GDX Options History — November 2010

In November 2010, GDX traded between $57.23 and $61.78. ATM implied volatility averaged 34.9%, placing in the 68.9% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 0.9% (HV 20d: 34.0%). Max pain ranged from $52.00 to $56.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.85.

Notable Days

2010-11-09: Highest Volume — 208,000 contracts
2010-11-09: Largest IV spike — 30.7% change
2010-11-09: Highest IV Rank — 95.6%
2010-11-16: Largest Expected Move — 10.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$59.36	$57.23	$61.78	$57.23	$59.50
Max Pain	$53.95	$52.00	$56.00	$56.00	$55.00
ATM IV	34.9%	29.5%	46.8%	42.8%	34.9%
Expected Move	9.5%	8.5%	10.5%	9.7%	9.6%
HV 20d	34.0%	29.9%	37.8%	32.0%	32.3%
HV 60d	27.9%	25.8%	29.4%	25.8%	28.6%
IV Rank	68.9%	58.2%	95.6%	80.3%	70.0%
IV Percentile	54.4%	18.3%	99.2%	91.3%	61.9%
Term Structure	0.2%	-1.3%	2.3%	-0.1%	0.1%
VWIV	34.1%	30.8%	37.3%	34.9%	34.7%
Skew 25d	2.4%	0.6%	4.6%	3.3%	3.1%
Skew 10d	4.9%	1.1%	8.9%	6.4%	6.4%
Call IV 25d	32.8%	29.2%	36.4%	32.8%	32.1%
Put IV 25d	35.2%	31.4%	38.8%	36.0%	35.2%
Bid-Ask Spread %	7.55	4.12	10.17	5.42	7.87
Gamma HHI	0.11	0.07	0.21	0.09	0.10
Net GEX	41.9M	23.8M	74.8M	32.3M	37.9M
Net DEX	-1.65B	-2.43B	-1.10B	-1.21B	-1.50B
Net VEX	-8.4M	-9.1M	-7.7M	-9.1M	-7.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.85	0.43	1.35	0.74	0.90
Total Volume	70,580.619	27,622	208,000	38,524	59,537
Total OI	1,374,258.524	1,247,126	1,492,984	1,270,170	1,304,178

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
2010-11-01	$57.23	$56.00	42.8%	9.7%	32.0%	80.3%	34.9%	3.3%	-0.1%	32.3M	-1.21B	-9.1M	0.74	5.42	22,133	16,391	619,597	650,573
2010-11-02	$57.67	$56.00	41.6%	9.4%	30.3%	77.9%	33.4%	4.6%	-0.9%	35.8M	-1.31B	-8.8M	0.73	4.71	39,989	29,005	620,272	655,428
2010-11-03	$57.23	$56.00	38.6%	9.5%	29.9%	71.8%	33.5%	4.5%	-1.3%	32.7M	-1.21B	-8.8M	1.07	6.45	40,764	43,718	637,719	671,079
2010-11-04	$59.99	$56.00	31.8%	9.1%	32.8%	63.2%	32.3%	3.2%	-0.7%	54.3M	-1.97B	-8.3M	0.61	4.12	71,090	43,578	644,238	692,004
2010-11-05	$60.09	$52.00	29.5%	9.0%	32.6%	58.2%	33.0%	1.2%	0.9%	74.8M	-2.04B	-8.6M	0.72	9.32	50,239	36,290	670,216	711,923
2010-11-08	$61.77	$52.00	35.8%	9.4%	33.8%	71.8%	34.0%	0.6%	-0.0%	58.7M	-2.43B	-8.2M	0.75	9.50	46,148	34,469	675,866	695,589
2010-11-09	$59.67	$52.00	46.8%	10.2%	36.3%	95.6%	36.7%	1.7%	-0.9%	43.5M	-1.84B	-8.8M	0.90	7.69	109,316	98,684	675,047	710,545
2010-11-10	$61.33	$53.00	36.1%	9.9%	36.6%	72.5%	35.2%	1.5%	0.0%	49.3M	-2.23B	-8.8M	0.70	8.73	46,322	32,544	707,564	754,869
2010-11-11	$61.78	$53.00	33.7%	9.6%	36.5%	67.2%	35.6%	1.6%	0.8%	54.4M	-2.33B	-8.5M	1.20	7.84	19,853	23,818	709,756	757,406
2010-11-12	$60.07	$53.00	35.9%	10.3%	37.7%	71.9%	36.7%	2.5%	0.1%	36.3M	-1.82B	-9.1M	1.00	10.17	46,614	46,526	716,168	769,079
2010-11-15	$59.47	$53.00	35.1%	10.1%	37.8%	70.2%	35.5%	2.0%	0.6%	41.8M	-1.67B	-8.6M	1.35	7.86	18,354	24,688	709,574	755,144
2010-11-16	$57.66	$53.00	36.5%	10.5%	35.5%	73.4%	37.3%	2.4%	0.4%	23.8M	-1.10B	-8.9M	0.76	7.71	53,010	40,148	704,721	756,988
2010-11-17	$58.04	$53.00	34.6%	9.9%	35.1%	69.2%	35.0%	2.4%	0.7%	32.8M	-1.26B	-8.6M	0.85	8.43	30,337	25,850	712,561	761,995
2010-11-18	$59.03	$53.00	32.3%	9.2%	34.3%	64.1%	33.0%	2.0%	1.7%	49.1M	-1.59B	-8.4M	0.88	8.15	29,214	25,704	714,248	771,438
2010-11-19	$59.28	$53.00	29.7%	8.5%	34.2%	58.7%	30.8%	2.3%	2.3%	39.9M	-1.69B	-8.4M	0.83	7.35	45,652	37,784	711,388	781,596
2010-11-22	$60.03	$54.00	30.5%	8.7%	34.1%	60.3%	31.5%	2.2%	1.1%	40.2M	-1.61B	-7.7M	1.01	7.21	33,410	33,702	611,422	635,704
2010-11-23	$59.62	$55.00	32.0%	9.2%	34.3%	63.5%	33.1%	2.3%	0.2%	37.7M	-1.54B	-8.1M	0.57	6.96	26,310	14,882	628,224	654,604
2010-11-24	$59.67	$55.00	31.6%	9.0%	33.2%	62.6%	33.0%	3.0%	0.4%	39.3M	-1.55B	-8.0M	1.10	6.45	13,130	14,492	632,918	664,261
2010-11-26	$58.61	$55.00	29.8%	9.2%	32.6%	58.9%	32.2%	2.9%	-0.3%	31.0M	-1.29B	-8.1M	0.43	7.96	19,720	8,571	634,711	671,430
2010-11-29	$58.87	$55.00	33.4%	9.7%	32.2%	66.6%	34.9%	1.7%	-0.5%	35.0M	-1.38B	-7.8M	0.77	8.70	17,104	13,103	633,624	663,762
2010-11-30	$59.50	$55.00	34.9%	9.6%	32.3%	70.0%	34.7%	3.1%	0.1%	37.9M	-1.50B	-7.9M	0.90	7.87	31,296	28,241	635,872	668,306