GDX Options History — July 2009

In July 2009, GDX traded between $35.14 and $40.23. ATM implied volatility averaged 38.4%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded below realized volatility by 8.7% (HV 20d: 47.1%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.61.

Notable Days

  • 2009-07-08: Highest Volume — 53,158 contracts
  • 2009-07-14: Largest IV spike — 31.1% change
  • 2009-07-14: Highest IV Rank — 27.5%
  • 2009-07-08: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.08$35.14$40.23$39.41$39.77
Max Pain$38.59$38.00$40.00$40.00$38.00
ATM IV38.4%32.3%54.9%36.4%32.4%
Expected Move11.8%9.3%14.9%10.4%9.3%
HV 20d47.1%38.4%52.7%52.7%40.1%
HV 60d48.2%45.4%50.4%48.9%45.4%
IV Rank16.8%12.9%27.5%15.6%13.0%
IV Percentile11.8%4.0%49.6%6.0%4.8%
Term Structure3.0%-1.0%10.6%2.7%10.6%
VWIV42.0%34.4%51.4%39.9%34.4%
Skew 25d5.4%-1.1%10.0%1.1%10.0%
Skew 10d7.0%1.1%10.9%5.9%10.0%
Call IV 25d41.1%33.5%50.8%39.2%33.5%
Put IV 25d46.6%40.3%55.5%40.3%43.5%
Bid-Ask Spread %15.289.5818.2016.5014.73
Gamma HHI0.090.080.110.090.10
Net GEX9.5M3.4M17.5M8.6M17.5M
Net DEX-334.2M-540.3M-107.5M-402.7M-540.3M
Net VEX-3.2M-3.5M-3.0M-3.5M-3.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.101.160.660.61
Total Volume16,876.1363,64453,15814,79423,663
Total OI578,133.773517,114625,614574,701580,561

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-07-01$39.41$40.0036.4%10.4%52.7%15.6%39.9%1.1%2.7%8.6M-402.7M-3.5M0.6616.508,9305,864370,341204,360
2009-07-02$38.31$40.0038.4%11.0%51.7%16.9%41.5%-1.1%0.5%6.5M-291.5M-3.4M0.949.588,1597,649373,996205,077
2009-07-06$36.94$39.0032.3%13.4%50.2%12.9%48.4%3.9%0.8%5.4M-195.7M-3.3M1.0412.967,5827,873379,093210,725
2009-07-07$36.51$39.0037.6%13.1%50.2%16.3%47.6%8.8%3.6%4.9M-200.0M-3.2M0.8517.437,7786,612381,020211,015
2009-07-08$35.19$39.0034.1%14.9%51.4%14.1%51.4%4.6%-0.4%3.8M-107.5M-3.1M0.5317.0234,68318,475384,344210,695
2009-07-09$35.31$38.0035.2%14.0%51.5%14.8%47.1%7.0%2.0%5.0M-155.5M-3.2M0.3414.798,6072,950405,208215,618
2009-07-10$35.14$38.0034.4%13.7%51.4%14.3%48.3%5.7%2.1%3.4M-116.8M-3.1M1.1617.174,0634,719402,903215,748
2009-07-13$35.93$38.0041.9%13.6%51.4%19.1%47.5%5.8%2.7%5.1M-151.2M-3.1M0.7716.9010,2507,934403,087216,117
2009-07-14$36.76$38.0054.9%13.1%50.5%27.5%44.8%7.4%4.3%6.2M-208.0M-3.2M0.8313.936,1855,152406,326216,834
2009-07-15$38.29$39.0044.8%12.6%52.6%21.0%44.3%3.7%3.8%9.7M-353.9M-3.3M0.5313.247,9354,185407,864217,750
2009-07-16$38.33$39.0044.7%12.8%52.5%20.9%44.0%3.7%1.7%9.6M-353.9M-3.3M0.4416.509,4584,158407,445216,664
2009-07-17$38.64$39.0042.8%12.3%51.6%19.7%41.7%5.5%1.4%11.6M-399.9M-3.2M0.4114.3315,2426,232400,495211,955
2009-07-20$40.23$38.0039.6%11.4%52.3%17.7%39.1%6.3%5.5%12.2M-498.7M-3.2M0.7014.2014,2309,894340,565176,549
2009-07-21$39.74$38.0037.6%10.8%45.0%16.3%40.2%6.6%4.6%12.6M-467.0M-3.1M0.8413.977,5066,312346,395179,952
2009-07-22$39.77$38.0036.7%10.5%42.6%15.7%37.3%7.9%3.2%12.8M-456.9M-3.2M0.6216.823,9962,465347,810183,458
2009-07-23$39.96$38.0035.7%10.2%41.4%15.1%35.5%7.9%4.2%13.4M-481.3M-3.2M0.3618.206,1112,209349,264184,256
2009-07-24$39.90$38.0034.9%10.0%39.1%14.6%36.1%8.9%5.0%13.6M-493.8M-3.2M0.4616.518,6543,997351,740184,497
2009-07-27$39.85$39.0035.6%10.2%38.4%15.0%36.9%6.5%2.3%14.0M-495.4M-3.3M0.5513.682,3561,288359,610187,305
2009-07-28$38.35$39.0039.4%11.3%40.9%17.5%38.7%6.1%4.7%11.4M-353.9M-3.0M0.3214.5821,0256,779356,515187,130
2009-07-29$37.18$39.0037.4%10.7%40.5%16.2%38.5%3.3%2.2%9.9M-274.8M-3.0M0.3816.4319,5817,519366,550191,412
2009-07-30$38.16$38.0037.9%10.9%38.6%16.5%41.0%-0.0%-1.0%12.3M-354.1M-3.1M0.1016.5811,7921,223375,740194,954
2009-07-31$39.77$38.0032.4%9.3%40.1%13.0%34.4%10.0%10.6%17.5M-540.3M-3.3M0.6114.7314,7128,951385,296195,265