GDX Options History — September 2010

In September 2010, GDX traded between $52.65 and $56.66. ATM implied volatility averaged 28.0%, placing in the 49.9% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 5.8% (HV 20d: 22.1%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.94.

Notable Days

  • 2010-09-14: Highest Volume — 119,681 contracts
  • 2010-09-07: Largest IV spike — 43.6% change
  • 2010-09-28: Highest IV Rank — 58.0%
  • 2010-09-28: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.73$52.65$56.66$52.85$55.93
Max Pain$53.10$50.00$55.00$50.00$55.00
ATM IV28.0%21.1%32.1%30.6%29.7%
Expected Move8.0%7.4%8.4%8.0%8.2%
HV 20d22.1%19.6%23.8%23.5%20.5%
HV 60d26.2%23.6%27.5%27.5%23.6%
IV Rank49.9%36.4%58.0%55.1%53.4%
IV Percentile11.0%1.2%35.7%19.8%19.8%
Term Structure1.8%-0.1%3.4%2.3%0.9%
VWIV28.4%26.8%30.5%28.4%28.9%
Skew 25d2.8%1.8%3.7%3.0%3.4%
Skew 10d5.8%3.7%7.8%6.1%7.8%
Call IV 25d27.1%25.2%28.9%27.4%27.5%
Put IV 25d29.9%27.4%31.7%30.4%30.9%
Bid-Ask Spread %5.474.217.935.167.20
Gamma HHI0.170.090.520.120.11
Net GEX35.1M13.2M64.4M34.6M21.0M
Net DEX-1.11B-1.58B-814.3M-946.4M-1.03B
Net VEX-7.0M-8.1M-6.4M-6.9M-8.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.392.460.661.90
Total Volume58,709.66725,165119,68138,09254,900
Total OI1,039,957.81845,0081,193,3881,068,6421,035,920

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-09-01$52.85$50.0030.6%8.0%23.5%55.1%28.4%3.0%2.3%34.6M-946.4M-6.9M0.665.1622,95615,136551,414517,228
2010-09-02$53.57$50.0026.6%7.4%23.8%47.1%27.2%2.2%2.7%41.9M-1.11B-6.9M0.605.4815,7719,394556,679523,344
2010-09-03$53.69$52.0021.1%7.8%23.7%36.4%27.8%2.9%3.4%42.9M-1.15B-6.6M0.396.2330,52612,043562,456525,476
2010-09-07$53.95$52.0030.3%8.2%23.6%54.6%29.3%2.9%2.2%43.4M-1.20B-6.6M0.835.2221,90418,252557,952519,426
2010-09-08$53.67$52.0027.4%8.2%23.8%48.7%29.0%3.2%2.4%42.2M-1.10B-6.7M0.884.8727,33724,117562,483525,097
2010-09-09$52.65$52.0028.8%8.3%22.9%51.5%29.5%3.7%2.0%37.8M-898.3M-6.8M1.175.1920,73924,354576,142532,549
2010-09-10$53.04$52.0027.7%7.9%21.5%49.3%27.9%3.6%2.8%32.7M-983.7M-6.8M1.114.9221,77024,102582,370545,263
2010-09-13$53.00$53.0028.5%8.2%20.9%51.1%28.4%3.6%2.1%40.9M-994.0M-6.6M0.674.2116,11210,784577,206543,415
2010-09-14$54.88$53.0028.6%8.2%23.1%51.2%30.3%2.1%1.6%50.9M-1.44B-6.4M0.865.3064,35755,324580,614550,046
2010-09-15$54.60$53.0028.5%8.2%23.1%51.0%29.5%2.1%1.5%50.5M-1.36B-6.6M0.434.3435,43015,126589,035577,773
2010-09-16$55.36$53.0026.8%7.7%23.0%47.6%27.4%1.8%2.4%57.2M-1.58B-6.5M0.565.1556,34231,373597,139576,890
2010-09-17$54.78$53.0027.0%7.7%23.2%48.0%27.6%1.8%2.1%64.4M-1.40B-6.7M0.684.9062,45342,479602,632590,756
2010-09-20$55.34$53.0025.8%7.4%22.9%45.6%26.8%2.2%2.4%22.2M-926.1M-7.1M0.755.0927,32920,610440,632404,376
2010-09-21$55.67$54.0026.6%7.6%22.5%47.2%27.5%2.5%1.2%23.0M-972.7M-7.2M0.986.9026,96226,544447,700416,929
2010-09-22$56.37$54.0027.3%7.8%21.8%48.6%27.8%2.8%0.7%27.0M-1.10B-7.2M1.374.9823,25831,968458,911429,392
2010-09-23$55.76$54.0026.9%7.7%20.0%47.9%27.4%2.4%1.6%21.6M-965.5M-7.3M1.036.7531,06231,931460,615441,928
2010-09-24$55.67$55.0027.5%7.9%19.6%48.9%27.9%3.3%1.2%16.7M-921.9M-7.6M1.185.4824,80229,215471,951455,019
2010-09-27$55.34$55.0030.1%8.2%19.6%54.1%28.5%2.7%0.4%13.2M-814.3M-7.5M0.414.9459,55424,552471,639460,080
2010-09-28$56.66$55.0032.1%8.4%20.9%58.0%30.5%2.9%-0.1%24.5M-1.18B-7.8M0.877.9346,27640,327522,412472,784
2010-09-29$56.51$55.0029.6%8.1%20.9%53.1%29.2%3.4%1.0%27.8M-1.22B-7.9M2.464.5416,00339,429542,049483,392
2010-09-30$55.93$55.0029.7%8.2%20.5%53.4%28.9%3.4%0.9%21.0M-1.03B-8.1M1.907.2018,91435,986538,457497,463