GDX Options History — February 2010

In February 2010, GDX traded between $40.24 and $45.06. ATM implied volatility averaged 41.8%, placing in the 61.5% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 4.6% (HV 20d: 46.4%). Max pain ranged from $44.00 to $45.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.72.

Notable Days

  • 2010-02-04: Highest Volume — 121,831 contracts
  • 2010-02-04: Largest IV spike — 20.3% change
  • 2010-02-04: Highest IV Rank — 70.4%
  • 2010-02-10: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.17$40.24$45.06$42.94$43.89
Max Pain$44.37$44.00$45.00$44.00$44.00
ATM IV41.8%36.7%47.4%43.0%36.7%
Expected Move12.1%10.5%13.6%12.3%10.5%
HV 20d46.4%37.4%50.8%40.0%48.7%
HV 60d41.8%39.0%43.0%39.0%42.5%
IV Rank61.5%53.5%70.4%63.5%53.5%
IV Percentile47.2%22.2%71.8%52.8%22.2%
Term Structure-0.0%-2.2%2.5%-0.6%0.9%
VWIV42.4%37.8%47.7%43.5%37.8%
Skew 25d4.4%2.7%6.0%2.7%3.6%
Skew 10d8.8%3.9%12.1%3.9%7.2%
Call IV 25d40.7%35.7%46.2%42.3%35.7%
Put IV 25d45.1%39.3%50.4%45.0%39.3%
Bid-Ask Spread %4.933.777.004.096.43
Gamma HHI0.080.070.140.070.08
Net GEX7.1M-83.4K17.2M4.4M6.9M
Net DEX-12.2M-274.4M303.2M61.3M-97.1M
Net VEX-5.1M-5.7M-4.3M-4.4M-5.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.281.040.580.77
Total Volume67,952.52621,422121,83190,82321,422
Total OI806,926.789698,641914,491698,641791,591

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-02-01$42.94$44.0043.0%12.3%40.0%63.5%43.5%2.7%-0.6%4.4M61.3M-4.4M0.584.0957,33333,490399,779298,862
2010-02-02$43.00$44.0039.8%11.4%37.8%58.5%39.9%3.2%1.5%5.7M52.5M-4.7M0.284.7437,90010,755418,374310,753
2010-02-03$42.57$44.0039.4%11.3%37.4%57.8%39.8%2.9%1.9%4.4M103.0M-4.6M0.565.6425,92014,615424,251309,949
2010-02-04$40.24$44.0047.4%13.6%39.6%70.4%47.0%3.5%-0.4%-83.4K303.2M-4.3M0.894.7964,37457,457428,861317,848
2010-02-05$42.41$45.0044.7%13.1%45.5%66.2%45.8%3.2%-1.8%5.4M77.1M-5.0M0.667.0072,65548,141450,822340,027
2010-02-08$40.78$45.0046.6%13.4%46.0%69.1%46.9%3.0%-2.2%2.8M230.1M-4.7M0.986.3427,36826,756477,347345,457
2010-02-09$42.57$45.0043.6%13.1%49.4%64.4%45.9%3.9%-1.6%7.8M819.7K-5.7M0.566.8345,15025,399502,317364,843
2010-02-10$42.35$45.0044.8%13.6%48.3%66.2%47.7%4.7%-2.0%5.8M68.8M-5.0M0.854.7542,24736,070468,906355,497
2010-02-11$43.99$45.0044.3%12.7%50.5%65.5%44.5%5.2%-0.9%12.0M-156.8M-5.4M0.764.8755,90642,608481,232371,649
2010-02-12$43.94$45.0043.3%12.4%50.5%64.0%43.9%5.0%-0.6%10.2M-95.4M-5.5M0.875.2317,21215,059492,294393,099
2010-02-16$44.91$45.0042.8%12.3%50.8%63.1%43.1%6.0%-0.7%16.8M-274.4M-5.4M0.554.3150,90727,915492,820390,855
2010-02-17$44.71$44.0040.4%11.6%50.7%59.3%41.5%5.4%0.9%14.2M-197.0M-5.4M0.554.1858,72632,166495,112402,931
2010-02-18$45.06$44.0039.9%11.4%48.7%58.5%40.2%5.5%1.4%17.2M-254.7M-5.4M0.643.7752,66833,482495,435411,457
2010-02-19$44.57$44.0038.4%11.0%46.1%56.3%39.6%5.4%2.5%8.5M-154.0M-5.4M0.873.8230,74026,818496,712417,779
2010-02-22$44.09$44.0039.0%11.2%46.3%57.2%39.3%5.3%0.5%4.5M-83.2M-5.1M0.824.2726,01321,442382,409339,173
2010-02-23$42.50$44.0041.3%11.9%47.9%60.9%41.3%5.5%0.2%1.3M95.2M-5.0M1.044.4521,03321,859390,369345,869
2010-02-24$42.25$44.0039.5%11.3%48.0%57.9%39.3%5.2%0.1%1.2M123.0M-5.0M0.573.8933,82219,193397,393350,026
2010-02-25$43.45$44.0038.7%11.1%49.0%56.8%38.9%4.7%0.2%5.5M-34.6M-5.6M0.834.2130,80025,677418,080361,431
2010-02-26$43.89$44.0036.7%10.5%48.7%53.5%37.8%3.6%0.9%6.9M-97.1M-5.6M0.776.4312,1019,321423,403368,188