GDX Options History — December 2010

In December 2010, GDX traded between $59.54 and $63.80. ATM implied volatility averaged 28.1%, placing in the 39.6% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 3.6% (HV 20d: 24.5%). Max pain ranged from $51.00 to $56.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.96.

Notable Days

2010-12-22: Highest Volume — 942,114 contracts
2010-12-13: Largest IV spike — 17.9% change
2010-12-13: Highest IV Rank — 65.0%
2010-12-01: Largest Expected Move — 9.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$61.17	$59.54	$63.80	$60.28	$61.47
Max Pain	$53.95	$51.00	$56.00	$55.00	$56.00
ATM IV	28.1%	23.6%	32.7%	31.1%	24.9%
Expected Move	8.0%	6.8%	9.3%	9.3%	7.6%
HV 20d	24.5%	20.4%	32.6%	32.5%	21.3%
HV 60d	28.8%	28.0%	29.4%	28.7%	28.0%
IV Rank	39.6%	8.9%	65.0%	61.6%	13.7%
IV Percentile	17.7%	0.4%	52.0%	34.9%	2.4%
Term Structure	2.8%	0.5%	4.5%	0.5%	3.8%
VWIV	28.2%	16.5%	31.9%	31.9%	27.8%
Skew 25d	2.1%	0.9%	3.5%	3.2%	2.6%
Skew 10d	4.3%	1.0%	9.3%	6.1%	7.2%
Call IV 25d	27.4%	23.5%	31.2%	31.2%	25.4%
Put IV 25d	29.6%	25.2%	34.4%	34.4%	28.0%
Bid-Ask Spread %	7.66	4.49	10.36	8.79	4.49
Gamma HHI	0.11	0.09	0.18	0.12	0.09
Net GEX	40.7M	13.4M	66.6M	46.2M	24.3M
Net DEX	-1.53B	-2.51B	-544.0M	-1.74B	-903.4M
Net VEX	-7.3M	-7.9M	-6.7M	-7.9M	-7.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.96	0.03	3.25	0.38	0.88
Total Volume	89,475.636	18,023	942,114	44,656	18,787
Total OI	1,246,231.773	1,002,917	1,441,990	1,332,490	1,081,218

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
2010-12-01	$60.28	$55.00	31.1%	9.3%	32.5%	61.6%	31.9%	3.2%	0.5%	46.2M	-1.74B	-7.9M	0.38	8.79	32,267	12,389	652,877	679,613
2010-12-02	$61.18	$55.00	31.5%	8.6%	32.6%	62.5%	31.2%	2.1%	1.5%	56.9M	-2.03B	-7.2M	1.05	9.29	31,702	33,234	658,619	679,553
2010-12-03	$62.71	$55.00	28.4%	8.5%	29.4%	55.9%	31.4%	3.5%	1.2%	57.8M	-2.40B	-6.9M	0.63	6.37	46,716	29,615	658,102	673,852
2010-12-06	$63.80	$51.00	30.9%	8.5%	29.9%	61.2%	30.3%	1.9%	2.9%	64.0M	-2.51B	-7.0M	0.43	5.07	39,416	16,992	653,847	674,561
2010-12-07	$62.38	$51.00	32.1%	8.8%	29.7%	63.8%	31.3%	2.6%	1.9%	62.2M	-2.18B	-7.0M	0.83	6.84	49,142	40,757	657,061	677,174
2010-12-08	$61.20	$52.00	31.1%	8.6%	27.7%	61.6%	30.7%	2.6%	1.9%	56.8M	-1.79B	-7.7M	1.08	6.29	32,413	34,970	678,234	700,141
2010-12-09	$61.43	$53.00	30.6%	8.5%	26.0%	60.6%	30.5%	2.2%	2.8%	52.8M	-1.91B	-7.3M	0.99	6.66	20,092	19,822	676,853	710,226
2010-12-10	$61.66	$53.00	27.7%	8.5%	25.9%	54.3%	30.0%	1.9%	2.3%	58.8M	-1.98B	-7.1M	0.52	10.36	42,122	21,982	681,674	720,307
2010-12-13	$62.22	$53.00	32.7%	8.2%	23.8%	65.0%	28.6%	1.4%	2.9%	66.6M	-2.20B	-6.7M	0.75	8.08	28,410	21,431	675,491	710,294
2010-12-14	$62.13	$53.00	32.0%	8.2%	23.5%	63.6%	29.0%	1.9%	3.0%	66.3M	-2.16B	-6.9M	1.07	6.70	16,561	17,673	678,221	719,852
2010-12-15	$60.99	$53.00	28.5%	8.2%	21.5%	55.9%	30.6%	1.9%	2.7%	54.7M	-1.80B	-7.1M	3.25	7.35	11,988	38,983	664,350	728,536
2010-12-16	$60.17	$53.00	29.1%	8.3%	22.2%	57.3%	29.5%	1.2%	2.1%	46.0M	-1.55B	-7.2M	1.09	7.91	30,844	33,645	680,822	743,926
2010-12-17	$60.44	$53.00	26.0%	7.5%	21.5%	17.7%	26.4%	0.9%	3.6%	20.4M	-1.70B	-6.8M	0.88	8.11	51,323	44,943	686,932	755,058
2010-12-20	$60.57	$54.00	23.6%	6.8%	21.4%	8.9%	24.8%	1.7%	3.9%	23.7M	-1.19B	-7.0M	1.36	8.69	12,574	17,144	473,457	584,725
2010-12-21	$60.55	$53.00	24.8%	7.1%	21.0%	13.1%	25.5%	1.9%	3.1%	18.8M	-945.3M	-6.8M	0.99	8.34	17,767	17,543	431,748	571,169
2010-12-22	$59.84	$54.00	24.4%	7.0%	21.3%	11.7%	16.5%	1.4%	3.1%	15.6M	-1.04B	-7.1M	0.03	9.24	911,134	30,980	479,035	602,721
2010-12-23	$59.89	$56.00	24.8%	7.1%	21.3%	13.4%	25.9%	3.0%	3.8%	13.4M	-574.1M	-7.8M	0.97	7.82	25,428	24,760	429,224	627,708
2010-12-27	$59.54	$56.00	26.2%	7.5%	20.4%	18.3%	27.2%	2.5%	3.0%	16.8M	-544.0M	-7.7M	1.17	9.54	8,755	10,231	429,603	624,598
2010-12-28	$61.09	$56.00	26.7%	7.6%	22.2%	20.0%	27.6%	1.9%	3.6%	23.6M	-836.7M	-7.8M	0.88	7.90	18,368	16,080	433,474	628,358
2010-12-29	$61.31	$56.00	25.5%	7.3%	22.0%	15.8%	26.3%	2.0%	4.5%	25.7M	-908.5M	-7.5M	0.65	7.01	10,913	7,110	436,205	633,080
2010-12-30	$60.88	$56.00	25.1%	7.5%	21.7%	14.3%	28.2%	2.2%	3.8%	23.6M	-801.9M	-7.7M	1.24	7.69	9,574	11,884	440,222	634,378
2010-12-31	$61.47	$56.00	24.9%	7.6%	21.3%	13.7%	27.8%	2.6%	3.8%	24.3M	-903.4M	-7.6M	0.88	4.49	9,982	8,805	441,874	639,344