GDX Options History — October 2009

In October 2009, GDX traded between $41.87 and $49.19. ATM implied volatility averaged 40.7%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded below realized volatility by 3.0% (HV 20d: 43.8%). Max pain ranged from $43.00 to $48.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.82.

Notable Days

  • 2009-10-06: Highest Volume — 85,632 contracts
  • 2009-10-12: Largest IV spike — 125.2% change
  • 2009-10-30: Highest IV Rank — 40.0%
  • 2009-10-06: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.38$41.87$49.19$43.06$42.37
Max Pain$46.45$43.00$48.00$44.00$47.00
ATM IV40.7%23.0%53.4%44.3%46.7%
Expected Move12.9%11.3%14.9%12.7%13.4%
HV 20d43.8%39.0%48.4%43.5%46.8%
HV 60d42.2%40.9%44.4%40.9%44.4%
IV Rank23.9%6.9%40.0%20.7%40.0%
IV Percentile28.6%1.6%57.5%32.9%46.0%
Term Structure2.2%-0.5%9.7%7.1%3.8%
VWIV45.5%40.9%52.0%45.6%44.8%
Skew 25d5.7%3.1%8.6%6.9%8.6%
Skew 10d7.2%4.2%12.0%7.5%12.0%
Call IV 25d43.7%37.7%50.6%44.1%45.3%
Put IV 25d49.4%43.4%54.3%51.1%53.9%
Bid-Ask Spread %13.685.1920.2515.8118.77
Gamma HHI0.110.080.210.090.08
Net GEX17.9M2.3M34.9M8.8M2.3M
Net DEX-670.2M-1.18B-25.2M-372.4M-84.5M
Net VEX-3.8M-4.0M-3.6M-3.7M-3.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.441.490.640.60
Total Volume44,709.81818,45185,63225,87068,939
Total OI670,205.318575,489756,477611,164713,993

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-10-01$43.06$44.0044.3%12.7%43.5%20.7%45.6%6.9%7.1%8.8M-372.4M-3.7M0.6415.8115,74310,127381,836229,328
2009-10-02$42.76$44.0041.7%12.0%39.5%19.0%45.2%7.9%9.7%9.3M-352.0M-3.6M0.6817.9425,38217,235385,264231,582
2009-10-05$44.56$44.0030.1%14.1%42.3%11.5%49.2%4.6%-0.0%17.5M-570.8M-3.8M0.555.9617,4479,527400,072231,659
2009-10-06$47.60$43.0043.7%14.9%48.4%20.3%52.0%3.6%-0.4%23.5M-919.5M-3.9M0.715.1950,15035,482408,769235,589
2009-10-07$47.90$44.0034.6%14.5%47.5%14.4%51.1%3.6%0.3%24.7M-963.0M-3.9M0.809.2314,14111,323423,383252,496
2009-10-08$48.69$45.0023.0%14.5%46.6%6.9%52.0%3.4%-0.5%31.9M-1.16B-3.7M0.519.6951,21226,198424,490257,108
2009-10-09$48.29$46.0023.7%13.3%46.7%7.4%46.5%3.3%0.8%30.0M-1.04B-3.8M0.4412.6136,27115,859426,646268,870
2009-10-12$48.28$46.0053.4%13.8%46.2%26.5%48.2%4.3%0.9%29.4M-1.01B-3.8M0.5312.6518,2649,752438,785275,498
2009-10-13$49.19$46.0037.1%13.5%45.4%16.0%47.3%4.5%-0.2%34.9M-1.18B-3.7M0.8712.4327,46523,775441,278277,163
2009-10-14$49.13$46.0049.0%12.9%44.7%23.7%44.8%5.1%1.5%32.7M-1.12B-3.8M0.6014.5422,14413,276445,186290,733
2009-10-15$48.16$48.0045.5%13.1%45.3%21.5%45.7%3.1%-0.0%26.5M-890.6M-3.9M0.4618.6326,79112,281448,842296,143
2009-10-16$48.38$48.0043.5%12.5%42.7%30.0%43.1%5.5%1.4%30.9M-1.05B-3.8M0.5318.1138,64120,349456,552299,925
2009-10-19$48.53$48.0040.5%11.6%42.1%27.2%43.1%8.0%4.7%15.9M-785.1M-3.9M1.4918.0517,73326,383357,434218,055
2009-10-20$47.50$48.0040.7%11.7%42.2%27.4%40.9%4.7%1.1%14.2M-646.2M-3.9M1.0416.979,0259,426365,613234,562
2009-10-21$47.39$48.0042.2%12.1%40.5%28.8%42.2%6.1%1.8%13.6M-641.1M-3.9M1.1320.2524,10227,348365,140238,191
2009-10-22$46.99$48.0040.6%11.7%39.4%27.3%41.3%7.5%3.6%12.0M-608.1M-3.9M1.2811.1212,75116,318380,580256,882
2009-10-23$46.69$48.0039.3%11.3%39.0%26.1%40.9%6.0%3.3%11.1M-533.6M-4.0M1.4513.677,64211,087382,123265,886
2009-10-26$44.69$48.0041.6%11.9%42.5%28.3%42.3%7.6%1.8%7.1M-313.3M-3.8M0.9012.3831,00027,926382,973265,495
2009-10-27$44.47$48.0043.1%12.4%41.0%29.7%42.6%5.0%1.1%8.4M-260.5M-3.9M1.0111.4212,08812,252419,111273,442
2009-10-28$41.87$48.0048.0%13.8%45.6%37.3%48.5%7.2%2.7%4.4M-25.2M-3.7M1.3712.2034,48847,190414,743277,892
2009-10-29$43.80$47.0044.1%12.6%45.2%35.6%44.3%8.0%3.5%4.5M-224.6M-3.9M0.5013.2725,97013,113400,128305,077
2009-10-30$42.37$47.0046.7%13.4%46.8%40.0%44.8%8.6%3.8%2.3M-84.5M-3.8M0.6018.7743,07625,863406,193307,800