GDX Options History — October 2011

In October 2011, GDX traded between $52.50 and $60.48. ATM implied volatility averaged 44.6%, placing in the 46.7% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 2.9% (HV 20d: 47.5%). Max pain ranged from $55.00 to $58.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.57.

Notable Days

  • 2011-10-04: Highest Volume — 136,769 contracts
  • 2011-10-05: Largest IV drop — 27.3% change
  • 2011-10-04: Highest IV Rank — 99.9%
  • 2011-10-03: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.31$52.50$60.48$54.45$58.83
Max Pain$56.00$55.00$58.00$58.00$55.00
ATM IV44.6%36.7%69.3%61.1%44.2%
Expected Move12.3%10.4%15.5%15.5%11.3%
HV 20d47.5%43.1%53.4%43.1%45.1%
HV 60d40.7%38.0%42.8%38.0%41.7%
IV Rank46.7%29.7%99.9%82.2%45.8%
IV Percentile89.6%73.8%99.6%99.6%91.3%
Term Structure-0.7%-1.7%1.9%-0.9%-0.7%
VWIV43.4%37.4%54.4%53.8%39.6%
Skew 25d4.4%2.5%6.6%2.7%4.0%
Skew 10d9.1%5.3%13.4%5.7%7.9%
Call IV 25d41.6%35.0%52.9%52.9%38.4%
Put IV 25d46.0%39.0%56.5%55.6%42.4%
Bid-Ask Spread %6.414.2910.316.156.59
Gamma HHI0.070.060.170.060.07
Net GEX30.9M-27.1M67.6M20.5M51.7M
Net DEX-313.5M-1.47B566.6M-29.6M-951.9M
Net VEX-11.5M-12.8M-10.1M-12.7M-11.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.200.960.420.60
Total Volume75,01632,809136,76966,71340,462
Total OI1,824,582.3811,676,9121,984,5291,724,4801,771,460

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-10-03$54.45$58.0061.1%15.5%43.1%82.2%53.8%2.7%-0.9%20.5M-29.6M-12.7M0.426.1547,12719,5861,053,845670,635
2011-10-04$52.50$58.0069.3%15.4%43.7%99.9%54.4%5.1%-0.9%9.6M366.5M-11.7M0.958.4470,27566,4941,064,938678,703
2011-10-05$54.89$58.0050.4%13.4%47.8%59.3%48.1%5.1%1.9%21.6M-48.0M-12.4M0.714.9960,18642,6841,078,078703,470
2011-10-06$56.27$57.0047.3%13.7%48.4%52.6%48.4%6.6%-0.1%31.6M-340.6M-12.8M0.265.2760,59615,8291,085,111712,288
2011-10-07$54.88$56.0045.1%13.6%48.7%47.8%47.2%5.0%-1.2%21.3M-37.9M-12.2M0.827.0029,85924,3821,109,684714,131
2011-10-10$56.84$56.0047.3%12.9%50.5%52.5%45.3%4.0%-1.3%36.8M-427.4M-12.3M0.575.7430,22917,1131,097,672706,126
2011-10-11$56.91$56.0047.0%12.5%50.3%51.9%44.5%3.7%-0.9%40.3M-470.1M-12.2M0.854.2919,74816,7491,115,903708,391
2011-10-12$57.39$56.0039.3%11.8%50.3%35.3%41.1%3.5%-0.1%43.6M-535.7M-12.1M0.245.38107,06126,1091,117,245717,075
2011-10-13$56.28$56.0040.2%11.5%50.6%37.1%40.0%3.6%-0.1%32.9M-240.6M-11.7M0.964.9917,32916,5891,188,821723,385
2011-10-14$57.96$56.0039.0%11.2%51.3%34.7%39.3%2.9%-1.3%61.9M-695.0M-11.9M0.465.7023,93011,0221,190,565726,430
2011-10-17$56.59$56.0040.8%11.7%51.7%38.6%41.2%3.7%-1.3%34.2M-277.2M-11.2M0.785.7218,43814,3711,180,803722,185
2011-10-18$56.97$56.0039.9%11.4%49.9%36.6%40.2%2.5%-1.4%38.1M-353.5M-11.1M0.736.1444,75732,7401,182,662724,886
2011-10-19$53.55$56.0043.6%12.5%53.4%44.6%43.4%4.4%-1.7%168.7K527.5M-10.1M0.355.6082,99828,7411,194,941732,685
2011-10-20$53.13$56.0044.3%12.7%46.2%46.1%44.5%4.5%-1.3%1.5M566.6M-10.1M0.715.6750,54036,0081,231,724734,845
2011-10-21$53.98$55.0041.9%12.0%43.7%40.8%42.8%4.9%0.0%-27.1M372.9M-10.2M0.449.1960,03426,5231,247,458737,071
2011-10-24$56.03$55.0039.1%11.2%45.5%34.8%38.9%4.8%0.7%23.7M-206.1M-10.5M0.336.4061,36420,5001,025,159651,753
2011-10-25$57.45$55.0041.6%11.9%46.4%40.3%42.0%6.5%-0.7%34.6M-514.0M-11.2M0.206.70109,22122,1831,039,368660,935
2011-10-26$57.97$55.0040.2%11.5%43.2%37.1%41.0%5.7%-1.3%46.8M-786.2M-11.5M0.587.7037,19021,5511,091,419670,829
2011-10-27$59.11$55.0038.5%11.0%43.5%33.5%39.1%5.6%-1.1%57.2M-1.04B-11.5M0.406.7043,13117,3581,093,787678,304
2011-10-28$60.48$55.0036.7%10.4%44.1%29.7%37.4%4.0%-0.6%67.6M-1.47B-11.7M0.5210.3155,56528,7641,098,939682,521
2011-10-31$58.83$55.0044.2%11.3%45.1%45.8%39.6%4.0%-0.7%51.7M-951.9M-11.3M0.606.5925,32715,1351,091,339680,121