GDX Options History — November 2011

In November 2011, GDX traded between $54.79 and $63.30. ATM implied volatility averaged 40.8%, placing in the 38.5% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 1.5% (HV 20d: 39.3%). Max pain ranged from $55.00 to $58.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.87.

Notable Days

2011-11-07: Highest Volume — 156,129 contracts
2011-11-03: Largest IV drop — 21.5% change
2011-11-01: Highest IV Rank — 61.5%
2011-11-01: Largest Expected Move — 12.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$59.28	$54.79	$63.30	$58.51	$60.41
Max Pain	$57.57	$55.00	$58.00	$55.00	$58.00
ATM IV	40.8%	37.2%	51.5%	51.5%	39.5%
Expected Move	11.2%	10.7%	12.4%	12.4%	10.7%
HV 20d	39.3%	34.6%	43.2%	42.7%	43.2%
HV 60d	41.7%	41.0%	43.9%	41.7%	43.9%
IV Rank	38.5%	30.8%	61.5%	61.5%	35.8%
IV Percentile	83.1%	72.2%	97.6%	97.6%	80.6%
Term Structure	0.0%	-1.8%	2.1%	-1.7%	-1.8%
VWIV	39.5%	36.2%	45.0%	45.0%	37.5%
Skew 25d	5.4%	2.3%	8.1%	5.7%	6.3%
Skew 10d	10.9%	5.4%	15.9%	12.9%	11.2%
Call IV 25d	36.7%	34.2%	41.8%	41.8%	34.2%
Put IV 25d	42.1%	39.4%	47.4%	47.4%	40.5%
Bid-Ask Spread %	11.51	5.20	42.21	42.21	10.71
Gamma HHI	0.07	0.07	0.09	0.07	0.09
Net GEX	50.3M	-10.4M	96.9M	50.5M	59.2M
Net DEX	-879.2M	-2.21B	530.8M	-893.3M	-1.12B
Net VEX	-10.8M	-12.0M	-9.2M	-11.7M	-10.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.87	0.40	1.77	0.91	0.53
Total Volume	81,737.619	33,369	156,129	77,380	121,456
Total OI	1,888,971.19	1,758,986	2,032,336	1,784,213	1,924,895

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
2011-11-01	$58.51	$55.00	51.5%	12.4%	42.7%	61.5%	45.0%	5.7%	-1.7%	50.5M	-893.3M	-11.7M	0.91	42.21	40,447	36,933	1,096,114	688,099
2011-11-02	$59.96	$55.00	50.0%	12.0%	40.8%	58.3%	42.8%	6.0%	-0.8%	63.5M	-1.24B	-11.8M	0.55	6.13	44,915	24,580	1,103,708	696,594
2011-11-03	$61.83	$55.00	39.3%	10.9%	41.3%	35.2%	40.7%	5.2%	-0.0%	82.7M	-1.77B	-12.0M	0.44	6.55	50,071	21,965	1,114,936	704,878
2011-11-04	$61.30	$58.00	37.6%	11.4%	40.1%	31.7%	39.7%	6.3%	-1.0%	82.4M	-1.66B	-12.0M	0.48	5.91	29,885	14,386	1,128,137	712,740
2011-11-07	$63.30	$58.00	42.3%	11.0%	39.8%	41.7%	40.5%	7.4%	-0.7%	95.3M	-2.21B	-11.8M	0.90	6.60	82,384	73,745	1,127,043	712,169
2011-11-08	$62.50	$58.00	41.0%	10.8%	40.3%	38.9%	38.2%	5.5%	0.1%	90.8M	-2.00B	-11.7M	0.40	5.29	79,128	31,987	1,134,831	729,440
2011-11-09	$60.69	$58.00	41.7%	11.9%	42.0%	40.4%	41.4%	5.9%	-0.4%	71.6M	-1.41B	-12.0M	0.69	7.08	55,013	37,814	1,179,618	752,746
2011-11-10	$60.17	$58.00	40.6%	11.6%	41.4%	38.0%	39.9%	5.6%	0.8%	63.8M	-1.18B	-11.7M	0.85	7.22	42,126	35,833	1,187,426	767,996
2011-11-11	$62.31	$58.00	37.4%	10.7%	41.9%	31.2%	38.4%	5.9%	0.7%	96.9M	-1.92B	-11.9M	0.82	5.67	37,643	30,835	1,191,741	774,953
2011-11-14	$61.17	$58.00	39.2%	11.2%	41.5%	35.1%	40.8%	4.6%	-0.5%	84.7M	-1.51B	-11.4M	1.77	5.42	13,413	23,751	1,188,984	778,774
2011-11-15	$61.33	$58.00	38.4%	11.0%	41.5%	33.2%	38.7%	5.0%	-0.2%	87.7M	-1.57B	-11.3M	0.84	5.20	22,347	18,785	1,189,953	791,739
2011-11-16	$60.31	$58.00	39.9%	11.4%	34.6%	36.5%	40.4%	5.3%	-0.4%	71.0M	-1.18B	-11.1M	1.54	6.41	19,184	29,577	1,193,601	793,093
2011-11-17	$57.87	$58.00	40.8%	11.7%	38.2%	38.6%	39.9%	8.1%	-0.4%	29.2M	-228.5M	-10.2M	0.66	8.16	71,609	46,915	1,195,809	806,961
2011-11-18	$57.06	$58.00	37.5%	10.7%	38.4%	31.3%	37.2%	6.7%	1.3%	10.7M	77.0M	-9.8M	0.68	7.09	61,408	41,725	1,210,698	821,638
2011-11-21	$56.20	$58.00	39.1%	11.2%	36.7%	34.8%	38.7%	5.8%	0.9%	3.5M	241.9M	-9.6M	0.93	15.63	37,744	35,123	1,002,469	756,517
2011-11-22	$57.04	$58.00	37.2%	10.7%	35.9%	30.8%	36.2%	5.1%	1.4%	13.1M	-6.0M	-9.7M	0.40	6.35	51,252	20,259	1,012,488	766,219
2011-11-23	$55.49	$58.00	38.5%	11.0%	37.0%	33.5%	38.7%	2.3%	1.9%	1.0M	287.6M	-9.2M	1.36	31.75	65,237	88,645	1,024,151	769,378
2011-11-25	$54.79	$58.00	40.8%	11.0%	36.2%	38.6%	39.0%	3.0%	2.1%	-10.4M	530.8M	-9.3M	1.60	6.02	12,811	20,558	1,046,508	823,653
2011-11-28	$56.20	$58.00	42.2%	11.0%	36.5%	41.5%	37.5%	3.4%	0.3%	-618.5K	200.9M	-9.3M	0.97	37.52	44,296	43,121	1,035,024	823,716
2011-11-29	$56.46	$58.00	42.7%	11.3%	35.5%	42.6%	39.1%	3.4%	-1.1%	10.0M	78.8M	-9.6M	0.88	8.70	30,620	26,964	1,069,891	839,067
2011-11-30	$60.41	$58.00	39.5%	10.7%	43.2%	35.8%	37.5%	6.3%	-1.8%	59.2M	-1.12B	-10.2M	0.53	10.71	79,264	42,192	1,079,283	845,612