GDX Options History — June 2011

In June 2011, GDX traded between $51.78 and $57.07. ATM implied volatility averaged 30.6%, placing in the 36.8% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 6.2% (HV 20d: 24.4%). Max pain ranged from $53.00 to $57.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.72.

Notable Days

  • 2011-06-16: Highest Volume — 133,506 contracts
  • 2011-06-06: Largest IV spike — 27.6% change
  • 2011-06-01: Highest IV Rank — 55.4%
  • 2011-06-16: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.90$51.78$57.07$57.07$54.59
Max Pain$54.59$53.00$57.00$56.00$53.00
ATM IV30.6%24.3%35.3%35.3%24.3%
Expected Move8.4%7.2%9.3%8.2%7.2%
HV 20d24.4%20.3%28.2%24.5%28.2%
HV 60d27.7%26.4%28.4%28.3%26.4%
IV Rank36.8%12.5%55.4%55.4%12.5%
IV Percentile52.5%1.6%89.3%89.3%1.6%
Term Structure1.1%0.2%2.3%0.6%2.3%
VWIV29.7%25.9%33.0%30.4%25.9%
Skew 25d3.0%1.3%5.4%1.3%3.1%
Skew 10d6.4%3.0%11.6%3.2%7.0%
Call IV 25d28.4%24.1%31.3%28.6%24.1%
Put IV 25d31.4%27.2%36.0%29.9%27.2%
Bid-Ask Spread %8.725.4712.2912.298.72
Gamma HHI0.090.050.440.080.06
Net GEX-1.9M-49.2M24.4M24.4M19.7M
Net DEX170.4M-456.4M808.2M-456.4M-211.2M
Net VEX-8.4M-9.1M-7.8M-9.1M-8.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.391.421.390.71
Total Volume62,661.63625,764133,50684,53925,764
Total OI1,159,825.273891,5951,368,9211,204,5531,037,398

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-06-01$57.07$56.0035.3%8.2%24.5%55.4%30.4%1.3%0.6%24.4M-456.4M-9.1M1.3912.2935,32149,218620,459584,094
2011-06-02$56.61$56.0029.7%7.7%24.6%33.4%27.9%2.6%1.1%19.8M-299.2M-8.9M0.4111.4254,43522,320633,246585,575
2011-06-03$56.49$57.0027.1%8.3%20.3%23.3%28.6%1.7%0.6%16.0M-237.2M-9.0M0.505.5839,97219,859630,898599,773
2011-06-06$54.82$57.0034.6%8.6%23.0%52.4%30.7%1.4%0.4%1.4M152.2M-8.8M1.1610.5436,03241,922640,122602,807
2011-06-07$54.67$57.0034.4%8.4%21.6%51.6%30.1%1.4%0.9%-1.3M198.6M-8.7M0.976.9520,61819,912653,454618,467
2011-06-08$53.43$57.0029.1%8.7%22.8%31.0%30.7%2.3%0.3%-15.9M519.8M-8.3M0.855.5448,49241,381654,859619,103
2011-06-09$54.37$55.0029.8%8.5%20.9%33.7%30.1%1.9%0.5%-1.1M259.1M-8.5M0.556.1628,88015,884673,651638,935
2011-06-10$53.40$55.0030.5%8.7%21.8%36.4%30.7%3.6%0.7%-14.0M510.1M-8.3M0.586.4445,17526,207686,525640,406
2011-06-13$52.52$55.0029.7%8.5%22.3%33.3%29.8%2.9%0.9%-26.2M696.3M-7.9M0.478.6539,87318,913674,666636,673
2011-06-14$53.39$55.0028.7%8.2%23.1%29.5%28.3%3.6%2.0%-16.5M506.0M-7.9M0.418.0623,8439,760678,678637,215
2011-06-15$53.06$55.0030.1%8.6%22.8%35.2%30.5%4.3%1.5%-19.2M547.2M-8.0M0.838.1726,83922,393687,183638,710
2011-06-16$51.78$55.0032.5%9.3%23.9%44.2%33.0%4.6%1.0%-35.1M808.2M-7.8M1.429.5555,12578,381697,150643,482
2011-06-17$51.97$54.0032.2%9.2%23.9%43.3%32.6%5.4%0.8%-49.2M686.9M-7.9M0.955.4738,48136,662721,208647,713
2011-06-20$52.25$53.0028.9%8.3%24.0%30.4%29.4%4.4%1.3%-1.8M224.6M-7.8M0.617.1231,84019,564451,787439,808
2011-06-21$54.01$53.0027.3%7.8%27.2%23.9%27.6%2.7%1.9%7.8M-65.9M-8.2M0.417.0739,43116,240463,396447,860
2011-06-22$54.66$53.0026.8%7.7%26.2%22.3%28.1%2.5%1.4%13.9M-207.7M-8.4M0.598.9564,35237,658480,725454,226
2011-06-23$54.01$53.0029.7%8.5%26.2%33.6%31.1%3.4%0.2%10.0M-84.5M-8.5M1.0110.6433,02633,446499,766464,446
2011-06-24$52.58$53.0031.8%8.7%27.5%41.8%30.4%4.1%0.6%1.6M158.6M-8.4M0.4910.1826,85713,073513,434478,425
2011-06-27$52.52$53.0033.5%8.4%26.6%48.3%29.6%3.7%1.2%-885.1K196.0M-8.2M0.3911.0830,54411,998514,365482,055
2011-06-28$53.16$53.0032.9%8.2%27.1%45.9%29.2%3.1%2.3%6.8M40.8M-8.4M0.5111.2529,66215,252523,747487,600
2011-06-29$54.37$53.0033.6%8.0%28.2%48.4%28.5%2.8%1.6%17.2M-194.0M-8.6M0.5012.0135,98117,970536,607495,459
2011-06-30$54.59$53.0024.3%7.2%28.2%12.5%25.9%3.1%2.3%19.7M-211.2M-8.4M0.718.7215,04710,717536,168501,230