GDX Options History — April 2010

In April 2010, GDX traded between $46.40 and $50.51. ATM implied volatility averaged 31.2%, placing in the 52.0% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 4.1% (HV 20d: 27.1%). Max pain ranged from $43.00 to $47.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2010-04-28: Highest Volume — 103,413 contracts
  • 2010-04-15: Largest IV spike — 16.3% change
  • 2010-04-30: Highest IV Rank — 61.9%
  • 2010-04-30: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.90$46.40$50.51$46.40$50.51
Max Pain$45.67$43.00$47.00$43.00$47.00
ATM IV31.2%27.0%35.0%29.8%35.0%
Expected Move9.3%8.5%10.0%8.5%10.0%
HV 20d27.1%19.8%29.6%28.9%19.8%
HV 60d35.3%32.2%37.5%37.4%32.2%
IV Rank52.0%41.1%61.9%45.9%61.9%
IV Percentile13.9%4.8%32.1%7.9%32.1%
Term Structure1.1%-0.4%3.2%3.2%-0.4%
VWIV32.9%30.4%36.4%30.4%36.4%
Skew 25d2.5%1.4%3.6%2.4%3.6%
Skew 10d5.1%2.4%7.4%4.4%7.4%
Call IV 25d31.7%29.3%34.1%29.3%34.1%
Put IV 25d34.1%31.6%37.7%31.6%37.7%
Bid-Ask Spread %4.112.866.292.866.29
Gamma HHI0.090.080.120.080.09
Net GEX18.2M8.2M25.9M11.8M25.7M
Net DEX-557.3M-969.9M-247.9M-381.7M-969.9M
Net VEX-6.5M-7.0M-5.8M-5.8M-7.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.401.320.540.47
Total Volume58,391.38114,050103,41372,38685,533
Total OI849,104.429729,422930,990729,422930,990

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-04-01$46.40$43.0029.8%8.5%28.9%45.9%30.4%2.4%3.2%11.8M-381.7M-5.8M0.542.8646,92325,463360,013369,409
2010-04-05$46.90$45.0031.6%9.4%28.4%48.9%33.5%2.8%1.5%15.6M-464.1M-5.8M0.733.9119,84814,437374,011375,696
2010-04-06$46.81$45.0031.0%9.6%28.1%48.0%33.7%3.1%0.9%16.1M-451.4M-5.8M0.993.6737,30136,945378,995378,587
2010-04-07$48.18$45.0033.1%9.8%29.6%51.5%35.0%3.0%0.5%21.2M-662.8M-6.1M0.773.4044,38434,331399,176392,421
2010-04-08$48.19$45.0031.9%9.7%28.9%49.4%34.9%2.8%0.8%22.2M-666.8M-6.0M1.323.8424,57932,439399,176392,421
2010-04-09$48.68$45.0030.4%9.7%29.0%46.9%34.5%2.9%0.5%24.2M-730.5M-6.5M0.774.1828,89022,122414,958418,101
2010-04-12$48.14$45.0030.5%9.6%29.2%47.0%33.7%2.5%1.2%24.3M-665.3M-6.4M0.614.0554,00332,723424,594426,092
2010-04-13$47.75$46.0027.0%9.0%29.5%41.1%31.7%2.8%1.5%22.7M-571.6M-6.6M0.504.2250,64225,289450,591448,501
2010-04-14$48.09$46.0027.2%9.3%28.2%43.4%32.6%2.6%1.3%25.9M-642.9M-6.7M0.633.6028,25317,938461,040452,762
2010-04-15$47.57$46.0031.6%9.1%28.6%52.3%32.9%2.3%1.5%20.5M-552.4M-6.7M0.403.8419,6527,952464,388461,664
2010-04-16$46.65$46.0032.2%9.2%29.5%56.6%32.7%2.4%2.0%14.8M-367.1M-6.6M0.804.6853,03242,405469,108461,722
2010-04-19$46.59$46.0031.1%8.9%28.9%54.4%31.7%2.5%2.0%8.4M-254.3M-6.6M0.853.3543,14636,801398,038402,787
2010-04-20$46.46$46.0031.3%9.0%28.9%54.8%31.3%2.1%2.0%8.2M-247.9M-6.8M0.573.4423,30913,384426,754426,998
2010-04-21$46.98$46.0031.0%8.9%29.1%54.3%31.5%2.2%1.0%9.9M-311.0M-6.7M0.735.2517,80012,945417,492418,184
2010-04-22$47.36$46.0030.5%8.7%24.6%53.2%30.6%2.4%1.2%12.1M-383.0M-6.7M0.543.3815,9338,595425,042423,183
2010-04-23$48.21$46.0030.8%8.8%24.0%53.9%31.1%1.8%1.2%15.2M-520.4M-6.8M0.444.8929,26512,771428,101423,664
2010-04-26$48.13$46.0031.0%8.9%23.7%54.3%32.0%1.8%0.7%17.3M-540.4M-6.7M0.844.287,6456,405438,014427,612
2010-04-27$48.28$46.0034.2%9.8%23.5%60.4%34.5%1.4%0.2%16.6M-571.1M-6.8M0.545.2135,81519,472439,780429,657
2010-04-28$49.70$46.0032.3%9.3%24.3%56.7%33.0%1.7%0.7%22.7M-821.6M-6.8M0.463.9670,72532,688450,039433,057
2010-04-29$50.31$47.0032.1%9.2%24.3%56.4%32.8%2.9%0.4%25.7M-927.5M-6.8M0.503.9536,39118,045473,703444,672
2010-04-30$50.51$47.0035.0%10.0%19.8%61.9%36.4%3.6%-0.4%25.7M-969.9M-7.0M0.476.2958,27627,257483,987447,003