GDX Options History — December 2009

In December 2009, GDX traded between $45.20 and $54.78. ATM implied volatility averaged 33.4%, placing in the 35.5% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 9.4% (HV 20d: 42.8%). Max pain ranged from $46.00 to $47.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.03.

Notable Days

  • 2009-12-17: Highest Volume — 102,110 contracts
  • 2009-12-17: Largest IV spike — 876.9% change
  • 2009-12-18: Highest IV Rank — 52.9%
  • 2009-12-18: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.24$45.20$54.78$53.68$46.21
Max Pain$46.95$46.00$47.00$46.00$47.00
ATM IV33.4%2.6%42.2%38.1%37.8%
Expected Move9.1%0.8%12.1%10.9%10.8%
HV 20d42.8%33.2%48.7%40.5%40.1%
HV 60d44.1%41.0%45.4%42.7%41.0%
IV Rank35.5%0.0%52.9%31.2%49.9%
IV Percentile17.2%0.0%41.7%21.0%25.8%
Term Structure10.5%-4.1%41.1%-3.8%3.1%
VWIV37.0%27.6%43.1%38.5%38.8%
Skew 25d10.8%0.4%73.3%9.9%0.6%
Skew 10d13.6%1.0%73.3%12.9%2.9%
Call IV 25d36.2%29.8%42.3%36.7%38.4%
Put IV 25d46.9%35.7%107.2%46.6%39.0%
Bid-Ask Spread %4.403.285.724.133.28
Gamma HHI0.100.070.150.080.09
Net GEX12.0M-566.6K27.2M27.2M7.7M
Net DEX-468.9M-1.54B49.6M-1.45B-102.7M
Net VEX-4.2M-4.6M-3.2M-4.1M-4.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.461.640.990.64
Total Volume58,767.86426,947102,11074,53726,947
Total OI842,650.727682,774987,927775,620759,851

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-12-01$53.68$46.0038.1%10.9%40.5%31.2%38.5%9.9%-3.8%27.2M-1.45B-4.1M0.994.1337,36937,168451,348324,272
2009-12-02$54.78$47.0038.4%11.0%33.2%33.3%40.2%10.5%0.2%27.0M-1.54B-4.2M1.174.3640,49747,457460,236342,415
2009-12-03$53.53$47.0037.6%10.8%35.1%32.3%40.7%7.8%-4.1%24.9M-1.35B-4.5M1.054.4418,96719,841469,990369,307
2009-12-04$50.69$47.0039.1%10.8%41.3%34.1%41.5%15.3%10.5%19.5M-956.5M-4.6M1.385.4439,64254,815474,944376,647
2009-12-07$49.76$47.0040.2%11.2%41.7%35.6%43.1%18.1%13.4%17.6M-879.9M-4.6M1.164.8635,14740,658484,317391,625
2009-12-08$47.75$47.0036.8%3.7%42.6%32.5%0.0%73.3%41.1%9.0M-118.7M-3.2M1.365.7236,22249,257492,220403,725
2009-12-09$48.79$47.0029.5%4.8%43.3%23.6%28.7%18.9%25.1%21.1M-832.9M-3.9M0.755.0237,27728,136502,709413,965
2009-12-10$48.74$47.0034.0%9.8%43.2%30.9%0.0%9.7%8.0%13.5M-162.3M-3.3M1.084.5027,76329,948511,123422,288
2009-12-11$47.82$47.0029.6%8.5%42.4%24.6%40.3%11.2%12.5%12.4M-480.3M-4.3M0.934.5228,42726,570516,583427,679
2009-12-14$48.47$47.0020.3%5.8%41.5%11.5%31.8%8.0%20.1%9.3M-312.3M-4.0M1.014.5015,04415,263520,267428,337
2009-12-15$47.48$47.0030.2%8.7%40.2%25.7%37.1%9.2%10.9%10.2M-444.5M-4.1M1.234.9418,40522,723522,781432,729
2009-12-16$48.21$47.002.6%0.8%40.7%0.0%27.6%10.1%39.5%10.2M-629.6M-3.8M1.314.1617,82623,333525,615439,790
2009-12-17$45.20$47.0025.8%7.4%46.1%30.9%34.7%6.3%15.6%447.9K49.6M-3.9M1.304.1644,37457,736525,508441,843
2009-12-18$46.29$47.0042.2%12.1%47.3%52.9%42.1%5.3%5.1%-566.6K-115.2M-4.2M0.994.6043,11242,514538,447449,480
2009-12-21$45.41$47.0039.0%11.2%47.5%51.4%39.4%6.6%5.8%3.5M-27.5M-4.0M0.533.5339,27320,811367,111315,663
2009-12-22$45.51$47.0032.8%9.4%46.9%42.7%32.8%12.8%11.3%6.1M-124.0M-4.3M0.464.4048,12222,111380,687323,806
2009-12-23$46.93$47.0035.2%10.1%48.7%46.2%35.1%0.6%3.3%8.8M-208.5M-4.5M0.713.9733,34623,564400,245332,858
2009-12-24$46.96$47.0034.8%10.0%47.4%45.5%35.2%1.0%3.1%9.7M-225.8M-4.5M0.743.3524,38018,080403,412335,577
2009-12-28$46.87$47.0037.7%10.8%45.8%49.6%38.1%0.6%2.9%10.4M-211.7M-4.4M1.644.4912,29120,191414,009336,652
2009-12-29$46.43$47.0036.7%10.5%45.6%48.2%37.2%0.4%3.0%8.5M-135.8M-4.4M1.254.3117,20221,524409,709341,216
2009-12-30$45.87$47.0036.7%10.5%41.0%48.3%37.3%0.9%3.4%6.9M-55.1M-4.3M0.894.0315,63713,923411,779345,551
2009-12-31$46.21$47.0037.8%10.8%40.1%49.9%38.8%0.6%3.1%7.7M-102.7M-4.4M0.643.2816,47810,469413,030346,821