GDX Options History — September 2011

In September 2011, GDX traded between $54.54 and $66.63. ATM implied volatility averaged 41.4%, placing in the 40.0% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 5.7% (HV 20d: 35.7%). Max pain ranged from $57.00 to $63.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.55.

Notable Days

2011-09-22: Highest Volume — 195,587 contracts
2011-09-06: Largest IV spike — 41.2% change
2011-09-30: Highest IV Rank — 79.1%
2011-09-28: Largest Expected Move — 14.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$61.82	$54.54	$66.63	$63.38	$55.19
Max Pain	$60.62	$57.00	$63.00	$57.00	$59.00
ATM IV	41.4%	32.7%	59.7%	34.2%	59.7%
Expected Move	11.7%	9.3%	14.8%	9.5%	14.4%
HV 20d	35.7%	29.0%	44.8%	33.3%	44.5%
HV 60d	33.4%	31.1%	37.9%	31.5%	37.9%
IV Rank	40.0%	23.4%	79.1%	27.1%	79.1%
IV Percentile	88.6%	71.8%	99.6%	79.0%	99.6%
Term Structure	0.1%	-2.6%	3.8%	1.3%	-0.2%
VWIV	40.6%	33.3%	50.7%	34.6%	50.1%
Skew 25d	4.4%	2.1%	7.3%	3.0%	5.2%
Skew 10d	8.9%	4.3%	14.0%	5.1%	9.6%
Call IV 25d	39.2%	32.0%	49.1%	32.3%	48.2%
Put IV 25d	43.7%	34.6%	55.5%	35.3%	53.4%
Bid-Ask Spread %	6.57	4.70	9.65	9.65	6.65
Gamma HHI	0.07	0.06	0.11	0.08	0.06
Net GEX	60.7M	14.0M	97.5M	75.9M	19.0M
Net DEX	-1.59B	-3.05B	55.5M	-2.10B	-106.1M
Net VEX	-12.8M	-13.4M	-12.2M	-12.3M	-13.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.55	0.19	1.62	1.62	0.44
Total Volume	114,754.333	62,929	195,587	122,494	72,001
Total OI	1,603,830.81	1,376,306	1,786,762	1,515,600	1,725,698

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
2011-09-01	$63.38	$57.00	34.2%	9.5%	33.3%	27.1%	34.6%	3.0%	1.3%	75.9M	-2.10B	-12.3M	1.62	9.65	46,689	75,805	835,527	680,073
2011-09-02	$64.91	$57.00	32.7%	9.3%	33.4%	24.0%	33.3%	2.1%	3.8%	86.9M	-2.54B	-12.6M	0.34	7.88	80,083	26,991	850,884	724,908
2011-09-06	$65.34	$60.00	46.2%	10.6%	33.3%	50.0%	37.8%	2.9%	-0.3%	81.0M	-2.60B	-12.6M	0.38	5.35	107,192	40,455	865,993	741,815
2011-09-07	$65.43	$62.00	36.1%	10.6%	31.1%	28.4%	36.6%	4.0%	-0.7%	85.8M	-2.63B	-12.7M	0.30	6.15	84,065	25,182	890,408	756,867
2011-09-08	$66.63	$61.00	34.7%	10.4%	30.5%	25.5%	36.8%	3.2%	-0.2%	96.0M	-3.05B	-12.7M	0.51	4.70	99,048	50,480	913,993	763,372
2011-09-09	$65.80	$63.00	36.8%	11.1%	31.1%	29.8%	38.4%	4.2%	-0.3%	97.5M	-2.85B	-13.4M	0.28	6.02	79,258	21,857	941,180	790,093
2011-09-12	$63.90	$63.00	42.5%	11.8%	33.0%	42.2%	41.1%	4.8%	-1.2%	81.7M	-2.25B	-13.3M	0.52	7.10	70,743	36,877	943,618	767,989
2011-09-13	$64.39	$63.00	38.3%	11.1%	31.8%	33.2%	38.3%	5.5%	0.8%	84.5M	-2.33B	-13.3M	0.65	5.30	40,012	25,982	936,420	776,927
2011-09-14	$63.17	$63.00	36.2%	11.0%	32.4%	28.6%	38.4%	5.1%	1.0%	82.6M	-1.97B	-12.9M	0.33	5.55	64,138	21,361	937,902	776,316
2011-09-15	$62.80	$62.00	37.4%	10.7%	32.5%	31.3%	38.0%	4.2%	0.5%	91.4M	-1.93B	-12.7M	0.47	4.90	94,595	44,823	962,835	784,194
2011-09-16	$64.11	$61.00	34.1%	9.8%	32.4%	24.2%	34.7%	3.5%	2.6%	87.5M	-2.41B	-12.7M	0.64	6.32	41,039	26,217	989,461	797,301
2011-09-19	$63.48	$61.00	33.8%	9.7%	31.7%	23.4%	33.3%	4.3%	2.2%	53.7M	-1.47B	-12.7M	0.60	6.64	39,245	23,684	796,842	579,464
2011-09-20	$65.63	$62.00	34.8%	10.0%	30.9%	25.5%	35.3%	3.0%	0.9%	66.4M	-1.94B	-13.0M	0.55	6.08	77,571	42,427	812,374	589,183
2011-09-21	$64.28	$61.00	37.0%	10.6%	29.0%	30.4%	36.5%	4.1%	0.9%	60.4M	-1.69B	-13.2M	0.50	7.25	63,898	31,812	835,986	598,695
2011-09-22	$59.30	$62.00	45.3%	13.0%	40.4%	48.1%	45.4%	2.7%	-1.5%	29.4M	-690.5M	-13.0M	0.67	7.48	117,219	78,368	849,899	614,252
2011-09-23	$56.41	$60.00	51.5%	14.8%	43.3%	61.6%	50.7%	5.8%	-2.6%	17.4M	-160.2M	-13.0M	0.64	6.95	117,683	75,024	876,080	651,896
2011-09-26	$57.34	$59.00	48.7%	14.0%	42.8%	55.5%	48.2%	6.7%	-0.8%	22.9M	-355.8M	-13.4M	0.88	6.35	75,172	65,950	898,538	663,821
2011-09-27	$57.07	$59.00	45.9%	13.2%	42.8%	49.4%	45.4%	5.5%	-0.9%	25.3M	-379.7M	-12.8M	0.36	7.21	70,659	25,739	916,537	642,067
2011-09-28	$54.54	$59.00	51.6%	14.8%	44.4%	61.8%	50.7%	6.1%	-2.4%	14.3M	55.5M	-12.2M	0.64	7.53	48,410	31,196	935,681	650,650
2011-09-29	$55.03	$59.00	51.5%	14.8%	44.8%	61.4%	49.0%	7.3%	-1.4%	14.0M	49.9M	-12.4M	0.19	6.81	127,181	23,710	949,305	665,403
2011-09-30	$55.19	$59.00	59.7%	14.4%	44.5%	79.1%	50.1%	5.2%	-0.2%	19.0M	-106.1M	-13.0M	0.44	6.65	50,157	21,844	1,052,345	673,353