GDX Options History — July 2010

In July 2010, GDX traded between $47.09 and $50.48. ATM implied volatility averaged 31.4%, placing in the 56.0% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 0.1% (HV 20d: 31.4%). Max pain ranged from $49.00 to $52.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.92.

Notable Days

2010-07-27: Highest Volume — 99,259 contracts
2010-07-07: Largest IV drop — 25.0% change
2010-07-06: Highest IV Rank — 72.9%
2010-07-01: Largest Expected Move — 10.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$49.02	$47.09	$50.48	$49.62	$48.22
Max Pain	$49.76	$49.00	$52.00	$51.00	$49.00
ATM IV	31.4%	25.7%	40.8%	37.5%	25.7%
Expected Move	9.1%	7.8%	10.7%	10.7%	7.8%
HV 20d	31.4%	26.9%	33.6%	33.6%	26.9%
HV 60d	32.6%	31.7%	33.6%	31.7%	33.6%
IV Rank	56.0%	45.5%	72.9%	66.6%	45.5%
IV Percentile	18.0%	2.8%	68.7%	49.2%	2.8%
Term Structure	2.2%	0.9%	4.6%	1.6%	2.1%
VWIV	32.1%	28.1%	37.8%	37.8%	28.1%
Skew 25d	4.2%	1.4%	5.7%	5.4%	1.7%
Skew 10d	8.6%	3.4%	14.2%	12.9%	3.6%
Call IV 25d	30.5%	26.8%	36.2%	36.2%	27.2%
Put IV 25d	34.7%	28.9%	41.6%	41.6%	28.9%
Bid-Ask Spread %	4.71	3.46	6.90	5.42	6.39
Gamma HHI	0.06	0.05	0.08	0.06	0.07
Net GEX	4.4M	-5.7M	11.1M	6.3M	4.7M
Net DEX	-200.1M	-409.6M	57.7M	-266.2M	-135.0M
Net VEX	-7.1M	-7.7M	-6.5M	-7.7M	-6.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.92	0.44	1.72	0.86	1.13
Total Volume	46,728.905	20,731	99,259	83,506	48,557
Total OI	928,979.381	863,824	994,399	864,678	985,951

Daily Data (21 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
2010-07-01	$49.62	$51.00	37.5%	10.7%	33.6%	66.6%	37.8%	5.4%	1.6%	6.3M	-266.2M	-7.7M	0.86	5.42	44,951	38,555	455,744	408,934
2010-07-02	$49.58	$51.00	35.5%	9.7%	32.7%	62.8%	35.1%	4.9%	4.6%	5.6M	-267.3M	-7.7M	1.20	4.13	12,393	14,906	464,802	421,435
2010-07-06	$48.91	$52.00	40.8%	10.3%	31.4%	72.9%	35.9%	4.9%	1.4%	3.3M	-159.5M	-7.3M	0.71	4.98	28,722	20,279	465,874	423,446
2010-07-07	$49.99	$50.00	30.6%	9.1%	32.2%	53.4%	32.9%	5.7%	2.9%	6.8M	-305.2M	-7.3M	1.15	4.83	15,848	18,286	468,467	428,006
2010-07-08	$49.38	$50.00	31.2%	9.4%	32.3%	54.7%	33.0%	5.2%	2.4%	3.8M	-210.3M	-7.2M	1.25	4.14	14,953	18,713	474,645	435,254
2010-07-09	$50.48	$50.00	29.0%	9.2%	33.2%	50.5%	32.7%	4.6%	2.4%	8.7M	-409.6M	-7.4M	1.05	4.01	31,325	32,759	479,649	439,247
2010-07-12	$50.15	$50.00	32.5%	9.5%	33.2%	57.1%	32.6%	5.2%	2.0%	5.3M	-330.2M	-7.3M	0.92	4.01	10,818	9,913	487,607	458,314
2010-07-13	$50.39	$50.00	31.9%	9.5%	32.6%	56.0%	32.4%	4.4%	2.0%	6.1M	-368.1M	-7.2M	0.64	4.25	37,622	24,004	481,631	453,185
2010-07-14	$50.26	$50.00	31.3%	9.4%	31.3%	54.9%	33.0%	3.6%	2.2%	6.7M	-384.2M	-7.4M	0.45	5.27	29,594	13,437	501,615	466,819
2010-07-15	$50.17	$50.00	30.8%	8.8%	31.1%	55.4%	31.0%	4.2%	2.7%	4.8M	-350.1M	-7.3M	0.84	3.80	28,074	23,713	508,332	470,653
2010-07-16	$48.54	$50.00	31.9%	9.1%	31.4%	57.6%	32.6%	4.1%	2.1%	-5.7M	-75.5M	-7.2M	0.97	3.46	36,169	34,938	517,529	476,870
2010-07-19	$47.53	$50.00	32.2%	9.2%	30.4%	58.3%	32.6%	4.2%	2.9%	-492.0K	-13.2M	-6.7M	0.98	4.90	28,661	28,034	432,986	430,838
2010-07-20	$48.55	$49.00	30.1%	8.6%	30.7%	54.2%	30.9%	4.8%	2.4%	3.0M	-135.9M	-6.9M	0.88	4.47	18,515	16,382	446,046	446,370
2010-07-21	$48.18	$49.00	31.7%	9.1%	30.7%	57.4%	31.9%	4.8%	2.0%	1.4M	-88.5M	-6.9M	0.44	4.68	29,635	13,020	453,134	450,883
2010-07-22	$49.16	$49.00	29.7%	8.5%	31.7%	53.3%	30.3%	5.0%	1.8%	9.1M	-267.2M	-7.0M	0.70	4.44	13,441	9,412	472,341	453,769
2010-07-23	$49.21	$49.00	28.6%	8.2%	31.8%	51.2%	30.1%	5.1%	2.0%	11.1M	-275.3M	-6.9M	1.72	4.29	13,045	22,441	473,522	454,480
2010-07-26	$48.89	$49.00	27.9%	8.0%	29.0%	49.8%	28.1%	3.6%	2.2%	8.6M	-202.2M	-6.8M	0.66	4.52	16,639	10,921	470,550	448,312
2010-07-27	$47.09	$49.00	30.4%	8.7%	31.2%	54.7%	31.1%	3.5%	1.6%	439.6K	57.7M	-6.5M	0.70	6.36	58,456	40,803	478,637	452,487
2010-07-28	$47.39	$49.00	31.8%	9.1%	30.5%	57.4%	31.8%	2.1%	1.0%	2.3M	5.5M	-7.0M	0.94	3.56	20,608	19,303	513,893	476,782
2010-07-29	$47.68	$49.00	28.8%	8.3%	30.7%	51.6%	29.4%	1.4%	0.9%	900.5K	-21.0M	-6.8M	1.10	6.90	15,967	17,495	506,372	473,156
2010-07-30	$48.22	$49.00	25.7%	7.8%	26.9%	45.5%	28.1%	1.7%	2.1%	4.7M	-135.0M	-6.8M	1.13	6.39	22,761	25,796	509,551	476,400