GDX Options History — September 2013

In September 2013, GDX traded between $25.02 and $28.58. ATM implied volatility averaged 44.9%, placing in the 79.7% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded below realized volatility by 6.8% (HV 20d: 51.7%). Max pain ranged from $25.50 to $28.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.59.

Notable Days

  • 2013-09-19: Highest Volume — 256,235 contracts
  • 2013-09-12: Largest IV spike — 6.0% change
  • 2013-09-23: Highest IV Rank — 88.8%
  • 2013-09-23: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.41$25.02$28.58$28.40$25.02
Max Pain$26.76$25.50$28.00$27.50$25.50
ATM IV44.9%42.8%47.4%46.0%45.4%
Expected Move12.9%12.3%13.7%13.2%13.1%
HV 20d51.7%42.9%61.6%61.6%51.7%
HV 60d57.2%55.3%58.7%57.1%55.3%
IV Rank79.7%71.8%88.8%83.7%81.4%
IV Percentile85.3%76.2%95.2%93.3%88.1%
Term Structure-0.7%-3.0%2.3%-1.5%-1.7%
VWIV45.1%42.9%47.7%46.6%46.0%
Skew 25d2.1%0.4%3.4%3.1%3.2%
Skew 10d4.1%1.5%6.4%6.1%6.1%
Call IV 25d44.5%42.9%48.1%45.2%44.8%
Put IV 25d46.6%44.2%49.2%48.3%48.1%
Bid-Ask Spread %7.493.9014.055.9214.05
Gamma HHI0.090.060.240.100.06
Net GEX7.2M-410.5K18.8M12.3M3.7M
Net DEX369.6M-90.1M692.9M68.1M478.3M
Net VEX-5.5M-6.1M-5.0M-6.1M-5.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.250.920.580.35
Total Volume106,231.2546,992256,23571,32359,245
Total OI2,062,802.751,767,9422,396,1382,038,4501,856,496

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-09-03$28.40$27.5046.0%13.2%61.6%83.7%46.6%3.1%-1.5%12.3M68.1M-6.1M0.585.9245,28026,0431,281,682756,768
2013-09-04$28.58$28.0043.9%12.6%57.1%75.9%44.4%2.7%-1.3%13.0M61.4M-6.1M0.796.3245,16935,8631,293,437766,004
2013-09-05$27.53$27.5045.7%13.1%59.3%82.7%46.0%2.0%-0.8%7.0M271.1M-5.8M0.897.8145,92140,9631,299,586776,114
2013-09-06$28.01$27.5043.6%12.5%52.4%75.0%43.5%2.6%-0.9%6.6M179.0M-5.9M0.799.5238,17630,2271,321,168787,240
2013-09-09$27.65$28.0044.0%12.6%52.4%76.4%44.0%2.3%-1.0%9.0M236.4M-5.7M0.757.8426,89820,0941,293,604766,871
2013-09-10$26.57$28.0044.0%12.6%50.3%76.3%43.9%2.0%-0.3%3.8M474.4M-5.3M0.687.3751,50835,1901,304,244775,630
2013-09-11$26.79$28.0042.8%12.3%49.4%71.8%42.9%1.3%-0.3%4.6M431.4M-5.3M0.926.8551,46447,5151,321,979782,845
2013-09-12$25.29$0.0045.3%13.0%48.8%81.2%45.3%2.3%-0.6%-410.5K692.9M-5.0M0.664.7786,49656,7671,343,498797,282
2013-09-13$25.63$26.0043.8%12.6%43.2%75.6%44.3%2.8%-0.5%2.5M629.9M-5.1M0.648.2076,59848,9631,383,860819,826
2013-09-16$25.39$27.0044.0%12.5%42.9%76.3%43.9%2.2%-2.0%2.7M637.7M-5.0M0.378.7652,29719,1411,367,188815,091
2013-09-17$25.93$27.0044.4%12.7%43.9%77.8%44.3%2.1%-2.4%6.3M538.6M-5.2M0.347.1961,85520,8321,385,913821,898
2013-09-18$28.25$26.0044.5%12.7%52.8%78.2%44.8%3.4%-3.0%18.8M-90.1M-6.1M0.255.53177,99143,6331,411,919830,311
2013-09-19$27.36$26.0044.8%12.8%51.3%79.3%45.7%0.7%2.3%16.2M107.9M-5.9M0.379.23186,86269,3731,443,257828,892
2013-09-20$25.76$26.5047.2%13.5%54.7%88.1%47.7%0.4%-0.3%16.7M409.6M-5.5M0.8112.9492,97974,9441,537,566858,572
2013-09-23$25.17$26.0047.4%13.7%53.6%88.8%47.6%2.1%-1.3%2.4M477.5M-5.3M0.545.8970,30037,7481,109,734658,208
2013-09-24$25.08$26.0047.1%13.5%53.2%87.7%47.2%1.4%-1.1%2.5M482.1M-5.3M0.353.9093,04432,6071,130,097673,854
2013-09-25$25.52$26.0045.3%13.0%52.4%81.0%45.4%1.7%-0.4%6.5M393.5M-5.6M0.385.3464,78324,3821,172,413683,975
2013-09-26$25.11$26.0044.9%12.8%52.0%79.5%44.8%1.9%1.7%4.9M457.0M-5.4M0.666.2143,64828,8881,197,232691,869
2013-09-27$25.17$26.0044.2%12.5%51.8%77.1%43.7%1.9%1.4%4.7M456.1M-5.4M0.606.0938,17122,7671,208,465701,467
2013-09-30$25.02$25.5045.4%13.1%51.7%81.4%46.0%3.2%-1.7%3.7M478.3M-5.2M0.3514.0543,75815,4871,174,534681,962