GDX Options History — May 2010

In May 2010, GDX traded between $47.05 and $53.60. ATM implied volatility averaged 39.8%, placing in the 71.1% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 8.9% (HV 20d: 30.9%). Max pain ranged from $45.00 to $48.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.85.

Notable Days

  • 2010-05-18: Highest Volume — 148,383 contracts
  • 2010-05-10: Largest IV drop — 16.7% change
  • 2010-05-20: Highest IV Rank — 88.3%
  • 2010-05-20: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.18$47.05$53.60$49.88$49.86
Max Pain$47.00$45.00$48.00$47.00$48.00
ATM IV39.8%32.9%48.8%32.9%36.9%
Expected Move11.4%9.4%14.0%9.4%10.6%
HV 20d30.9%18.6%40.7%20.5%40.0%
HV 60d28.8%25.2%30.8%29.9%30.4%
IV Rank71.1%57.9%88.3%57.9%65.5%
IV Percentile56.2%22.6%97.2%22.6%40.9%
Term Structure0.3%-2.5%1.4%1.1%1.1%
VWIV40.5%33.1%49.0%33.1%38.0%
Skew 25d4.9%2.4%8.1%4.0%4.3%
Skew 10d10.0%4.7%18.0%7.9%7.9%
Call IV 25d38.2%31.9%45.8%31.9%35.6%
Put IV 25d43.1%35.9%53.8%35.9%39.8%
Bid-Ask Spread %5.773.938.803.935.09
Gamma HHI0.070.060.090.090.07
Net GEX23.1M5.2M39.0M27.4M17.5M
Net DEX-823.1M-1.59B-93.0M-881.0M-621.1M
Net VEX-7.6M-8.3M-6.7M-7.0M-8.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.381.600.811.18
Total Volume72,637.6524,646148,38346,14024,646
Total OI1,067,543.3950,7801,244,487950,7801,045,220

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-05-03$49.88$47.0032.9%9.4%20.5%57.9%33.1%4.0%1.1%27.4M-881.0M-7.0M0.813.9325,52020,620498,232452,548
2010-05-04$49.66$47.0035.1%10.1%20.6%62.1%35.8%3.7%0.6%25.4M-799.6M-7.1M0.834.5122,85118,916501,047458,461
2010-05-05$49.24$47.0037.3%10.7%18.6%66.3%38.0%3.2%0.3%23.7M-726.7M-7.2M1.315.2033,76644,106500,868464,092
2010-05-06$49.94$47.0042.4%12.2%19.1%76.0%43.6%3.2%-1.7%21.8M-844.3M-7.4M1.048.8038,17739,743501,769482,250
2010-05-07$49.13$45.0045.3%12.7%19.9%81.7%43.7%5.1%-1.1%18.1M-681.7M-7.7M0.686.6634,50523,406514,700498,889
2010-05-10$50.14$45.0037.8%10.7%20.6%67.2%37.6%3.9%1.4%28.9M-920.9M-7.2M0.666.2923,47015,482524,471503,666
2010-05-11$53.60$45.0037.2%11.0%30.5%66.1%38.9%2.7%0.8%39.0M-1.58B-6.7M0.387.62102,24339,212527,049506,574
2010-05-12$53.43$46.0036.6%10.7%30.6%65.0%37.7%2.4%1.4%38.5M-1.59B-7.1M0.756.1168,42951,368558,648522,812
2010-05-13$52.66$47.0036.7%10.5%30.9%65.2%37.6%2.6%0.9%33.1M-1.35B-7.5M0.544.9746,65525,245557,798546,701
2010-05-14$53.15$48.0039.3%11.3%29.5%70.1%40.6%4.2%1.2%33.5M-1.43B-7.7M1.005.9845,11045,244570,622550,414
2010-05-17$51.87$48.0039.8%11.4%31.4%71.1%41.1%4.4%1.0%32.2M-1.19B-7.6M0.735.0720,44714,997580,436563,303
2010-05-18$51.49$48.0041.9%12.0%31.6%75.1%41.3%4.4%-1.5%31.9M-1.12B-7.6M0.486.37100,18548,198580,557563,691
2010-05-19$49.45$48.0042.0%12.0%35.4%75.3%42.1%5.7%-0.2%22.8M-613.1M-8.3M0.815.2854,31843,802633,737592,446
2010-05-20$47.05$48.0048.8%14.0%39.9%88.3%49.0%8.1%-2.5%5.2M-93.0M-8.1M1.445.9439,94457,580641,118598,830
2010-05-21$47.21$48.0045.6%13.1%39.3%82.1%46.6%8.0%-0.6%12.7M-144.2M-8.0M1.606.6942,01167,117643,830600,657
2010-05-24$47.64$47.0041.3%11.8%39.5%74.0%41.9%7.8%0.7%6.7M-236.3M-7.9M0.654.3031,64820,661509,281485,182
2010-05-25$48.94$47.0042.6%12.2%40.7%76.4%43.7%7.9%0.4%11.1M-454.2M-8.3M0.465.1738,79917,760520,865488,879
2010-05-26$48.99$47.0040.3%11.5%39.3%72.0%40.7%6.0%0.7%14.0M-501.3M-8.1M0.636.2417,16310,870536,250492,912
2010-05-27$50.18$47.0036.2%10.4%40.0%64.2%38.2%5.9%1.4%19.2M-683.5M-8.1M1.035.1719,01619,523539,029493,032
2010-05-28$49.86$48.0036.9%10.6%40.0%65.5%38.0%4.3%1.1%17.5M-621.1M-8.1M1.185.0911,30013,346543,081502,139