GDX Options History — March 2011

In March 2011, GDX traded between $55.24 and $60.80. ATM implied volatility averaged 30.1%, placing in the 32.2% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 3.3% (HV 20d: 26.8%). Max pain ranged from $56.00 to $61.00. Net GEX was positive for 17 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.91.

Notable Days

  • 2011-03-18: Highest Volume — 112,306 contracts
  • 2011-03-07: Largest IV spike — 24.6% change
  • 2011-03-08: Highest IV Rank — 49.5%
  • 2011-03-16: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.67$55.24$60.80$60.80$60.10
Max Pain$58.04$56.00$61.00$58.00$58.00
ATM IV30.1%26.4%34.8%30.3%27.3%
Expected Move8.1%7.3%9.7%7.8%7.6%
HV 20d26.8%23.0%31.1%25.4%28.1%
HV 60d26.4%24.7%28.0%25.9%27.3%
IV Rank32.2%19.2%49.5%33.0%22.2%
IV Percentile40.2%7.1%80.2%37.7%14.3%
Term Structure1.2%0.5%3.2%1.3%0.9%
VWIV29.2%25.9%34.5%28.2%26.7%
Skew 25d2.6%0.9%4.1%0.9%1.4%
Skew 10d5.7%1.8%9.1%1.8%3.3%
Call IV 25d27.8%25.0%33.2%27.8%26.3%
Put IV 25d30.4%27.0%36.8%28.6%27.7%
Bid-Ask Spread %7.406.229.256.996.95
Gamma HHI0.080.060.100.090.08
Net GEX16.4M-16.1M44.1M43.2M27.9M
Net DEX-454.3M-1.01B228.5M-1.01B-706.5M
Net VEX-8.7M-9.4M-8.5M-8.7M-8.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.342.420.550.37
Total Volume54,865.39120,364112,30682,71254,867
Total OI1,058,000.739862,8851,262,3981,066,147945,175

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-03-01$60.80$58.0030.3%7.8%25.4%33.0%28.2%0.9%1.3%43.2M-1.01B-8.7M0.556.9953,26729,445506,054560,093
2011-03-02$60.79$58.0029.8%7.6%24.1%31.2%27.1%2.2%1.7%44.1M-990.6M-8.7M0.616.8920,23512,269514,282577,160
2011-03-03$59.87$58.0026.8%7.3%24.8%20.4%26.1%1.8%1.4%38.2M-782.3M-8.5M0.596.7517,83110,495518,295579,944
2011-03-04$60.40$61.0026.4%7.9%23.4%19.2%27.9%1.8%1.3%40.5M-883.1M-8.5M1.166.2224,13727,947513,282581,715
2011-03-07$59.95$61.0032.9%8.4%23.4%42.6%31.3%3.0%0.9%33.7M-725.2M-8.6M1.387.3615,12820,865507,169593,841
2011-03-08$59.41$60.0034.8%8.4%23.8%49.5%31.3%3.1%1.1%27.0M-584.6M-8.5M2.426.8114,20134,429508,636604,375
2011-03-09$58.94$60.0028.3%8.4%23.0%25.9%31.9%3.2%0.9%16.2M-440.5M-8.5M1.796.2512,81922,921511,248623,174
2011-03-10$56.83$60.0030.4%8.7%26.0%33.6%32.3%3.2%1.0%-8.7M32.1M-8.5M1.417.6031,20144,141514,917629,532
2011-03-11$57.82$59.0029.8%8.5%26.4%31.2%31.5%3.6%1.4%4.7M-191.0M-8.5M0.906.7929,48226,593518,740639,019
2011-03-14$57.81$58.0030.5%8.7%26.4%33.8%30.8%3.3%1.2%-2.4M-48.8M-9.4M0.686.9524,04916,361520,190687,551
2011-03-15$56.48$58.0032.1%9.2%27.4%39.8%32.8%2.6%1.1%-16.1M78.9M-8.5M0.717.5662,41344,202531,033645,992
2011-03-16$55.24$58.0033.9%9.7%27.6%46.2%34.5%3.5%0.7%-16.1M228.5M-8.7M0.809.2545,19836,290567,032649,240
2011-03-17$55.72$56.0032.5%9.3%27.8%41.0%33.6%4.1%1.6%-5.3M38.1M-8.8M0.777.8231,47224,373591,203663,025
2011-03-18$56.66$56.0028.6%8.2%28.1%26.9%30.1%3.5%3.2%-1.8M-167.1M-8.7M1.186.5551,40760,899587,667674,731
2011-03-21$58.02$56.0026.4%7.6%29.3%19.2%26.7%2.6%2.4%17.0M-400.9M-8.6M0.368.2033,03311,880369,961492,924
2011-03-22$58.17$56.0026.7%7.6%29.2%20.0%26.8%3.1%1.7%17.5M-423.0M-8.7M0.347.4318,6036,305378,251501,958
2011-03-23$60.28$56.0026.5%7.6%31.1%19.2%26.9%3.1%1.1%22.5M-723.3M-8.7M0.468.0858,57127,224377,578505,724
2011-03-24$59.99$57.0027.2%7.8%28.7%22.0%27.3%2.0%1.1%26.5M-710.3M-8.9M0.827.6960,69750,030397,615520,060
2011-03-25$59.52$57.0029.6%7.6%28.0%30.7%26.9%2.3%0.5%18.2M-593.8M-8.8M1.107.3216,17517,786399,632529,289
2011-03-28$58.48$58.0034.2%7.7%28.2%47.2%27.2%1.9%0.5%13.3M-411.7M-8.6M1.008.4310,49410,458398,532527,327
2011-03-29$58.54$58.0034.1%7.8%27.5%46.7%27.6%1.4%0.7%13.4M-409.4M-8.8M0.808.3511,3159,049401,587529,867
2011-03-30$59.64$58.0032.2%7.3%28.4%39.9%25.9%2.0%1.1%23.9M-623.0M-8.6M0.698.0312,6688,679405,578533,819
2011-03-31$60.10$58.0027.3%7.6%28.1%22.2%26.7%1.4%0.9%27.9M-706.5M-8.7M0.376.9540,00214,865409,626535,549