GDX Options History — September 2014

In September 2014, GDX traded between $21.36 and $25.81. ATM implied volatility averaged 27.3%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 0.6% (HV 20d: 26.7%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.79.

Notable Days

  • 2014-09-19: Highest Volume — 138,637 contracts
  • 2014-09-08: Largest IV spike — 9.8% change
  • 2014-09-29: Highest IV Rank — 44.0%
  • 2014-09-29: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.53$21.36$25.81$25.81$21.36
Max Pain$25.14$25.00$26.00$26.00$25.00
ATM IV27.3%23.2%32.5%23.4%32.0%
Expected Move8.0%7.3%8.6%7.6%8.5%
HV 20d26.7%22.9%29.2%23.0%24.6%
HV 60d27.3%26.1%29.1%27.6%26.6%
IV Rank23.8%8.0%44.0%8.7%42.2%
IV Percentile28.3%6.7%45.2%6.7%45.2%
Term Structure0.2%-0.7%1.7%0.4%-0.7%
VWIV28.4%26.0%30.7%26.7%30.7%
Skew 25d-0.4%-2.0%0.5%-0.5%-1.4%
Skew 10d-1.5%-4.8%2.2%-0.8%-4.4%
Call IV 25d28.1%23.5%33.5%24.1%33.1%
Put IV 25d27.7%23.6%31.9%23.6%31.8%
Bid-Ask Spread %18.7513.6625.7820.7816.19
Gamma HHI0.090.070.110.110.09
Net GEX2.2M-11.0M15.7M15.7M3.5M
Net DEX151.6M-265.3M402.5M-265.3M354.0M
Net VEX-4.0M-4.2M-3.8M-4.2M-3.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.171.761.200.56
Total Volume68,946.04825,812138,63748,68365,259
Total OI1,494,354.6191,338,2141,619,7821,406,9221,510,567

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-09-02$25.81$26.0023.4%7.6%23.0%8.7%26.7%-0.5%0.4%15.7M-265.3M-4.2M1.2020.7822,13926,544849,753557,169
2014-09-03$25.78$26.0023.2%7.3%22.9%8.0%26.0%0.4%0.2%12.1M-231.9M-4.2M1.7623.609,34216,470859,082571,088
2014-09-04$24.88$26.0024.9%7.7%24.4%14.4%27.5%-0.7%-0.1%6.7M-17.8M-4.1M0.9520.7751,36748,677862,837576,341
2014-09-05$25.07$25.0024.0%7.7%24.6%10.9%26.9%-0.0%0.2%8.0M-33.7M-4.2M0.9325.7844,46841,259894,138601,239
2014-09-08$24.19$25.0026.3%7.8%27.1%19.9%27.6%-0.6%-0.5%1.2M122.3M-4.0M1.1019.1936,75540,531892,640597,158
2014-09-09$24.56$25.0026.1%7.8%27.7%18.9%27.4%0.2%-0.0%1.3M56.6M-4.1M0.9621.5031,20529,959904,367614,757
2014-09-10$24.10$25.0026.6%7.8%26.9%21.0%28.3%-0.7%-0.4%-1.3M164.8M-4.1M1.1618.2929,30834,099914,264626,728
2014-09-11$24.27$25.0026.6%7.8%27.3%20.7%27.3%0.2%-0.2%-873.1K131.5M-4.1M1.5817.0928,12744,323920,078635,233
2014-09-12$23.88$25.0027.1%8.1%27.5%22.9%28.7%0.2%-0.2%689.6K182.4M-4.1M0.6017.3343,93426,473928,201622,650
2014-09-15$23.91$25.0027.3%8.1%27.6%23.5%28.5%0.4%0.3%431.7K125.4M-4.1M0.7020.1616,59711,575926,570609,635
2014-09-16$24.00$25.0027.0%8.1%27.4%22.3%28.8%0.5%0.2%3.2M96.2M-4.1M0.5817.2542,66124,669936,222611,986
2014-09-17$23.43$25.0026.6%8.0%28.1%20.9%28.2%0.1%0.6%-2.8M221.6M-4.0M1.0019.1132,37432,463958,826625,324
2014-09-18$23.13$25.0025.7%7.9%28.1%17.5%28.1%-0.4%0.6%-10.4M309.5M-3.8M0.8817.9941,84437,020961,237628,838
2014-09-19$22.66$25.0027.0%8.0%28.0%22.5%28.8%-0.3%0.9%-11.0M402.5M-3.8M0.3815.17100,72437,913976,768643,014
2014-09-22$22.18$25.0028.6%8.1%28.3%28.3%29.2%-1.4%0.7%-256.0K299.1M-3.8M0.4813.6677,76637,332818,124520,090
2014-09-23$22.54$25.0028.6%8.2%29.2%28.5%28.9%-0.3%-0.3%4.4M218.4M-4.1M0.5715.8934,14619,585872,246539,632
2014-09-24$22.21$25.0029.0%8.2%27.4%30.3%29.6%-2.0%0.5%2.4M260.2M-4.1M0.1715.9536,4166,219874,671541,214
2014-09-25$22.35$25.0030.5%8.4%27.8%36.3%29.8%0.5%0.1%4.6M236.0M-4.1M0.4018.9649,97419,884898,688543,799
2014-09-26$21.98$25.0030.9%8.5%26.8%37.7%30.3%-1.6%1.7%4.5M276.7M-4.1M0.2520.2550,22512,347931,069552,085
2014-09-29$21.75$25.0032.5%8.6%25.9%44.0%30.2%-1.5%-0.4%5.2M274.6M-4.0M0.3518.9441,36714,527933,915539,204
2014-09-30$21.36$25.0032.0%8.5%24.6%42.2%30.7%-1.4%-0.7%3.5M354.0M-3.9M0.5616.1941,91523,344964,893545,674