GDX Options History — August 2011

In August 2011, GDX traded between $55.42 and $63.70. ATM implied volatility averaged 41.9%, placing in the 51.1% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 6.5% (HV 20d: 35.4%). Max pain ranged from $56.00 to $58.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.60.

Notable Days

2011-08-24: Highest Volume — 193,806 contracts
2011-08-08: Largest IV spike — 52.9% change
2011-08-04: Highest IV Rank — 100.0%
2011-08-10: Largest Expected Move — 13.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$59.88	$55.42	$63.70	$57.36	$62.80
Max Pain	$56.43	$56.00	$58.00	$57.00	$57.00
ATM IV	41.9%	36.0%	69.4%	40.3%	42.8%
Expected Move	10.9%	9.2%	13.5%	9.5%	9.6%
HV 20d	35.4%	26.1%	40.7%	27.4%	40.2%
HV 60d	29.6%	25.6%	32.4%	25.6%	31.9%
IV Rank	51.1%	30.9%	100.0%	74.8%	44.9%
IV Percentile	95.3%	90.1%	100.0%	98.0%	96.8%
Term Structure	-0.7%	-4.2%	1.7%	-0.6%	1.4%
VWIV	38.7%	32.8%	47.5%	33.7%	34.5%
Skew 25d	4.9%	2.1%	7.4%	2.7%	3.2%
Skew 10d	10.1%	4.3%	15.7%	5.6%	6.1%
Call IV 25d	36.5%	30.6%	44.3%	32.1%	32.9%
Put IV 25d	41.3%	34.6%	51.3%	34.8%	36.1%
Bid-Ask Spread %	9.58	6.12	26.13	7.18	9.24
Gamma HHI	0.08	0.05	0.26	0.06	0.07
Net GEX	43.0M	2.0M	98.0M	16.8M	67.4M
Net DEX	-1.11B	-1.92B	27.4M	-395.5M	-1.90B
Net VEX	-10.7M	-13.3M	-8.8M	-8.8M	-12.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.25	1.03	0.83	0.83
Total Volume	90,193.435	32,702	193,806	34,143	83,570
Total OI	1,300,305.217	1,066,951	1,506,370	1,066,951	1,506,370

Daily Data (23 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
2011-08-01	$57.36	$57.00	40.3%	9.5%	27.4%	74.8%	33.7%	2.7%	-0.6%	16.8M	-395.5M	-8.8M	0.83	7.18	18,647	15,496	530,595	536,356
2011-08-02	$58.45	$57.00	41.1%	9.8%	26.1%	77.9%	34.1%	2.1%	-0.6%	23.0M	-623.8M	-8.9M	0.42	6.12	22,992	9,710	534,403	540,648
2011-08-03	$59.20	$57.00	37.0%	9.2%	26.1%	62.0%	32.8%	4.0%	-0.3%	29.3M	-777.2M	-8.9M	1.03	8.12	38,329	39,668	536,198	544,475
2011-08-04	$55.90	$58.00	47.8%	12.1%	33.7%	100.0%	43.4%	5.5%	-3.9%	5.2M	-79.8M	-9.0M	0.97	7.94	54,113	52,288	548,574	555,378
2011-08-05	$55.42	$56.00	45.4%	10.8%	33.8%	91.1%	37.5%	4.5%	-2.2%	2.0M	27.4M	-8.9M	0.55	11.43	56,923	31,393	564,145	575,453
2011-08-08	$55.44	$56.00	69.4%	13.3%	33.6%	100.0%	45.9%	6.3%	-4.2%	5.6M	-73.3M	-9.5M	0.47	10.50	81,556	38,722	576,397	572,056
2011-08-09	$57.70	$56.00	48.6%	12.3%	34.8%	56.9%	44.7%	7.4%	-2.0%	21.1M	-600.7M	-9.9M	0.80	26.13	45,830	36,503	603,631	583,023
2011-08-10	$59.30	$56.00	49.8%	13.5%	34.2%	59.5%	47.5%	7.3%	-4.0%	29.3M	-1.03B	-10.4M	0.39	14.15	68,813	26,644	617,761	602,106
2011-08-11	$59.85	$56.00	42.7%	12.2%	34.2%	44.7%	42.6%	7.4%	-1.1%	37.5M	-1.15B	-10.2M	0.25	11.70	123,502	31,049	630,103	605,146
2011-08-12	$59.22	$56.00	37.7%	10.8%	34.0%	34.4%	38.4%	5.7%	0.5%	44.3M	-1.07B	-10.5M	0.67	11.60	52,436	35,056	706,356	621,167
2011-08-15	$60.90	$56.00	36.0%	10.3%	35.1%	30.9%	36.1%	4.4%	-0.1%	58.5M	-1.44B	-10.3M	0.35	8.06	79,914	27,699	693,043	623,312
2011-08-16	$60.28	$56.00	36.9%	10.6%	34.8%	32.6%	37.5%	3.0%	0.3%	56.3M	-1.32B	-10.7M	0.48	7.22	49,302	23,545	731,263	635,589
2011-08-17	$60.74	$56.00	36.1%	10.4%	34.7%	31.1%	37.5%	4.5%	0.1%	66.8M	-1.47B	-10.9M	0.89	6.47	38,860	34,539	758,749	644,013
2011-08-18	$59.76	$56.00	39.3%	11.3%	35.2%	37.7%	40.0%	4.1%	-0.4%	55.0M	-1.22B	-11.2M	0.95	9.16	38,713	36,926	773,787	661,139
2011-08-19	$61.26	$56.00	38.5%	11.0%	36.1%	36.0%	39.5%	6.6%	1.0%	98.0M	-1.68B	-11.5M	0.55	14.88	95,875	52,481	780,617	674,651
2011-08-22	$63.70	$56.00	37.7%	10.8%	38.4%	34.4%	39.0%	5.7%	-0.7%	50.3M	-1.77B	-11.5M	0.46	6.51	61,329	28,047	690,211	591,843
2011-08-23	$61.49	$56.00	38.0%	10.9%	40.7%	35.0%	38.7%	3.5%	0.6%	46.2M	-1.35B	-11.4M	0.45	6.68	64,332	28,969	706,875	597,047
2011-08-24	$59.96	$56.00	39.3%	11.3%	40.2%	37.8%	40.4%	4.8%	-0.5%	38.0M	-1.00B	-11.5M	0.78	6.90	108,813	84,993	723,076	610,658
2011-08-25	$61.07	$57.00	39.3%	11.3%	40.6%	37.6%	39.6%	6.0%	-1.1%	48.7M	-1.34B	-13.3M	0.28	7.08	57,867	15,912	791,885	675,870
2011-08-26	$62.48	$57.00	38.2%	10.3%	40.1%	35.4%	36.6%	5.3%	-0.5%	60.7M	-1.78B	-12.5M	0.58	6.44	42,550	24,724	808,980	673,282
2011-08-29	$61.95	$57.00	41.6%	10.0%	40.4%	42.5%	35.6%	4.1%	0.8%	59.9M	-1.62B	-12.3M	0.29	7.68	43,141	12,654	801,601	677,941
2011-08-30	$63.00	$57.00	39.9%	9.6%	40.3%	38.9%	34.5%	3.9%	1.7%	68.3M	-1.92B	-12.2M	0.46	9.18	41,131	18,893	810,919	680,328
2011-08-31	$62.80	$57.00	42.8%	9.6%	40.2%	44.9%	34.5%	3.2%	1.4%	67.4M	-1.90B	-12.6M	0.83	9.24	45,578	37,992	819,430	686,940