10.9%54.3%16.5%38.4%7.6%9.0%9.8M-448.1M-3.6M0.6111.8312,7117,750361,421191,194
2009-06-26$39.20$40.0036.2%10.4%53.4%15.4%38.1%1.9%4.5%8.3M-386.0M-3.5M1.6713.525,3258,908362,022193,983
2009-06-29$39.15$40.0020.4%5.9%53.3%5.3%30.5%7.2%20.6%9.0M-392.1M-3.4M0.5915.2514,0458,337362,864200,491
2009-06-30$37.81$40.0032.4%9.3%52.9%13.0%40.0%6.8%8.9%6.3M-283.2M-3.3M1.2611.246,8418,599367,486203,309