GDX Options History — March 2010

In March 2010, GDX traded between $42.91 and $46.43. ATM implied volatility averaged 33.8%, placing in the 50.8% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 3.1% (HV 20d: 30.7%). Max pain ranged from $43.00 to $44.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.95.

Notable Days

2010-03-02: Highest Volume — 102,239 contracts
2010-03-11: Largest IV spike — 11.6% change
2010-03-11: Highest IV Rank — 54.5%
2010-03-10: Largest Expected Move — 10.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.09	$42.91	$46.43	$44.64	$44.41
Max Pain	$43.83	$43.00	$44.00	$44.00	$43.00
ATM IV	33.8%	29.5%	36.6%	35.7%	30.0%
Expected Move	9.8%	8.4%	10.6%	10.2%	8.6%
HV 20d	30.7%	22.4%	47.0%	47.0%	24.6%
HV 60d	38.1%	35.6%	41.3%	41.3%	36.3%
IV Rank	50.8%	45.3%	54.5%	52.0%	46.2%
IV Percentile	15.8%	6.7%	24.6%	19.0%	7.9%
Term Structure	2.0%	1.0%	3.2%	1.0%	3.2%
VWIV	34.9%	30.3%	38.1%	37.0%	30.3%
Skew 25d	3.3%	1.4%	4.3%	3.4%	2.5%
Skew 10d	7.1%	4.4%	9.5%	7.2%	5.3%
Call IV 25d	33.2%	29.2%	35.7%	35.1%	29.2%
Put IV 25d	36.6%	31.0%	39.7%	38.5%	31.7%
Bid-Ask Spread %	4.37	3.34	6.37	4.48	3.56
Gamma HHI	0.09	0.07	0.21	0.08	0.07
Net GEX	10.3M	-1.6M	24.6M	10.1M	3.4M
Net DEX	-220.5M	-468.1M	95.0M	-197.8M	-95.8M
Net VEX	-5.8M	-6.2M	-5.5M	-5.6M	-5.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.95	0.32	1.84	0.59	1.29
Total Volume	47,395.478	22,903	102,239	33,171	35,085
Total OI	821,396.913	630,986	951,832	796,669	723,811

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2010-03-01	$44.64	$44.00	35.7%	10.2%	47.0%	52.0%	37.0%	3.4%	1.0%	10.1M	-197.8M	-5.6M	0.59	4.48	20,909	12,262	427,181	369,488
2010-03-02	$45.51	$44.00	35.7%	10.2%	43.8%	52.0%	37.3%	3.7%	2.1%	12.7M	-351.6M	-5.6M	0.87	6.37	54,789	47,450	429,945	371,795
2010-03-03	$46.36	$44.00	34.9%	10.0%	44.1%	51.8%	35.6%	2.4%	2.6%	15.9M	-468.1M	-6.1M	0.74	4.98	44,111	32,803	455,783	393,684
2010-03-04	$45.58	$44.00	34.1%	9.8%	44.5%	50.4%	35.7%	2.4%	2.5%	13.4M	-330.8M	-6.2M	0.32	4.61	39,386	12,574	464,236	409,035
2010-03-05	$46.43	$44.00	33.8%	10.4%	38.7%	49.9%	36.6%	4.3%	1.6%	16.2M	-465.2M	-6.2M	0.79	4.67	24,324	19,234	468,214	410,243
2010-03-08	$45.95	$44.00	34.8%	10.4%	35.2%	51.4%	38.1%	4.0%	1.5%	14.2M	-362.8M	-6.0M	1.46	4.96	14,101	20,593	464,137	413,221
2010-03-09	$45.58	$44.00	32.9%	10.3%	31.7%	48.5%	36.5%	3.7%	1.6%	13.0M	-302.9M	-6.0M	0.69	5.56	20,597	14,122	466,724	419,038
2010-03-10	$44.96	$44.00	32.8%	10.6%	29.1%	48.4%	37.5%	3.9%	1.2%	10.5M	-184.6M	-5.9M	1.84	5.20	23,803	43,819	471,735	423,355
2010-03-11	$45.32	$44.00	36.6%	10.5%	29.0%	54.5%	36.5%	3.8%	1.3%	9.9M	-229.7M	-6.1M	1.00	4.51	20,500	20,440	474,018	447,475
2010-03-12	$44.99	$44.00	36.3%	10.4%	26.1%	53.9%	35.7%	4.1%	1.5%	9.5M	-182.6M	-6.0M	0.83	3.86	27,906	23,096	479,903	450,096
2010-03-15	$44.94	$44.00	36.3%	10.4%	26.1%	53.9%	38.1%	3.6%	1.4%	11.6M	-140.4M	-5.9M	1.80	5.04	8,191	14,712	479,450	448,306
2010-03-16	$46.12	$44.00	35.8%	10.3%	26.6%	53.1%	36.7%	3.4%	1.4%	18.6M	-379.2M	-5.9M	0.65	4.55	37,714	24,656	478,939	454,191
2010-03-17	$46.27	$44.00	34.9%	10.0%	26.5%	51.6%	35.2%	3.2%	1.7%	22.2M	-423.5M	-5.9M	0.68	4.57	36,423	24,797	487,738	459,622
2010-03-18	$45.97	$43.00	33.7%	9.7%	26.6%	49.8%	33.9%	3.1%	2.7%	24.6M	-380.1M	-5.8M	0.75	4.92	31,250	23,345	492,546	459,286
2010-03-19	$45.31	$44.00	34.0%	9.8%	26.8%	52.3%	34.4%	3.5%	2.8%	18.8M	-269.2M	-5.7M	1.20	3.34	22,031	26,519	489,258	460,223
2010-03-22	$45.14	$44.00	32.4%	9.3%	26.5%	50.2%	33.2%	3.2%	2.1%	4.2M	-139.2M	-5.6M	0.69	3.76	23,182	15,879	308,638	322,348
2010-03-23	$45.28	$44.00	31.0%	8.9%	22.4%	48.0%	31.2%	3.4%	2.4%	5.7M	-165.9M	-5.6M	0.34	3.90	23,073	7,801	320,562	328,496
2010-03-24	$43.50	$44.00	34.3%	9.8%	27.1%	53.4%	34.1%	3.9%	1.7%	1.8M	3.7M	-5.5M	0.96	3.39	33,095	31,660	332,412	330,076
2010-03-25	$42.91	$44.00	33.9%	9.7%	25.6%	52.8%	34.0%	3.4%	1.6%	-1.6M	95.0M	-5.5M	0.93	3.57	18,319	16,985	338,240	345,861
2010-03-26	$43.71	$44.00	32.3%	9.3%	26.3%	50.1%	33.4%	3.6%	2.1%	157.6K	9.2M	-5.6M	1.41	3.53	15,912	22,461	338,383	354,805
2010-03-29	$44.33	$43.00	31.3%	9.0%	26.0%	48.4%	31.6%	2.8%	2.7%	2.0M	-78.8M	-5.7M	0.44	3.38	19,634	8,688	346,761	363,593
2010-03-30	$43.86	$43.00	29.5%	8.4%	25.2%	45.3%	30.3%	1.4%	3.2%	576.7K	-30.2M	-5.6M	1.67	3.85	11,953	19,912	353,634	365,644
2010-03-31	$44.41	$43.00	30.0%	8.6%	24.6%	46.2%	30.3%	2.5%	3.2%	3.4M	-95.8M	-5.6M	1.29	3.56	15,336	19,749	357,739	366,072