GDX Options History — July 2011

In July 2011, GDX traded between $53.74 and $60.76. ATM implied volatility averaged 29.2%, placing in the 31.3% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 1.7% (HV 20d: 27.5%). Max pain ranged from $53.00 to $58.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.65.

Notable Days

  • 2011-07-13: Highest Volume — 158,956 contracts
  • 2011-07-05: Largest IV spike — 33.2% change
  • 2011-07-29: Highest IV Rank — 52.4%
  • 2011-07-29: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.20$53.74$60.76$53.74$56.89
Max Pain$55.70$53.00$58.00$53.00$57.00
ATM IV29.2%22.9%34.6%23.2%34.6%
Expected Move8.5%7.3%9.5%7.3%9.5%
HV 20d27.5%24.0%29.3%28.6%28.1%
HV 60d27.3%26.4%28.2%26.6%26.7%
IV Rank31.3%6.9%52.4%8.2%52.4%
IV Percentile44.6%0.4%89.3%0.4%89.3%
Term Structure0.7%-1.1%3.4%3.4%-1.1%
VWIV29.9%25.9%33.1%25.9%33.1%
Skew 25d2.0%0.9%3.0%2.1%2.4%
Skew 10d4.4%1.9%6.5%3.9%5.5%
Call IV 25d29.0%25.0%32.5%25.0%32.5%
Put IV 25d31.1%27.2%34.9%27.2%34.9%
Bid-Ask Spread %6.504.8912.5512.557.07
Gamma HHI0.080.060.220.060.08
Net GEX29.9M-2.0M57.1M10.1M-2.0M
Net DEX-742.0M-1.27B-36.6M-36.6M-261.5M
Net VEX-8.8M-9.2M-8.2M-8.3M-8.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.261.290.390.69
Total Volume65,557.0523,061158,95657,45562,327
Total OI1,054,486.4972,0561,165,4231,032,4781,068,841

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-07-01$53.74$53.0023.2%7.3%28.6%8.2%25.9%2.1%3.4%10.1M-36.6M-8.3M0.3912.5541,44116,014535,430497,048
2011-07-05$55.42$53.0030.9%8.3%29.0%38.3%29.1%2.4%-0.0%28.8M-421.0M-8.4M0.304.8939,72412,042540,119495,065
2011-07-06$56.13$53.0026.3%8.1%29.3%20.3%28.5%1.9%0.4%36.1M-592.4M-8.5M0.445.2829,64012,942544,065501,192
2011-07-07$56.25$53.0022.9%7.7%27.9%6.9%27.0%1.6%0.9%40.1M-619.3M-8.3M0.265.5356,85814,649543,755506,010
2011-07-08$56.29$54.0024.2%7.7%27.3%11.9%27.4%1.1%0.5%34.5M-563.4M-8.3M0.515.7228,24914,320539,825511,826
2011-07-11$55.62$54.0029.5%8.4%26.8%32.8%30.3%2.8%0.3%26.7M-382.9M-8.2M0.927.0734,41831,586540,183510,398
2011-07-12$57.37$54.0030.2%8.7%27.7%35.5%30.7%1.7%-0.4%44.1M-800.1M-8.5M0.606.4061,39636,725548,617524,100
2011-07-13$59.27$54.0028.3%8.6%29.2%28.1%30.2%1.8%0.8%53.7M-1.25B-8.7M0.576.70101,04657,910560,207536,883
2011-07-14$58.78$56.0030.8%8.8%29.3%37.7%31.0%1.6%1.2%57.1M-1.15B-9.1M0.725.6145,89332,821587,631568,627
2011-07-15$59.72$56.0029.0%8.3%27.4%30.9%29.9%2.0%1.4%55.4M-1.27B-9.0M0.866.3747,66041,052581,762583,661
2011-07-18$60.58$57.0030.6%8.8%27.4%36.9%31.6%2.7%1.2%26.0M-982.5M-9.2M0.656.7242,83327,659485,510486,546
2011-07-19$59.68$57.0029.9%8.6%28.6%34.2%30.7%3.0%0.8%22.8M-804.5M-9.1M1.035.7731,94332,933496,074496,662
2011-07-20$60.35$57.0030.1%8.6%26.9%35.0%30.2%2.6%1.0%24.7M-924.7M-9.1M1.295.5227,95636,111503,251511,107
2011-07-21$60.05$57.0029.2%8.4%27.0%31.3%29.1%2.1%1.2%21.7M-858.7M-9.1M0.716.9736,72026,232508,669526,101
2011-07-22$60.76$57.0028.5%8.2%26.4%28.7%28.7%1.9%1.4%29.1M-1.03B-9.1M0.466.1229,00413,265516,641533,474
2011-07-25$60.28$58.0030.0%8.6%24.1%34.7%30.2%2.0%0.9%28.6M-924.1M-9.1M0.836.0119,81116,529515,964524,313
2011-07-26$60.29$58.0030.4%8.7%24.0%36.4%30.6%1.9%0.4%27.1M-910.3M-9.0M0.605.9514,4538,608515,913530,811
2011-07-27$58.48$58.0032.7%9.4%27.3%45.3%32.5%2.2%-0.9%16.9M-569.7M-9.1M0.638.4236,67123,049519,281533,732
2011-07-28$58.13$58.0031.5%9.0%26.7%40.5%31.9%0.9%0.1%16.7M-485.7M-9.0M0.555.3544,20624,445521,041539,393
2011-07-29$56.89$57.0034.6%9.5%28.1%52.4%33.1%2.4%-1.1%-2.0M-261.5M-8.9M0.697.0736,79225,535530,275538,566