GDX Options History — August 2009

In August 2009, GDX traded between $37.30 and $41.08. ATM implied volatility averaged 35.4%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 0.4% (HV 20d: 35.8%). Max pain ranged from $37.00 to $39.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.23.

Notable Days

  • 2009-08-19: Highest Volume — 59,300 contracts
  • 2009-08-12: Largest IV spike — 102.3% change
  • 2009-08-06: Highest IV Rank — 22.7%
  • 2009-08-06: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.36$37.30$41.08$40.77$39.51
Max Pain$37.33$37.00$39.00$38.00$37.00
ATM IV35.4%18.9%47.5%36.6%34.3%
Expected Move10.9%6.4%13.6%10.5%9.8%
HV 20d35.8%30.1%38.6%38.2%30.1%
HV 60d44.0%40.3%45.6%45.6%40.3%
IV Rank14.9%4.3%22.7%15.7%14.2%
IV Percentile11.8%0.4%33.7%8.7%8.7%
Term Structure3.2%-6.9%14.4%8.3%3.5%
VWIV40.8%30.0%50.2%44.4%42.3%
Skew 25d4.8%-6.0%13.0%13.0%7.4%
Skew 10d8.5%-1.6%31.9%31.9%10.5%
Call IV 25d38.7%27.8%45.7%36.6%33.7%
Put IV 25d43.5%36.4%49.6%49.6%41.2%
Bid-Ask Spread %12.118.6119.4214.999.53
Gamma HHI0.100.080.120.110.09
Net GEX13.4M7.4M17.9M17.9M13.4M
Net DEX-442.2M-613.4M-230.0M-597.3M-452.5M
Net VEX-3.2M-3.5M-2.9M-3.3M-3.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.173.981.672.99
Total Volume22,704.815,17159,30025,29617,728
Total OI641,771.286589,191706,264589,191659,801

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-08-03$40.77$38.0036.6%10.5%38.2%15.7%44.4%13.0%8.3%17.9M-597.3M-3.3M1.6714.999,46315,833388,798200,393
2009-08-04$41.08$39.0039.9%11.4%37.7%17.8%42.6%-2.0%-5.8%16.8M-613.4M-3.3M1.3415.5213,77918,515384,366210,729
2009-08-05$40.95$39.0039.0%11.2%34.4%17.3%42.9%-3.0%-6.3%15.8M-571.0M-3.3M1.7719.424,3177,661389,560224,953
2009-08-06$40.85$39.0047.5%13.6%34.6%22.7%43.9%-3.6%-6.9%16.0M-587.6M-3.3M0.1712.1626,7144,505391,894224,964
2009-08-07$39.98$37.0027.4%11.9%35.8%9.8%40.0%7.9%4.8%16.5M-557.5M-3.5M0.7813.472,9092,262415,298227,652
2009-08-10$39.10$37.0030.7%12.3%36.7%11.9%50.2%6.2%1.5%14.5M-441.3M-3.3M3.9811.124,62918,428415,339228,212
2009-08-11$38.43$37.0018.9%12.1%36.8%4.3%42.0%5.4%3.4%13.0M-383.5M-3.3M0.5112.6812,0736,146416,468224,118
2009-08-12$38.79$37.0038.3%11.8%34.0%16.8%42.1%5.9%3.9%11.5M-368.8M-3.1M0.5411.588,4204,509422,747224,503
2009-08-13$39.88$37.0039.4%11.3%35.3%17.5%39.0%5.6%3.9%13.3M-417.7M-3.1M0.3811.789,1663,441425,295224,411
2009-08-14$39.21$37.0039.4%11.3%35.9%17.5%40.5%4.7%3.9%14.5M-415.0M-3.1M1.2213.503,6004,408427,705223,908
2009-08-17$37.30$37.0043.4%12.5%36.9%20.1%44.6%7.1%5.1%7.4M-230.0M-3.0M1.4311.2413,94719,928426,502225,181
2009-08-18$37.87$37.0042.1%12.1%37.4%19.2%47.8%8.8%6.2%7.4M-262.5M-3.0M2.7112.406,51217,634430,376231,441
2009-08-19$38.24$37.0040.8%11.7%37.6%18.4%41.2%4.0%3.5%8.9M-272.2M-3.0M0.7411.9234,03425,266429,588240,560
2009-08-20$38.61$37.0038.5%11.0%37.8%16.9%40.1%6.2%5.9%9.8M-350.0M-3.3M0.9612.258,6948,367446,422255,640
2009-08-21$39.30$37.0038.0%10.9%38.4%16.6%37.9%7.4%7.9%15.0M-472.7M-3.3M0.2411.2328,7806,813449,972256,292
2009-08-24$38.89$37.0034.6%9.9%38.6%14.4%40.6%-6.0%-5.6%12.4M-385.6M-3.2M0.399.7414,5895,655395,145217,020
2009-08-25$39.24$37.0032.7%9.4%36.1%13.2%34.6%3.4%2.3%13.0M-430.9M-3.0M0.6110.669,5645,837397,927218,760
2009-08-26$38.82$37.0028.7%8.2%34.4%10.6%34.6%5.4%6.2%12.4M-411.7M-2.9M1.2810.919,44012,072401,831222,294
2009-08-27$39.57$37.0022.3%6.4%33.8%6.5%30.0%10.9%14.4%15.9M-518.2M-3.1M0.529.6516,3158,480406,100227,900
2009-08-28$40.18$37.0031.7%9.1%30.9%12.5%36.1%6.1%6.7%16.6M-547.2M-3.2M1.708.619,75816,610412,032235,100
2009-08-31$39.51$37.0034.3%9.8%30.1%14.2%42.3%7.4%3.5%13.4M-452.5M-3.1M2.999.534,43913,289415,286244,515