GDX Options History — October 2010

In October 2010, GDX traded between $54.28 and $58.59. ATM implied volatility averaged 30.9%, placing in the 56.3% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 4.1% (HV 20d: 26.8%). Max pain ranged from $55.00 to $57.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.00.

Notable Days

2010-10-15: Highest Volume — 158,677 contracts
2010-10-05: Largest IV spike — 26.5% change
2010-10-29: Highest IV Rank — 69.6%
2010-10-07: Largest Expected Move — 9.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$56.49	$54.28	$58.59	$56.60	$57.30
Max Pain	$56.29	$55.00	$57.00	$55.00	$56.00
ATM IV	30.9%	24.5%	37.5%	24.5%	37.5%
Expected Move	9.0%	7.7%	9.9%	7.7%	9.5%
HV 20d	26.8%	20.4%	32.8%	20.4%	32.8%
HV 60d	24.5%	23.5%	25.8%	23.5%	25.8%
IV Rank	56.3%	43.0%	69.6%	43.0%	69.6%
IV Percentile	31.1%	2.4%	71.0%	2.4%	71.0%
Term Structure	0.5%	-0.6%	2.4%	2.4%	-0.4%
VWIV	32.1%	28.1%	35.1%	28.1%	33.0%
Skew 25d	3.1%	2.2%	3.7%	3.3%	3.2%
Skew 10d	6.8%	4.9%	9.5%	6.9%	6.2%
Call IV 25d	30.6%	26.0%	33.8%	26.0%	32.0%
Put IV 25d	33.7%	29.3%	37.5%	29.3%	35.2%
Bid-Ask Spread %	4.61	2.64	6.30	4.91	4.91
Gamma HHI	0.11	0.08	0.17	0.12	0.10
Net GEX	23.7M	7.9M	39.3M	24.7M	33.2M
Net DEX	-1.08B	-1.66B	-482.3M	-1.19B	-1.28B
Net VEX	-8.5M	-9.1M	-7.9M	-7.9M	-9.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	0.42	1.91	1.25	0.49
Total Volume	88,912.952	34,649	158,677	100,310	102,014
Total OI	1,176,274.429	1,046,426	1,274,033	1,046,426	1,274,033

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
2010-10-01	$56.60	$55.00	24.5%	7.7%	20.4%	43.0%	28.1%	3.3%	2.4%	24.7M	-1.19B	-7.9M	1.25	4.91	44,660	55,650	540,368	506,058
2010-10-04	$55.55	$56.00	27.1%	8.6%	21.8%	48.1%	31.6%	3.4%	0.3%	10.8M	-885.8M	-8.0M	0.93	4.57	31,063	28,761	548,347	526,144
2010-10-05	$57.26	$56.00	34.2%	9.2%	24.0%	62.3%	32.4%	2.6%	-0.4%	27.2M	-1.37B	-7.9M	0.86	4.44	76,144	65,686	557,937	533,260
2010-10-06	$58.12	$56.00	30.2%	9.3%	24.2%	54.3%	33.0%	3.5%	-0.5%	39.3M	-1.61B	-8.1M	1.11	4.96	45,592	50,612	591,381	551,557
2010-10-07	$56.58	$57.00	33.5%	9.9%	25.3%	60.7%	35.1%	3.7%	-0.6%	15.6M	-1.07B	-8.3M	1.12	2.64	69,832	78,214	589,656	576,280
2010-10-08	$57.30	$57.00	28.3%	9.1%	25.4%	50.5%	32.8%	3.1%	0.6%	30.8M	-1.37B	-8.2M	0.78	2.76	40,957	32,143	609,512	588,631
2010-10-11	$57.41	$57.00	32.3%	9.5%	25.4%	58.4%	33.5%	3.4%	0.1%	23.6M	-1.34B	-8.3M	1.23	4.30	29,075	35,859	594,440	580,746
2010-10-12	$57.17	$57.00	30.3%	9.2%	22.7%	54.4%	32.3%	3.1%	0.4%	21.5M	-1.28B	-8.2M	1.91	3.66	29,015	55,306	601,182	591,221
2010-10-13	$58.59	$57.00	29.0%	8.9%	23.9%	52.7%	32.9%	2.7%	0.8%	34.7M	-1.66B	-8.2M	0.92	3.88	39,087	35,843	607,436	614,373
2010-10-14	$58.19	$57.00	32.4%	9.3%	23.9%	59.5%	33.3%	3.4%	0.8%	39.1M	-1.58B	-8.4M	1.37	4.16	27,889	38,304	617,227	629,839
2010-10-15	$57.41	$57.00	31.4%	9.0%	24.1%	57.5%	32.4%	3.6%	1.5%	33.5M	-1.33B	-8.5M	1.56	5.09	62,012	96,665	619,957	648,060
2010-10-18	$57.14	$56.00	30.4%	8.7%	24.0%	55.4%	30.8%	2.2%	0.8%	22.1M	-1.07B	-8.6M	0.79	4.71	30,627	24,321	535,567	548,308
2010-10-19	$54.53	$56.00	33.0%	9.4%	29.4%	60.5%	33.4%	2.5%	0.0%	10.4M	-540.4M	-8.7M	0.97	4.65	68,400	66,665	547,765	554,646
2010-10-20	$55.46	$56.00	31.1%	8.9%	29.8%	56.9%	31.3%	3.1%	1.3%	15.1M	-751.8M	-9.1M	0.75	4.17	42,761	31,977	580,403	596,821
2010-10-21	$54.28	$56.00	31.0%	8.9%	30.5%	56.6%	31.0%	3.4%	1.4%	7.9M	-482.3M	-8.9M	0.96	6.30	42,552	40,826	578,264	604,183
2010-10-22	$54.89	$56.00	29.8%	8.5%	30.8%	54.3%	30.1%	3.3%	1.5%	10.7M	-604.0M	-8.9M	0.71	5.38	27,429	19,538	586,205	606,539
2010-10-25	$55.74	$56.00	30.5%	8.8%	31.2%	55.7%	30.5%	3.4%	0.8%	23.1M	-838.8M	-8.8M	0.42	5.58	55,930	23,470	578,604	598,768
2010-10-26	$55.79	$56.00	30.9%	8.8%	30.0%	56.3%	31.9%	2.8%	0.4%	24.8M	-851.7M	-8.9M	1.26	4.67	15,336	19,313	592,312	610,579
2010-10-27	$54.68	$56.00	31.5%	9.0%	30.8%	57.6%	31.6%	2.7%	-0.4%	19.3M	-617.8M	-8.9M	0.65	5.89	64,912	42,112	610,898	617,576
2010-10-28	$56.36	$56.00	31.2%	9.0%	32.6%	57.1%	32.6%	2.8%	0.4%	31.1M	-1.03B	-9.1M	0.94	5.15	41,575	39,045	614,400	642,280
2010-10-29	$57.30	$56.00	37.5%	9.5%	32.8%	69.6%	33.0%	3.2%	-0.4%	33.2M	-1.28B	-9.1M	0.49	4.91	68,618	33,396	625,076	648,957