GDX Options History — February 2011

In February 2011, GDX traded between $55.03 and $59.83. ATM implied volatility averaged 28.9%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 1.2% (HV 20d: 27.7%). Max pain ranged from $55.00 to $58.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.78.

Notable Days

2011-02-17: Highest Volume — 127,455 contracts
2011-02-25: Largest IV drop — 11.2% change
2011-02-01: Highest IV Rank — 50.7%
2011-02-01: Largest Expected Move — 8.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$57.28	$55.03	$59.83	$55.44	$59.83
Max Pain	$56.32	$55.00	$58.00	$55.00	$58.00
ATM IV	28.9%	25.7%	35.2%	35.2%	28.3%
Expected Move	8.2%	7.7%	8.7%	8.7%	7.7%
HV 20d	27.7%	25.2%	30.4%	30.2%	25.4%
HV 60d	25.3%	24.3%	26.8%	26.8%	25.8%
IV Rank	28.1%	16.5%	50.7%	50.7%	26.0%
IV Percentile	23.6%	4.8%	75.0%	75.0%	17.9%
Term Structure	0.8%	-0.5%	1.3%	-0.5%	-0.1%
VWIV	29.1%	27.5%	31.0%	31.0%	27.7%
Skew 25d	2.2%	1.2%	3.1%	1.9%	2.2%
Skew 10d	4.7%	2.7%	6.7%	3.6%	4.6%
Call IV 25d	28.2%	26.4%	30.0%	30.0%	26.4%
Put IV 25d	30.4%	28.6%	32.1%	31.9%	28.6%
Bid-Ask Spread %	6.41	5.08	9.61	5.54	7.48
Gamma HHI	0.10	0.07	0.27	0.07	0.09
Net GEX	33.0M	10.2M	88.3M	10.3M	35.2M
Net DEX	-477.0M	-1.03B	-58.4M	-127.1M	-790.1M
Net VEX	-8.3M	-8.7M	-8.0M	-8.2M	-8.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.29	1.46	0.56	1.29
Total Volume	51,378.053	22,988	127,455	43,775	48,717
Total OI	1,076,859.526	1,014,928	1,198,072	1,014,928	1,048,970

Daily Data (19 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
2011-02-01	$55.44	$55.00	35.2%	8.7%	30.2%	50.7%	31.0%	1.9%	-0.5%	10.3M	-127.1M	-8.2M	0.56	5.54	28,109	15,666	477,671	537,257
2011-02-02	$55.03	$55.00	32.0%	8.4%	28.8%	39.3%	29.7%	2.3%	0.4%	10.2M	-58.4M	-8.1M	0.54	6.55	21,724	11,632	491,995	535,362
2011-02-03	$56.52	$55.00	30.3%	8.4%	30.4%	33.2%	30.3%	3.1%	0.9%	26.0M	-398.9M	-8.5M	0.29	5.08	44,816	13,061	502,822	539,223
2011-02-04	$56.11	$56.00	29.1%	8.4%	29.2%	28.7%	30.2%	2.9%	0.9%	30.4M	-303.6M	-8.4M	0.76	5.76	21,553	16,375	508,295	543,014
2011-02-07	$56.12	$56.00	31.3%	8.3%	29.2%	36.6%	29.6%	2.7%	0.8%	20.8M	-279.7M	-8.1M	0.78	5.43	23,153	17,968	502,761	541,052
2011-02-08	$57.35	$56.00	28.2%	8.1%	30.2%	25.6%	28.1%	2.5%	1.0%	33.0M	-535.8M	-8.2M	0.48	6.14	54,908	26,184	510,360	553,313
2011-02-09	$56.46	$56.00	27.3%	8.3%	29.8%	22.3%	28.7%	2.9%	0.4%	25.3M	-335.1M	-8.3M	0.47	6.87	45,906	21,732	523,907	561,497
2011-02-10	$55.93	$56.00	28.7%	8.2%	29.9%	27.4%	29.3%	2.9%	0.8%	28.1M	-225.6M	-8.2M	1.05	6.34	13,057	13,771	545,432	571,293
2011-02-11	$55.73	$56.00	27.8%	8.0%	27.7%	24.0%	28.3%	2.8%	1.0%	17.9M	-132.6M	-8.1M	1.06	6.52	16,415	17,436	548,873	578,761
2011-02-14	$56.46	$56.00	27.9%	8.0%	26.9%	24.6%	28.7%	3.0%	0.7%	27.6M	-286.4M	-8.0M	1.46	5.66	9,343	13,645	534,343	578,667
2011-02-15	$57.51	$56.00	27.4%	7.8%	27.0%	22.5%	28.0%	2.4%	1.2%	48.3M	-591.8M	-8.0M	0.60	7.03	26,724	16,118	535,768	582,887
2011-02-16	$57.74	$56.00	27.3%	7.8%	26.9%	22.2%	28.2%	2.1%	1.2%	50.8M	-670.2M	-8.1M	0.78	7.58	24,736	19,189	536,914	590,517
2011-02-17	$58.45	$56.00	27.1%	7.8%	26.3%	21.6%	27.5%	1.5%	0.9%	59.9M	-838.7M	-8.0M	0.53	6.23	83,088	44,367	543,760	601,117
2011-02-18	$58.98	$57.00	28.1%	8.1%	25.7%	25.4%	29.0%	1.5%	0.8%	88.3M	-1.03B	-8.6M	0.73	5.64	53,828	39,202	566,794	631,278
2011-02-22	$58.43	$57.00	29.3%	8.4%	25.7%	29.4%	30.0%	1.5%	1.0%	26.3M	-589.9M	-8.7M	0.64	6.82	24,714	15,805	491,894	528,682
2011-02-23	$59.61	$57.00	29.4%	8.4%	25.9%	29.9%	30.1%	1.4%	0.6%	35.3M	-805.2M	-8.7M	0.38	9.61	41,323	15,870	498,513	529,585
2011-02-24	$57.74	$58.00	28.9%	8.3%	26.5%	28.2%	29.6%	1.2%	1.3%	20.0M	-421.3M	-8.7M	1.05	5.46	21,543	22,626	505,436	538,439
2011-02-25	$58.95	$58.00	25.7%	7.9%	25.2%	16.5%	28.0%	1.5%	1.2%	32.9M	-639.2M	-8.6M	1.45	6.02	13,021	18,858	499,401	544,478
2011-02-28	$59.83	$58.00	28.3%	7.7%	25.4%	26.0%	27.7%	2.2%	-0.1%	35.2M	-790.1M	-8.4M	1.29	7.48	21,227	27,490	495,946	553,024