GDX Options History — August 2010

In August 2010, GDX traded between $48.05 and $53.61. ATM implied volatility averaged 29.1%, placing in the 52.1% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 3.7% (HV 20d: 25.4%). Max pain ranged from $49.00 to $50.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.83.

Notable Days

  • 2010-08-20: Highest Volume — 65,847 contracts
  • 2010-08-30: Largest IV spike — 15.3% change
  • 2010-08-31: Highest IV Rank — 64.5%
  • 2010-08-25: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.85$48.05$53.61$48.05$53.61
Max Pain$49.32$49.00$50.00$49.00$50.00
ATM IV29.1%25.1%35.4%29.0%35.4%
Expected Move8.3%7.5%8.6%8.2%8.6%
HV 20d25.4%21.1%28.8%26.9%23.9%
HV 60d29.5%27.4%33.5%33.4%27.4%
IV Rank52.1%44.2%64.5%52.0%64.5%
IV Percentile11.9%2.8%46.4%7.1%46.4%
Term Structure2.5%1.2%3.8%1.6%1.8%
VWIV29.9%28.0%32.5%29.5%31.0%
Skew 25d2.6%1.0%3.4%1.4%3.0%
Skew 10d5.6%2.2%7.8%3.0%5.5%
Call IV 25d28.5%26.3%30.5%29.0%29.7%
Put IV 25d31.1%28.0%32.7%30.3%32.7%
Bid-Ask Spread %4.432.786.226.126.22
Gamma HHI0.100.070.130.070.12
Net GEX28.1M7.0M45.8M7.0M37.6M
Net DEX-635.3M-1.10B-100.2M-100.2M-1.10B
Net VEX-6.9M-7.0M-6.7M-6.8M-7.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.431.420.690.80
Total Volume39,028.27321,12865,84729,84061,456
Total OI1,031,208.818974,4191,101,267982,4011,050,452

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-08-02$48.05$49.0029.0%8.2%26.9%52.0%29.5%1.4%1.6%7.0M-100.2M-6.8M0.696.1217,69012,150510,513471,888
2010-08-03$48.32$49.0030.3%8.1%26.6%54.5%28.7%1.5%1.2%10.4M-169.7M-6.7M0.484.3215,3637,365515,975473,191
2010-08-04$49.62$49.0026.9%7.6%27.2%47.9%28.2%1.5%1.2%21.1M-416.6M-6.8M1.295.1316,12920,815524,372474,816
2010-08-05$49.69$49.0027.1%7.5%26.8%48.2%28.0%1.6%2.3%20.9M-420.3M-6.9M1.423.699,96514,191525,375479,839
2010-08-06$50.17$49.0025.1%8.0%25.8%44.2%28.6%3.0%2.7%25.2M-527.0M-6.8M1.063.6617,38018,341528,355486,670
2010-08-09$50.19$49.0025.4%8.0%25.7%44.9%28.7%2.9%2.7%25.0M-496.4M-6.7M0.764.1612,8079,771528,610489,684
2010-08-10$50.37$49.0025.9%8.0%25.7%45.9%29.2%3.3%3.3%27.3M-540.5M-6.8M0.883.8720,79618,267531,280493,782
2010-08-11$49.08$49.0027.9%8.6%27.3%49.8%31.8%3.4%2.8%14.6M-291.4M-7.0M1.174.1615,66718,267538,042502,576
2010-08-12$50.31$49.0029.9%8.6%28.8%53.7%31.2%3.2%2.5%27.4M-551.2M-7.0M1.353.8316,52222,237544,901509,063
2010-08-13$49.74$49.0029.7%8.5%26.4%53.4%30.8%3.4%3.0%20.7M-421.7M-6.9M0.883.8111,2579,871547,185515,655
2010-08-16$50.71$49.0029.4%8.4%25.8%52.7%30.2%3.1%2.8%33.3M-645.8M-6.9M0.573.4515,6288,871548,941516,900
2010-08-17$51.29$49.0028.7%8.2%25.1%51.3%29.7%3.1%3.2%39.6M-774.1M-6.8M0.954.0622,99721,794551,633518,658
2010-08-18$52.13$49.0028.5%8.2%25.2%50.9%29.0%2.9%3.6%45.8M-984.7M-6.7M0.654.2030,67320,040559,409523,006
2010-08-19$51.73$49.0029.3%8.4%24.8%52.5%30.8%3.1%3.5%42.7M-881.6M-6.9M0.624.1924,37215,230566,761530,796
2010-08-20$51.28$49.0029.3%8.4%25.1%52.5%29.7%2.6%3.8%36.5M-794.7M-6.9M0.432.7846,04319,804567,149534,118
2010-08-23$50.90$50.0028.7%8.2%25.1%51.4%29.4%2.4%2.6%23.7M-575.6M-6.8M0.864.2315,05413,006500,725473,694
2010-08-24$50.30$50.0029.2%8.4%21.1%52.3%29.5%2.6%2.8%20.8M-459.4M-6.9M0.455.1121,3609,507504,514478,516
2010-08-25$52.00$50.0030.0%8.6%23.6%53.9%30.7%1.0%2.2%30.5M-794.4M-6.9M0.534.9626,26413,814513,508482,052
2010-08-26$52.73$50.0030.0%8.6%23.9%53.9%31.0%1.7%1.8%34.7M-949.4M-6.9M0.445.0440,88417,813524,192488,381
2010-08-27$53.34$50.0029.7%8.3%23.9%53.4%29.4%2.5%2.3%38.8M-1.08B-6.9M0.555.6840,18222,082533,004494,940
2010-08-30$53.12$50.0034.3%8.5%23.9%62.3%32.5%3.1%1.8%35.7M-1.00B-6.7M1.384.6919,67927,218533,871499,602
2010-08-31$53.61$50.0035.4%8.6%23.9%64.5%31.0%3.0%1.8%37.6M-1.10B-7.0M0.806.2234,12927,327542,925507,527