GDX Options History — April 2011

In April 2011, GDX traded between $59.75 and $63.95. ATM implied volatility averaged 28.9%, placing in the 28.0% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 0.2% (HV 20d: 29.1%). Max pain ranged from $58.00 to $61.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.83.

Notable Days

  • 2011-04-12: Highest Volume — 111,074 contracts
  • 2011-04-11: Largest IV spike — 16.8% change
  • 2011-04-12: Highest IV Rank — 40.8%
  • 2011-04-18: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.62$59.75$63.95$59.77$62.20
Max Pain$60.05$58.00$61.00$58.00$60.00
ATM IV28.9%25.3%32.4%25.3%28.9%
Expected Move8.3%7.3%9.0%7.3%8.4%
HV 20d29.1%26.5%32.5%27.9%28.5%
HV 60d27.6%26.6%28.4%27.1%26.8%
IV Rank28.0%15.0%40.8%15.0%28.3%
IV Percentile31.4%4.0%71.8%4.0%29.0%
Term Structure0.8%0.1%1.7%1.7%1.1%
VWIV29.7%25.8%32.3%25.8%30.1%
Skew 25d2.3%1.1%2.9%1.5%1.9%
Skew 10d4.7%2.1%6.2%3.0%4.0%
Call IV 25d28.4%25.1%31.2%25.1%29.2%
Put IV 25d30.7%26.7%33.3%26.7%31.1%
Bid-Ask Spread %8.004.1612.0312.038.23
Gamma HHI0.090.070.170.080.07
Net GEX26.5M668.7K66.0M27.1M15.4M
Net DEX-851.0M-1.43B-446.6M-633.4M-904.8M
Net VEX-8.6M-9.4M-8.2M-8.6M-9.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.334.090.820.56
Total Volume57,946.712,987111,07420,79963,817
Total OI982,405.35884,7981,068,827960,4701,037,322

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-04-01$59.77$58.0025.3%7.3%27.9%15.0%25.8%1.5%1.7%27.1M-633.4M-8.6M0.8212.0311,4539,346419,364541,106
2011-04-04$59.75$59.0029.0%7.8%27.8%28.3%28.1%2.2%1.2%29.7M-650.4M-8.6M0.628.418,0224,965425,274535,966
2011-04-05$62.71$58.0031.2%7.9%32.5%36.4%28.6%2.7%0.7%44.7M-1.19B-8.3M0.688.8940,24927,267428,362537,725
2011-04-06$62.77$59.0026.6%8.0%32.2%19.7%28.0%2.4%0.9%50.4M-1.23B-8.3M0.338.4346,31115,270438,737544,880
2011-04-07$62.51$59.0026.3%8.2%28.8%18.8%29.1%2.8%0.6%46.2M-1.16B-8.4M1.007.4510,45310,413437,781550,542
2011-04-08$63.95$60.0025.6%8.2%29.2%16.0%29.5%2.8%0.7%66.0M-1.43B-8.2M0.378.7441,82115,414442,192550,853
2011-04-11$62.10$60.0029.8%8.8%31.6%31.5%31.1%2.9%0.3%36.7M-1.03B-8.4M0.538.8954,17028,454427,647552,369
2011-04-12$61.11$61.0032.4%8.9%30.9%40.8%31.7%2.7%0.1%40.7M-882.2M-8.5M0.666.9166,74744,327471,589565,579
2011-04-13$60.86$61.0028.7%8.6%29.5%27.2%31.8%2.1%0.8%36.6M-808.4M-8.4M0.887.8014,39612,737456,969569,894
2011-04-14$61.64$60.0029.0%8.3%29.6%28.6%30.8%2.7%0.9%39.2M-931.2M-8.5M0.897.7218,83416,755465,440593,241
2011-04-15$61.44$60.0029.5%8.4%29.4%30.1%29.8%2.3%0.6%26.2M-908.4M-8.4M0.608.2833,42020,190467,253601,574
2011-04-18$60.83$60.0031.5%9.0%28.9%37.5%32.3%2.5%0.7%5.9M-534.2M-8.5M0.967.1049,83447,767371,171513,627
2011-04-19$61.64$61.0029.1%8.3%29.1%28.7%29.7%2.7%1.1%8.0M-674.8M-8.8M0.526.2318,7809,736396,926545,540
2011-04-20$62.10$61.0028.0%8.0%26.5%24.8%28.8%2.4%1.3%12.7M-764.0M-8.7M0.658.2634,12922,144399,773549,978
2011-04-21$62.63$61.0027.4%7.9%26.5%22.6%27.9%2.4%1.7%13.1M-835.9M-8.9M4.095.2821,32687,134406,205558,054
2011-04-25$61.24$61.0031.3%9.0%27.7%36.7%31.7%1.5%0.2%4.7M-595.1M-8.8M0.678.4627,73118,465406,013525,185
2011-04-26$60.22$61.0029.7%8.5%27.7%30.9%29.8%1.1%0.8%668.7K-446.6M-8.9M0.629.8138,48823,816417,689525,391
2011-04-27$61.61$61.0029.0%8.3%28.7%28.4%29.4%1.5%0.5%12.2M-709.4M-9.2M0.364.1649,60317,776440,774534,200
2011-04-28$61.28$60.0029.1%8.4%28.1%29.0%30.1%2.5%0.6%13.2M-697.7M-9.2M0.908.9340,82836,546456,014539,908
2011-04-29$62.20$60.0028.9%8.4%28.5%28.3%30.1%1.9%1.1%15.4M-904.8M-9.4M0.568.2340,77923,038474,065563,257