GDX Options History — May 2011

In May 2011, GDX traded between $54.21 and $60.12. ATM implied volatility averaged 33.6%, placing in the 45.7% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 4.1% (HV 20d: 29.5%). Max pain ranged from $56.00 to $60.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.64.

Notable Days

2011-05-05: Highest Volume — 174,727 contracts
2011-05-31: Largest IV spike — 20.4% change
2011-05-05: Highest IV Rank — 82.7%
2011-05-05: Largest Expected Move — 11.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$56.43	$54.21	$60.12	$60.12	$58.15
Max Pain	$57.57	$56.00	$60.00	$60.00	$56.00
ATM IV	33.6%	24.3%	44.0%	37.7%	29.2%
Expected Move	9.1%	7.3%	11.5%	9.6%	7.4%
HV 20d	29.5%	26.2%	33.2%	31.1%	26.2%
HV 60d	28.6%	27.3%	29.7%	27.3%	28.0%
IV Rank	45.7%	12.3%	82.7%	59.9%	31.6%
IV Percentile	64.9%	0.8%	98.4%	91.3%	36.1%
Term Structure	0.2%	-2.5%	1.9%	-0.1%	1.2%
VWIV	32.0%	25.9%	40.5%	33.6%	26.4%
Skew 25d	1.4%	-0.0%	3.3%	3.3%	1.5%
Skew 10d	2.8%	-0.0%	6.3%	6.3%	3.4%
Call IV 25d	31.6%	25.4%	40.7%	32.2%	25.9%
Put IV 25d	33.0%	27.1%	40.7%	35.5%	27.4%
Bid-Ask Spread %	9.25	7.36	12.05	8.62	11.75
Gamma HHI	0.07	0.06	0.20	0.07	0.09
Net GEX	2.3M	-20.5M	61.7M	4.3M	35.4M
Net DEX	-11.1M	-740.5M	603.6M	-507.2M	-740.5M
Net VEX	-9.4M	-9.8M	-9.1M	-9.6M	-9.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.64	0.28	1.64	0.71	0.28
Total Volume	79,145.81	41,589	174,727	64,966	41,589
Total OI	1,195,967.19	1,036,835	1,327,029	1,036,835	1,202,812

Daily Data (21 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
2011-05-02	$60.12	$60.00	37.7%	9.6%	31.1%	59.9%	33.6%	3.3%	-0.1%	4.3M	-507.2M	-9.6M	0.71	8.62	38,022	26,944	479,002	557,833
2011-05-03	$58.22	$60.00	39.1%	9.6%	33.2%	64.9%	33.6%	2.5%	0.0%	-8.8M	-88.0M	-9.5M	0.56	8.26	57,385	32,270	494,077	572,563
2011-05-04	$58.34	$60.00	41.8%	9.6%	27.6%	74.8%	33.6%	2.3%	0.2%	-5.5M	-152.5M	-9.8M	0.56	8.69	43,852	24,588	513,468	580,879
2011-05-05	$56.11	$60.00	44.0%	11.5%	30.2%	82.7%	40.5%	0.1%	-2.5%	-14.0M	252.8M	-9.7M	1.03	10.72	86,202	88,525	520,583	590,119
2011-05-06	$56.09	$58.00	38.8%	10.0%	30.3%	63.9%	35.2%	0.5%	-0.5%	-13.0M	228.5M	-9.7M	1.02	7.36	58,657	60,094	543,585	603,128
2011-05-09	$57.21	$58.00	37.1%	9.3%	29.9%	57.6%	32.9%	1.2%	0.3%	-5.8M	549.9K	-9.5M	0.52	8.27	38,904	20,336	540,920	602,554
2011-05-10	$56.76	$58.00	36.8%	9.0%	28.6%	56.7%	31.8%	0.3%	0.6%	-7.2M	83.2M	-9.5M	0.34	8.47	41,694	14,265	562,200	620,643
2011-05-11	$54.91	$58.00	35.1%	9.5%	30.1%	50.4%	33.4%	1.5%	-0.4%	-17.9M	501.9M	-9.2M	0.79	9.83	71,232	56,014	588,807	626,945
2011-05-12	$54.65	$58.00	33.4%	9.6%	30.1%	44.3%	33.9%	1.5%	-0.8%	-19.0M	547.4M	-9.4M	0.86	8.92	47,197	40,589	613,556	643,429
2011-05-13	$54.21	$58.00	33.3%	9.6%	29.4%	44.1%	33.4%	1.1%	-0.4%	-20.5M	603.6M	-9.1M	0.64	9.08	58,338	37,533	624,277	646,137
2011-05-16	$54.47	$57.00	34.8%	10.0%	29.6%	49.4%	35.1%	0.6%	-1.4%	-13.4M	482.5M	-9.2M	1.64	8.12	36,731	60,202	616,493	644,925
2011-05-17	$55.01	$57.00	33.0%	9.5%	30.1%	42.9%	33.3%	0.7%	0.3%	-5.0M	309.4M	-9.2M	0.48	7.61	40,634	19,476	631,234	636,613
2011-05-18	$55.39	$57.00	31.7%	9.1%	29.7%	38.1%	32.0%	0.3%	1.5%	538.2K	207.0M	-9.4M	0.46	7.72	39,879	18,427	649,675	649,513
2011-05-19	$55.60	$57.00	30.4%	8.7%	29.5%	33.6%	31.0%	-0.0%	1.9%	7.5M	113.2M	-9.3M	0.47	8.60	42,083	19,758	658,473	648,540
2011-05-20	$55.76	$57.00	31.1%	8.9%	29.2%	39.0%	31.5%	2.0%	1.1%	481.1K	36.0M	-9.3M	0.30	9.80	100,890	30,587	674,824	652,205
2011-05-23	$55.34	$56.00	31.5%	9.0%	28.5%	40.5%	31.6%	1.8%	-0.0%	6.1M	-64.2M	-9.4M	0.74	10.76	28,156	20,779	584,327	568,522
2011-05-24	$56.61	$56.00	28.8%	8.3%	29.8%	30.0%	29.4%	2.1%	1.0%	16.1M	-357.4M	-9.5M	0.52	9.81	48,431	25,421	597,186	577,650
2011-05-25	$57.08	$56.00	27.2%	7.8%	28.5%	23.6%	27.8%	2.5%	1.3%	22.5M	-488.4M	-9.5M	0.46	9.78	31,486	14,368	610,076	578,487
2011-05-26	$57.10	$56.00	26.4%	7.6%	28.6%	20.4%	26.7%	1.2%	0.9%	24.8M	-497.0M	-9.4M	0.61	10.06	27,022	16,448	619,903	581,487
2011-05-27	$57.92	$56.00	24.3%	7.3%	28.5%	12.3%	25.9%	1.7%	1.2%	61.7M	-703.3M	-9.3M	0.35	12.05	42,207	14,847	620,027	587,634
2011-05-31	$58.15	$56.00	29.2%	7.4%	26.2%	31.6%	26.4%	1.5%	1.2%	35.4M	-740.5M	-9.1M	0.28	11.75	32,598	8,991	620,336	582,476