GDX Options History — June 2010

In June 2010, GDX traded between $48.81 and $54.06. ATM implied volatility averaged 34.5%, placing in the 60.9% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 1.4% (HV 20d: 33.1%). Max pain ranged from $48.00 to $51.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.77.

Notable Days

2010-06-18: Highest Volume — 111,990 contracts
2010-06-02: Largest IV drop — 13.9% change
2010-06-07: Highest IV Rank — 75.4%
2010-06-07: Largest Expected Move — 11.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$51.45	$48.81	$54.06	$49.81	$51.96
Max Pain	$49.86	$48.00	$51.00	$48.00	$51.00
ATM IV	34.5%	30.2%	42.0%	40.4%	33.7%
Expected Move	9.9%	8.7%	11.8%	11.6%	9.7%
HV 20d	33.1%	24.8%	41.7%	39.8%	29.6%
HV 60d	30.8%	30.2%	31.5%	30.2%	30.7%
IV Rank	60.9%	52.7%	75.4%	72.3%	59.3%
IV Percentile	30.0%	8.3%	72.2%	61.9%	25.8%
Term Structure	2.2%	-0.0%	3.9%	-0.0%	3.9%
VWIV	35.3%	31.5%	41.2%	40.2%	34.1%
Skew 25d	5.0%	2.7%	6.9%	5.9%	4.2%
Skew 10d	10.4%	5.5%	14.5%	11.0%	8.6%
Call IV 25d	32.8%	28.1%	38.5%	38.5%	32.4%
Put IV 25d	37.8%	33.0%	44.8%	44.3%	36.6%
Bid-Ask Spread %	4.92	3.77	7.45	5.40	4.33
Gamma HHI	0.10	0.06	0.56	0.06	0.08
Net GEX	25.1M	13.7M	100.0M	16.4M	14.2M
Net DEX	-766.4M	-1.53B	-449.3M	-597.8M	-596.2M
Net VEX	-7.5M	-8.0M	-7.1M	-8.0M	-7.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.34	1.67	0.34	0.48
Total Volume	44,579.682	21,499	111,990	22,124	21,499
Total OI	984,998.455	780,281	1,149,091	1,044,498	852,135

Daily Data (22 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
2010-06-01	$49.81	$48.00	40.4%	11.6%	39.8%	72.3%	40.2%	5.9%	-0.0%	16.4M	-597.8M	-8.0M	0.34	5.40	16,490	5,634	540,300	504,198
2010-06-02	$50.67	$48.00	34.8%	10.0%	40.2%	61.6%	36.8%	5.9%	1.3%	21.6M	-746.9M	-7.9M	0.81	4.43	14,813	11,960	543,231	505,107
2010-06-03	$49.83	$48.00	34.9%	10.0%	40.6%	61.7%	35.2%	4.7%	1.3%	19.0M	-608.6M	-7.7M	0.67	4.25	15,306	10,304	546,971	504,857
2010-06-04	$48.81	$49.00	38.5%	11.3%	40.9%	68.5%	39.4%	6.3%	1.2%	14.7M	-449.3M	-7.7M	0.45	6.57	20,322	9,085	549,401	506,859
2010-06-07	$50.19	$49.00	42.0%	11.8%	41.7%	75.4%	41.2%	6.3%	0.4%	22.0M	-700.4M	-7.8M	0.57	7.45	22,371	12,722	554,903	505,247
2010-06-08	$50.72	$49.00	39.5%	11.3%	41.3%	70.5%	40.5%	6.2%	1.0%	25.4M	-799.2M	-7.7M	0.88	4.78	21,091	18,647	560,492	507,613
2010-06-09	$50.20	$50.00	38.3%	11.5%	33.1%	68.2%	40.9%	6.4%	0.7%	21.7M	-680.0M	-7.6M	1.67	6.17	14,972	24,993	561,151	516,536
2010-06-10	$50.66	$50.00	36.6%	10.5%	33.4%	64.9%	38.5%	6.9%	1.9%	25.3M	-757.7M	-7.5M	0.70	4.90	20,416	14,346	560,582	515,649
2010-06-11	$50.79	$50.00	34.4%	9.9%	33.2%	60.7%	35.8%	6.0%	2.9%	28.3M	-820.9M	-7.4M	1.20	4.74	10,834	13,042	566,841	521,141
2010-06-14	$49.90	$50.00	33.3%	9.6%	33.4%	58.7%	33.6%	5.8%	2.7%	23.7M	-623.8M	-7.2M	0.95	5.21	19,029	18,031	568,155	525,786
2010-06-15	$51.17	$50.00	31.1%	8.9%	33.8%	54.4%	31.8%	4.1%	3.5%	31.5M	-883.7M	-7.1M	0.55	5.69	46,080	25,202	571,377	527,098
2010-06-16	$51.66	$50.00	30.2%	8.7%	33.9%	52.7%	32.5%	5.3%	3.1%	35.9M	-997.1M	-7.1M	0.86	3.86	36,449	31,381	570,808	536,819
2010-06-17	$52.96	$49.00	31.7%	9.1%	31.4%	55.5%	32.0%	3.4%	2.7%	43.9M	-1.28B	-7.2M	0.46	4.92	59,470	27,415	579,003	548,989
2010-06-18	$54.06	$50.00	31.1%	8.9%	24.8%	54.4%	31.6%	2.7%	3.4%	100.0M	-1.53B	-7.3M	0.65	4.35	67,692	44,298	587,647	561,444
2010-06-21	$52.52	$51.00	31.2%	8.9%	27.9%	54.6%	31.5%	3.4%	2.2%	14.2M	-643.5M	-7.4M	0.51	5.03	31,724	16,284	408,972	371,309
2010-06-22	$52.14	$51.00	32.4%	9.3%	28.2%	56.9%	32.9%	3.3%	2.4%	13.9M	-621.2M	-7.5M	0.74	4.43	22,022	16,247	415,743	376,965
2010-06-23	$52.45	$51.00	32.3%	9.3%	26.9%	56.7%	33.3%	3.8%	2.2%	15.1M	-652.5M	-7.5M	1.24	4.10	14,320	17,822	422,477	379,109
2010-06-24	$52.18	$51.00	32.7%	9.4%	27.1%	57.4%	34.2%	5.3%	3.1%	13.7M	-611.6M	-7.6M	0.94	3.77	21,289	19,962	422,199	383,356
2010-06-25	$53.88	$50.00	31.8%	9.1%	28.0%	55.8%	32.8%	4.3%	3.4%	19.6M	-876.4M	-7.7M	0.74	4.97	18,983	13,978	431,853	389,051
2010-06-28	$53.40	$51.00	32.3%	9.3%	28.2%	56.8%	32.3%	3.8%	3.3%	18.5M	-795.2M	-7.5M	0.69	4.01	38,207	26,462	431,508	396,918
2010-06-29	$51.98	$51.00	35.7%	10.2%	30.1%	63.2%	35.9%	5.3%	2.7%	14.0M	-593.3M	-7.7M	0.76	4.76	28,223	21,336	439,184	400,982
2010-06-30	$51.96	$51.00	33.7%	9.7%	29.6%	59.3%	34.1%	4.2%	3.9%	14.2M	-596.2M	-7.7M	0.48	4.33	14,558	6,941	446,073	406,062