GDX Options History — September 2009

In September 2009, GDX traded between $38.79 and $48.00. ATM implied volatility averaged 44.2%, placing in the 20.6% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded below realized volatility by 2.1% (HV 20d: 46.3%). Max pain ranged from $37.00 to $44.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.66.

Notable Days

  • 2009-09-02: Highest Volume — 100,508 contracts
  • 2009-09-10: Largest IV spike — 52.4% change
  • 2009-09-17: Highest IV Rank — 24.5%
  • 2009-09-17: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.84$38.79$48.00$38.79$45.29
Max Pain$41.86$37.00$44.00$37.00$44.00
ATM IV44.2%28.6%50.3%28.6%43.7%
Expected Move13.0%8.2%14.4%8.2%12.5%
HV 20d46.3%30.5%50.6%30.5%49.9%
HV 60d42.8%40.2%45.7%40.4%40.2%
IV Rank20.6%10.5%24.5%10.5%20.3%
IV Percentile31.6%4.0%45.2%4.0%31.0%
Term Structure3.3%-1.7%11.1%11.1%2.7%
VWIV46.0%39.7%51.6%39.7%43.8%
Skew 25d6.7%3.3%12.6%10.4%4.5%
Skew 10d8.4%3.7%14.5%14.5%4.7%
Call IV 25d44.4%32.3%49.0%32.3%43.9%
Put IV 25d51.0%42.7%53.9%42.7%48.4%
Bid-Ask Spread %12.777.9417.0310.3214.88
Gamma HHI0.140.080.270.090.10
Net GEX20.6M9.3M33.2M12.7M15.4M
Net DEX-907.7M-1.53B-407.9M-424.0M-600.0M
Net VEX-3.7M-4.0M-3.1M-3.1M-3.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.271.201.190.97
Total Volume45,900.23815,577100,50831,69825,974
Total OI700,821.619500,812858,420653,540605,676

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-09-01$38.79$37.0028.6%8.2%30.5%10.5%39.7%10.4%11.1%12.7M-424.0M-3.1M1.1910.3214,46117,237416,362237,178
2009-09-02$42.48$37.0041.9%12.0%45.1%19.1%42.9%10.3%5.1%19.8M-818.8M-3.4M1.047.9449,30251,206421,996249,203
2009-09-03$44.65$38.0041.3%11.8%48.2%18.7%41.7%12.6%10.6%19.9M-1.06B-3.6M0.509.5862,17331,368433,571283,083
2009-09-04$45.02$40.0041.5%14.0%47.2%18.8%49.0%4.8%-1.4%21.2M-1.08B-3.8M0.4215.9947,48619,880449,360291,388
2009-09-08$45.11$40.0045.9%14.3%46.0%21.7%49.4%5.5%-1.3%24.7M-1.11B-3.7M0.5512.9247,21225,953468,432300,393
2009-09-09$44.12$40.0031.3%13.6%46.4%12.3%46.6%5.7%1.2%27.0M-1.01B-3.7M0.6313.8233,77421,265484,225306,684
2009-09-10$45.54$41.0047.7%13.7%47.2%22.9%47.1%5.3%2.2%30.3M-1.22B-3.8M0.7811.9920,57615,999494,183318,829
2009-09-11$46.09$41.0047.2%13.5%46.7%22.5%45.7%8.9%4.4%28.2M-1.34B-3.8M0.5610.0928,05315,635497,762329,033
2009-09-14$45.39$41.0048.2%13.8%46.6%23.2%47.6%6.0%1.7%33.2M-1.26B-3.9M0.6914.2512,6198,724508,640332,148
2009-09-15$46.85$41.0047.7%13.7%42.1%22.9%47.6%7.1%2.6%32.4M-1.40B-3.9M0.4011.3529,07111,511512,270335,510
2009-09-16$48.00$43.0049.0%14.0%42.3%23.7%48.9%5.9%1.0%29.0M-1.53B-3.9M0.3310.9132,41210,556512,968341,887
2009-09-17$47.78$44.0050.3%14.4%42.7%24.5%51.6%3.3%-1.7%31.6M-1.37B-4.0M0.4111.9451,24920,848514,744343,676
2009-09-18$45.92$44.0047.8%13.7%46.4%22.9%47.9%7.6%1.8%26.1M-1.24B-3.6M0.508.5527,16613,510500,145354,604
2009-09-21$45.15$44.0047.7%13.7%47.1%22.8%48.4%5.0%1.8%10.9M-575.8M-3.6M0.7512.0522,81317,185319,411181,401
2009-09-22$46.26$44.0045.9%13.2%47.0%21.7%43.7%4.8%2.2%12.3M-658.3M-3.8M0.2713.6126,2327,161332,951194,057
2009-09-23$44.84$44.0045.1%12.9%49.1%21.2%44.6%4.9%3.2%12.7M-560.1M-3.8M0.4217.0324,96910,541348,942196,021
2009-09-24$43.74$44.0045.0%12.9%50.0%21.1%46.1%5.9%4.9%12.0M-477.7M-3.8M1.1415.6817,20819,675361,003202,269
2009-09-25$43.07$44.0045.2%13.0%50.3%21.2%45.6%8.0%6.4%9.8M-420.3M-3.8M1.2013.298,41310,065363,182211,448
2009-09-28$43.04$44.0042.6%12.2%50.1%19.6%42.4%9.7%8.3%9.3M-407.9M-3.6M0.4615.6410,6464,931364,060214,184
2009-09-29$44.46$44.0044.1%12.6%50.6%20.5%45.7%3.6%2.4%13.0M-516.5M-3.8M0.7116.2622,68316,163369,426214,949
2009-09-30$45.29$44.0043.7%12.5%49.9%20.3%43.8%4.5%2.7%15.4M-600.0M-3.8M0.9714.8813,16612,808380,674225,002