GDX Options History — January 2011

In January 2011, GDX traded between $53.12 and $60.77. ATM implied volatility averaged 31.1%, placing in the 36.2% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 7.5% (HV 20d: 23.7%). Max pain ranged from $55.00 to $59.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.92.

Notable Days

  • 2011-01-21: Highest Volume — 139,145 contracts
  • 2011-01-13: Largest IV spike — 25.9% change
  • 2011-01-31: Highest IV Rank — 57.9%
  • 2011-01-21: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.93$53.12$60.77$60.77$53.92
Max Pain$56.75$55.00$59.00$56.00$55.00
ATM IV31.1%24.3%37.2%29.7%37.2%
Expected Move8.6%7.6%9.3%7.6%8.9%
HV 20d23.7%19.6%28.3%19.6%27.7%
HV 60d27.8%26.6%28.7%27.5%27.9%
IV Rank36.2%11.4%57.9%30.8%57.9%
IV Percentile40.9%0.8%82.5%22.6%82.5%
Term Structure1.0%-0.6%3.9%3.9%0.1%
VWIV31.0%27.8%33.9%27.8%32.3%
Skew 25d3.6%1.6%6.7%2.3%2.3%
Skew 10d7.9%3.3%14.5%5.5%4.5%
Call IV 25d29.1%26.2%31.0%26.2%30.9%
Put IV 25d32.7%28.5%36.8%28.5%33.1%
Bid-Ask Spread %6.534.988.168.045.29
Gamma HHI0.100.050.540.100.05
Net GEX-8.2M-93.4M23.4M23.4M-5.9M
Net DEX106.1M-793.0M750.1M-793.0M194.7M
Net VEX-7.6M-8.0M-7.2M-7.4M-7.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.241.861.530.24
Total Volume78,037.731,402139,14566,47087,076
Total OI1,121,020.65870,5901,312,1901,074,300957,548

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-01-03$60.77$56.0029.7%7.6%19.6%30.8%27.8%2.3%3.9%23.4M-793.0M-7.4M1.538.0426,23040,240440,460633,840
2011-01-04$59.02$57.0031.1%7.9%20.6%36.0%28.2%2.9%2.7%9.2M-386.5M-7.6M1.337.6548,10164,151451,220646,561
2011-01-05$58.22$57.0033.9%7.9%19.8%46.2%28.2%1.6%3.0%6.5M-258.5M-7.6M1.866.2031,51958,757465,795666,237
2011-01-06$56.74$56.0031.9%8.6%20.6%39.0%30.5%2.6%1.9%-7.5M85.3M-8.0M0.788.1640,89531,785474,518704,342
2011-01-07$56.74$59.0029.5%8.8%20.5%30.1%31.0%2.9%0.2%-5.9M78.0M-8.0M0.667.2027,86718,485490,191714,413
2011-01-10$56.89$59.0033.2%8.8%20.4%43.6%33.0%3.3%0.3%-3.2M5.9M-7.8M0.447.8735,56015,814484,045702,840
2011-01-11$58.04$59.0029.0%8.2%21.7%28.4%29.6%3.0%1.0%7.5M-274.2M-7.7M0.537.6636,24819,257485,420710,405
2011-01-12$57.90$58.0024.3%8.0%21.7%11.4%29.1%3.2%1.1%10.2M-282.7M-7.6M0.925.6116,34215,060496,529715,136
2011-01-13$56.05$58.0030.6%8.8%23.4%34.2%32.3%3.2%0.4%-10.4M201.2M-7.7M1.437.8125,18635,915499,564719,635
2011-01-14$54.88$58.0030.6%8.8%24.0%34.2%31.7%3.9%0.6%-22.4M498.5M-7.4M1.215.6759,25971,847507,506733,242
2011-01-18$55.81$56.0029.2%8.4%25.0%29.1%31.1%3.9%1.1%-13.1M227.1M-7.4M0.606.7334,45120,543513,534740,750
2011-01-19$55.47$56.0031.2%8.9%24.9%36.3%32.5%5.0%0.4%-14.4M342.2M-7.4M1.104.9815,60717,183520,336745,970
2011-01-20$54.64$56.0031.9%9.1%25.1%38.9%33.5%6.5%-0.2%-13.7M588.5M-7.2M1.066.2252,95456,142521,956754,352
2011-01-21$53.94$56.0032.6%9.3%25.2%41.5%33.9%6.7%0.6%-93.4M750.1M-7.3M1.575.8354,18084,965542,337769,853
2011-01-24$53.43$56.0030.3%8.7%25.1%33.3%29.7%5.4%1.1%-14.9M374.8M-7.4M0.386.3754,72920,994357,262513,328
2011-01-25$53.12$56.0031.3%9.0%25.1%36.8%31.2%4.3%0.5%-13.9M385.1M-7.6M0.546.4952,20928,085379,292521,673
2011-01-26$55.10$56.0029.7%8.5%27.1%30.9%30.3%3.6%0.8%1.6M23.4M-8.0M0.606.5736,44422,009401,152529,279
2011-01-27$53.73$56.0031.2%9.0%27.8%36.5%31.8%2.7%-0.6%-7.0M249.7M-7.8M0.615.0146,92328,614404,974537,182
2011-01-28$54.20$55.0034.4%9.1%28.3%47.8%31.9%3.0%0.5%4.3M113.1M-8.0M1.075.2662,27366,855422,030545,706
2011-01-31$53.92$55.0037.2%8.9%27.7%57.9%32.3%2.3%0.1%-5.9M194.7M-7.9M0.245.2970,49816,578422,780534,768