GDX Options History — September 2020

In September 2020, GDX traded between $37.47 and $42.84. ATM implied volatility averaged 42.9%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 3.6% (HV 20d: 39.4%). Max pain ranged from $38.00 to $41.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.64.

Notable Days

  • 2020-09-23: Highest Volume — 285,121 contracts
  • 2020-09-23: Largest IV spike — 11.0% change
  • 2020-09-03: Highest IV Rank — 31.2%
  • 2020-09-03: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.69$37.47$42.84$41.56$39.11
Max Pain$40.45$38.00$41.00$38.00$40.00
ATM IV42.9%39.8%49.4%46.2%40.4%
Expected Move12.2%11.4%14.0%12.6%11.5%
HV 20d39.4%31.1%48.2%48.2%38.5%
HV 60d40.3%38.9%42.2%40.5%41.8%
IV Rank24.1%20.7%31.2%27.7%21.4%
IV Percentile59.1%47.2%81.7%72.6%47.2%
Term Structure0.8%-0.4%3.8%-0.4%2.9%
VWIV43.5%40.1%49.6%45.1%41.5%
Skew 25d0.3%-1.9%2.3%-0.4%1.4%
Skew 10d0.5%-3.8%6.2%-1.7%3.8%
Call IV 25d43.6%40.3%50.2%46.9%40.3%
Put IV 25d43.9%40.8%50.0%46.6%41.7%
Bid-Ask Spread %3.722.379.752.773.55
Gamma HHI0.080.050.110.080.07
Net GEX54.2M7.7M112.8M68.0M17.8M
Net DEX-1.89B-3.01B-509.5M-2.38B-989.6M
Net VEX-12.4M-13.2M-11.6M-12.8M-11.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.291.360.611.12
Total Volume138,779.14377,363285,12197,38577,363
Total OI2,592,555.8572,081,0712,984,7572,595,9632,378,509

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-09-01$41.56$38.0046.2%12.6%48.2%27.7%45.1%-0.4%-0.4%68.0M-2.38B-12.8M0.612.7760,38836,9971,553,7371,042,226
2020-09-02$41.70$38.0046.1%12.5%48.1%27.6%44.3%-0.2%0.8%71.4M-2.41B-13.0M0.472.3768,39132,3021,569,4501,061,687
2020-09-03$41.23$41.0049.4%14.0%48.1%31.2%49.6%-0.2%-0.1%65.5M-2.23B-13.2M0.493.7791,31145,1361,605,8581,075,367
2020-09-04$40.94$41.0046.4%13.1%47.3%27.9%46.6%-0.7%-0.2%58.0M-2.13B-12.7M0.658.83139,22590,1021,635,1621,085,251
2020-09-08$40.72$41.0046.7%13.4%47.2%28.2%47.5%-1.9%-0.0%61.6M-2.08B-12.9M0.549.7571,25938,1551,631,9431,085,270
2020-09-09$42.31$41.0043.3%12.5%38.4%24.5%43.9%0.6%0.2%88.6M-2.79B-12.7M0.393.0499,58038,5911,649,5111,097,958
2020-09-10$41.66$41.0042.3%12.1%39.0%23.4%43.0%0.9%-0.3%83.6M-2.46B-12.5M0.713.3885,82760,9221,668,3161,106,576
2020-09-11$41.09$41.0041.5%11.9%38.3%22.5%42.8%0.3%0.2%68.3M-2.16B-12.5M0.842.8168,53757,3301,688,1661,134,407
2020-09-14$42.81$41.0041.8%12.0%40.8%22.8%43.4%-0.9%0.7%97.8M-2.96B-12.3M0.352.93117,35041,6511,642,8001,131,887
2020-09-15$42.66$41.0041.1%11.8%34.3%22.2%42.4%-1.5%3.8%106.6M-2.96B-12.4M0.643.29103,81566,1401,710,2011,144,618
2020-09-16$42.84$41.0040.6%11.6%34.3%21.5%41.5%-0.4%0.1%112.8M-3.01B-12.7M0.904.0961,64755,7161,738,6091,190,687
2020-09-17$41.95$41.0039.8%11.4%32.0%20.7%40.8%-0.9%0.8%96.3M-2.50B-12.6M1.362.9656,88577,4551,738,1391,213,116
2020-09-18$41.49$41.0040.2%11.5%31.1%21.1%41.7%0.5%0.7%18.7M-2.22B-12.3M0.523.0484,11143,7551,747,3111,237,446
2020-09-21$39.92$41.0041.3%11.8%32.3%22.3%43.0%0.7%0.5%16.5M-1.14B-11.8M0.422.55112,94347,9591,194,328886,743
2020-09-22$39.98$41.0041.1%11.8%32.3%22.1%42.0%0.8%0.5%21.8M-1.17B-12.1M0.432.93101,65143,4351,252,858905,501
2020-09-23$37.47$40.5045.6%13.2%39.5%27.0%46.0%2.3%-0.2%7.7M-509.5M-11.6M0.372.81208,17076,9511,293,348923,858
2020-09-24$38.59$40.0044.5%12.7%40.1%25.8%44.9%2.0%0.1%21.9M-847.8M-12.5M0.654.66101,18665,4921,383,939955,775
2020-09-25$38.44$40.0042.0%11.9%39.8%23.1%42.5%1.0%0.2%14.5M-786.0M-12.4M0.773.5460,28346,4201,403,151980,888
2020-09-28$38.73$40.0040.6%11.4%38.3%21.5%40.5%0.9%2.9%17.8M-901.8M-11.8M0.292.3970,32420,4041,366,687976,731
2020-09-29$39.39$40.0040.6%11.4%38.8%21.5%40.1%1.2%2.7%22.8M-1.10B-12.1M1.012.7344,41844,7851,371,040984,618
2020-09-30$39.11$40.0040.4%11.5%38.5%21.4%41.5%1.4%2.9%17.8M-989.6M-11.8M1.123.5536,51140,8521,370,1371,008,372