GDX Options History — September 2018

In September 2018, GDX traded between $17.58 and $18.92. ATM implied volatility averaged 25.8%, placing in the 50.5% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 3.1% (HV 20d: 28.9%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.84.

Notable Days

  • 2018-09-26: Highest Volume — 213,144 contracts
  • 2018-09-13: Largest IV drop — 4.1% change
  • 2018-09-12: Highest IV Rank — 63.0%
  • 2018-09-12: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.26$17.58$18.92$18.00$18.54
Max Pain$19.32$19.00$20.00$20.00$19.00
ATM IV25.8%24.4%27.8%25.9%24.4%
Expected Move7.4%7.1%8.0%7.5%7.1%
HV 20d28.9%22.6%36.2%34.1%22.6%
HV 60d24.4%23.4%25.2%23.6%24.7%
IV Rank50.5%41.8%63.0%51.4%41.8%
IV Percentile86.0%76.6%95.2%88.1%76.6%
Term Structure-0.1%-0.8%0.5%-0.0%0.3%
VWIV26.6%24.9%28.9%27.2%24.9%
Skew 25d0.7%-0.3%1.5%0.6%0.4%
Skew 10d1.2%-1.3%2.8%1.0%0.7%
Call IV 25d26.3%25.1%27.9%26.8%25.1%
Put IV 25d27.1%25.5%29.4%27.5%25.5%
Bid-Ask Spread %2.361.687.182.892.06
Gamma HHI0.150.120.190.140.13
Net GEX-13.9M-22.2M-2.4M-19.4M-2.4M
Net DEX809.1M446.7M1.13B1.03B574.0M
Net VEX-6.3M-7.0M-5.6M-5.8M-6.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.191.150.780.89
Total Volume101,236.26361,863213,14493,13461,863
Total OI2,724,0992,330,1472,979,0902,658,1142,548,428

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-09-04$18.00$20.0025.9%7.5%34.1%51.4%27.2%0.6%-0.0%-19.4M1.03B-5.8M0.782.8952,45040,6841,465,5851,192,529
2018-09-05$17.86$20.0026.0%7.6%34.1%51.5%26.8%0.9%-0.2%-21.2M1.09B-5.7M1.077.1846,78350,2431,486,8571,209,965
2018-09-06$17.82$20.0026.8%7.6%33.9%56.9%27.6%0.6%-0.3%-21.0M1.07B-5.9M0.832.2744,17336,6141,513,6051,227,491
2018-09-07$17.89$20.0026.5%7.6%34.0%54.5%28.9%1.4%0.3%-20.4M1.01B-6.0M1.132.1733,59938,0461,532,5131,221,119
2018-09-10$17.59$20.0026.3%7.6%34.2%53.4%27.7%1.1%0.1%-22.0M1.12B-5.6M1.151.8536,87542,5211,523,2401,229,896
2018-09-11$17.58$20.0026.8%7.6%33.5%56.4%27.2%0.9%-0.4%-22.2M1.13B-5.6M1.041.6957,36559,7711,535,5321,243,640
2018-09-12$18.17$19.0027.8%8.0%36.2%63.0%28.0%1.5%-0.3%-15.6M879.9M-6.4M0.841.8385,14871,4861,567,9611,255,124
2018-09-13$18.02$19.0026.7%7.7%28.5%56.0%27.2%0.9%0.1%-16.4M931.5M-6.2M0.512.1951,78426,4681,598,8531,270,194
2018-09-14$18.00$19.0025.6%7.4%28.0%49.5%26.3%1.0%0.3%-18.1M961.0M-6.1M0.941.6845,04542,2991,610,1551,273,514
2018-09-17$18.36$19.0026.3%7.5%27.4%53.4%26.8%0.5%-0.4%-15.2M800.4M-6.5M0.422.0548,37220,4421,612,8111,280,762
2018-09-18$18.41$19.0025.9%7.5%27.4%51.4%26.2%0.4%-0.8%-14.7M785.5M-6.5M0.731.9836,05926,3601,628,3431,286,812
2018-09-19$18.76$19.0025.1%7.2%28.1%46.4%25.5%0.6%-0.7%-7.6M610.6M-6.7M0.952.8759,39756,5991,640,2801,293,731
2018-09-20$18.92$19.0025.4%7.3%28.3%47.9%26.1%0.9%-0.4%-3.3M521.8M-7.0M1.112.1164,17571,0621,654,6471,298,330
2018-09-21$18.68$19.0025.1%7.2%26.1%46.2%25.7%0.3%0.5%-9.2M655.9M-6.7M0.702.0359,65441,7941,663,5801,315,510
2018-09-24$18.76$19.0025.5%7.4%23.5%48.8%26.1%0.8%-0.1%-9.2M483.1M-6.7M0.842.1540,46434,0841,198,9351,136,267
2018-09-25$18.79$19.0024.7%7.2%22.8%43.7%25.4%0.7%-0.2%-6.6M446.7M-6.7M0.971.9359,12157,6281,199,7511,130,396
2018-09-26$18.47$19.0024.8%7.2%22.8%44.0%26.0%-0.3%-0.1%-12.5M617.2M-6.4M0.192.13179,70133,4431,224,6701,164,367
2018-09-27$18.37$19.0024.6%7.3%22.8%42.9%25.6%0.8%-0.2%-7.9M648.3M-6.5M0.871.8459,88052,0371,357,2941,165,194
2018-09-28$18.54$19.0024.4%7.1%22.6%41.8%24.9%0.4%0.3%-2.4M574.0M-6.6M0.892.0632,65229,2111,366,8361,181,592