GDX Options History — November 2009

In November 2009, GDX traded between $42.88 and $52.83. ATM implied volatility averaged 40.9%, placing in the 33.9% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded below realized volatility by 5.5% (HV 20d: 46.4%). Max pain ranged from $44.00 to $47.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.76.

Notable Days

  • 2009-11-09: Highest Volume — 77,160 contracts
  • 2009-11-12: Largest IV spike — 58.1% change
  • 2009-11-03: Highest IV Rank — 47.5%
  • 2009-11-03: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.53$42.88$52.83$42.88$51.11
Max Pain$44.85$44.00$47.00$46.00$45.00
ATM IV40.9%20.0%52.7%47.9%40.8%
Expected Move12.5%10.6%15.1%13.7%11.7%
HV 20d46.4%37.9%50.2%44.4%37.9%
HV 60d45.3%41.7%46.4%44.2%41.7%
IV Rank33.9%9.1%47.5%41.9%34.6%
IV Percentile31.6%0.8%62.3%51.2%29.0%
Term Structure-6.1%-12.9%5.6%5.6%-5.1%
VWIV44.4%37.3%51.7%48.2%42.3%
Skew 25d7.0%5.5%9.9%9.9%6.5%
Skew 10d9.5%7.6%13.1%11.6%9.8%
Call IV 25d42.2%35.2%51.1%46.4%39.8%
Put IV 25d49.2%42.2%59.2%56.4%46.3%
Bid-Ask Spread %5.343.997.967.204.66
Gamma HHI0.110.080.180.080.09
Net GEX23.5M5.1M33.2M5.1M24.4M
Net DEX-1.06B-1.46B-176.4M-176.4M-1.09B
Net VEX-4.1M-4.4M-3.9M-4.0M-4.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.361.351.050.87
Total Volume48,515.0527,82477,16046,99130,555
Total OI799,270.15708,821895,708741,269761,636

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-11-02$42.88$46.0047.9%13.7%44.4%41.9%48.2%9.9%5.6%5.1M-176.4M-4.0M1.057.2022,96324,028427,896313,373
2009-11-03$46.18$46.0052.7%15.1%46.1%47.5%51.7%8.2%0.9%11.3M-598.5M-4.3M0.366.6844,15715,761430,937322,015
2009-11-04$46.53$46.0046.9%13.5%46.1%40.7%48.6%9.9%5.0%13.6M-671.1M-4.4M0.777.9631,10324,079442,500326,580
2009-11-05$46.72$47.0041.8%12.0%45.7%34.7%43.3%7.1%4.9%13.2M-651.3M-4.2M0.636.7021,19413,276445,804332,862
2009-11-06$47.62$44.0036.4%13.3%46.2%28.3%46.1%5.5%-10.5%18.1M-856.1M-4.2M0.504.7027,89713,817445,225334,888
2009-11-09$49.28$44.0041.1%13.1%47.9%33.9%45.3%6.2%-12.9%21.7M-1.08B-4.0M0.555.7649,77627,384452,157334,858
2009-11-10$49.66$44.0020.0%13.1%47.5%9.1%46.4%6.8%-8.9%30.4M-1.21B-3.9M0.725.1433,06323,746458,737342,555
2009-11-11$49.90$44.0028.5%12.9%47.5%19.1%45.5%7.1%-11.3%25.0M-1.20B-4.4M0.664.9929,43819,567474,054354,977
2009-11-12$48.44$44.0045.1%12.9%48.2%38.5%46.3%5.5%-12.8%23.8M-979.8M-4.4M1.085.1413,38714,437481,137361,133
2009-11-13$49.78$44.0044.1%12.6%49.1%37.4%43.8%7.2%-7.9%29.5M-1.21B-4.2M0.475.9621,90810,287480,718362,948
2009-11-16$51.34$44.0045.1%12.9%50.2%38.6%45.8%7.0%-9.5%31.8M-1.46B-4.0M0.664.9035,95223,665483,254364,304
2009-11-17$51.53$44.0041.7%12.0%49.4%34.6%44.1%6.8%-6.9%32.8M-1.45B-3.9M1.355.0017,98624,304484,481371,066
2009-11-18$50.99$45.0044.8%12.8%49.6%38.2%45.1%6.6%-8.6%29.8M-1.30B-4.2M0.764.7428,47521,554487,663387,007
2009-11-19$51.10$45.0044.2%12.7%49.4%37.5%44.8%6.2%-8.1%33.2M-1.36B-4.1M0.783.9928,67322,426494,632394,430
2009-11-20$50.82$45.0043.7%12.5%49.4%36.9%44.0%6.4%-9.7%32.4M-1.34B-4.1M0.724.2039,71728,745495,687400,021
2009-11-23$51.68$45.0038.9%11.2%46.2%32.2%39.5%6.2%-9.0%22.2M-1.16B-4.0M0.724.8037,56026,872414,727294,094
2009-11-24$51.45$45.0037.1%10.6%46.2%30.0%37.6%6.9%-4.1%24.1M-1.13B-4.0M0.744.3924,20017,871428,528300,615
2009-11-25$52.83$45.0037.1%10.6%39.1%30.0%37.3%5.7%-8.6%25.2M-1.34B-4.0M0.495.2633,72816,551434,757307,013
2009-11-27$50.82$45.0040.3%11.5%40.8%33.9%42.4%9.2%-5.3%23.2M-1.05B-4.3M1.324.7013,02317,176444,372311,762
2009-11-30$51.11$45.0040.8%11.7%37.9%34.6%42.3%6.5%-5.1%24.4M-1.09B-4.1M0.874.6616,31614,239446,786314,850