GDX Options History — January 2010

In January 2010, GDX traded between $40.72 and $50.17. ATM implied volatility averaged 38.2%, placing in the 53.0% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 3.0% (HV 20d: 35.2%). Max pain ranged from $45.00 to $48.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.82.

Notable Days

  • 2010-01-20: Highest Volume — 103,442 contracts
  • 2010-01-13: Largest IV drop — 9.8% change
  • 2010-01-29: Highest IV Rank — 64.4%
  • 2010-01-29: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.34$40.72$50.17$47.71$40.72
Max Pain$47.11$45.00$48.00$46.00$45.00
ATM IV38.2%33.4%43.6%39.2%43.6%
Expected Move11.1%9.6%12.5%11.7%12.5%
HV 20d35.2%28.6%42.1%42.1%34.3%
HV 60d41.9%39.9%44.1%41.5%40.5%
IV Rank53.0%43.9%64.4%51.8%64.4%
IV Percentile30.0%13.5%54.8%31.0%54.8%
Term Structure1.3%-0.3%2.6%2.6%0.1%
VWIV39.1%33.8%44.4%41.3%44.4%
Skew 25d1.9%0.6%4.7%1.6%3.3%
Skew 10d4.0%1.3%9.1%4.2%5.8%
Call IV 25d38.5%33.1%43.3%40.7%43.3%
Put IV 25d40.4%34.7%46.6%42.2%46.6%
Bid-Ask Spread %4.994.006.004.885.40
Gamma HHI0.110.060.200.110.07
Net GEX10.6M205.8K26.5M12.8M205.8K
Net DEX-217.7M-768.0M265.9M-320.1M265.9M
Net VEX-4.3M-4.6M-3.9M-4.3M-3.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.381.411.150.93
Total Volume62,297.31634,055103,44234,05573,675
Total OI716,828517,294879,272763,224671,276

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-01-04$47.71$46.0039.2%11.7%42.1%51.8%41.3%1.6%2.6%12.8M-320.1M-4.3M1.154.8815,84418,211415,578347,646
2010-01-05$48.17$46.0039.2%11.7%38.3%51.8%41.1%2.1%2.2%14.8M-396.5M-4.3M0.505.2836,42218,369418,835349,395
2010-01-06$49.34$46.0040.9%11.7%38.9%54.3%40.8%2.4%1.6%19.9M-610.4M-4.6M0.674.9438,29725,845438,786356,013
2010-01-07$49.10$47.0038.1%11.0%35.8%50.2%38.9%2.1%1.9%19.8M-565.7M-4.5M1.255.3128,64235,919441,501362,001
2010-01-08$49.84$48.0034.5%10.9%35.4%45.1%38.2%1.8%2.1%22.4M-692.9M-4.5M0.714.3827,39819,528450,193377,359
2010-01-11$50.17$48.0036.7%10.7%35.5%48.3%37.8%2.1%1.8%26.5M-768.0M-4.4M0.564.8350,03528,168454,945376,561
2010-01-12$48.35$48.0037.3%10.9%37.3%49.1%38.1%1.7%1.4%20.8M-429.7M-4.5M0.726.0033,83424,405472,485378,857
2010-01-13$48.86$48.0033.6%10.6%37.2%43.9%37.5%1.9%1.9%22.6M-510.6M-4.5M0.795.5632,27825,399469,537387,701
2010-01-14$48.60$48.0036.8%10.5%36.5%48.6%37.3%1.9%1.7%19.7M-448.8M-4.6M0.815.3621,98717,724479,135395,244
2010-01-15$47.42$48.0036.0%10.3%37.2%47.5%36.2%1.8%2.3%4.6M-224.3M-4.4M1.414.0022,82432,227481,995397,277
2010-01-19$47.69$48.0033.4%9.6%28.6%47.0%33.8%1.6%2.2%7.2M-206.4M-4.3M0.714.1327,13819,252286,238231,056
2010-01-20$45.73$48.0034.9%10.0%31.5%50.1%35.4%0.8%1.9%3.7M-37.3M-4.2M0.984.8052,31551,127298,903238,719
2010-01-21$43.75$48.0038.3%11.0%34.6%56.0%38.5%0.6%0.9%605.7K109.8M-4.0M0.745.4745,58033,917314,448252,533
2010-01-22$43.79$47.0041.9%12.0%34.6%61.8%42.3%1.1%0.1%1.8M75.6M-4.3M1.135.1131,63435,807327,661261,696
2010-01-25$43.19$47.0039.3%11.3%32.5%57.7%39.7%1.1%0.8%873.9K128.4M-4.1M0.385.2134,65113,293337,567263,906
2010-01-26$43.13$47.0038.9%11.1%32.5%57.0%39.1%1.5%0.5%1.6M130.5M-4.1M1.085.3423,21525,094350,883265,142
2010-01-27$42.77$46.0040.8%11.7%32.5%60.1%41.3%1.9%-0.3%948.2K164.3M-4.1M0.554.0338,93321,553356,080273,101
2010-01-28$42.17$46.0042.1%12.1%32.7%62.1%42.4%4.7%-0.2%685.4K198.8M-4.0M0.484.7669,60133,508363,365276,114
2010-01-29$40.72$45.0043.6%12.5%34.3%64.4%44.4%3.3%0.1%205.8K265.9M-3.9M0.935.4038,12435,551387,749283,527