GDX Options History — December 2011

In December 2011, GDX traded between $50.06 and $60.30. ATM implied volatility averaged 36.3%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 5.1% (HV 20d: 41.5%). Max pain ranged from $57.00 to $59.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.94.

Notable Days

2011-12-29: Highest Volume — 223,826 contracts
2011-12-05: Largest IV spike — 17.2% change
2011-12-05: Highest IV Rank — 46.2%
2011-12-08: Largest Expected Move — 11.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$54.43	$50.06	$60.30	$60.30	$51.43
Max Pain	$57.67	$57.00	$59.00	$58.00	$57.00
ATM IV	36.3%	30.3%	44.4%	38.7%	31.8%
Expected Move	10.2%	8.7%	11.3%	10.3%	10.0%
HV 20d	41.5%	35.2%	44.1%	42.3%	35.5%
HV 60d	42.8%	39.8%	45.0%	43.9%	39.8%
IV Rank	28.9%	15.8%	46.2%	33.9%	19.1%
IV Percentile	63.2%	33.3%	91.3%	75.8%	42.9%
Term Structure	1.5%	-1.3%	3.5%	-0.4%	1.1%
VWIV	35.6%	30.6%	38.9%	37.5%	34.1%
Skew 25d	4.8%	3.2%	10.1%	10.1%	4.2%
Skew 10d	9.9%	5.1%	35.1%	35.1%	8.5%
Call IV 25d	33.6%	29.4%	37.4%	34.3%	32.6%
Put IV 25d	38.4%	33.0%	44.3%	44.3%	36.8%
Bid-Ask Spread %	18.78	4.09	62.20	62.20	6.13
Gamma HHI	0.10	0.07	0.14	0.08	0.14
Net GEX	-10.7M	-57.0M	49.7M	49.7M	-20.9M
Net DEX	562.4M	-932.4M	1.59B	-932.4M	892.3M
Net VEX	-8.1M	-10.0M	-6.2M	-9.9M	-7.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.94	0.43	1.63	0.69	0.55
Total Volume	86,600.333	19,415	223,826	123,545	58,881
Total OI	1,765,943.81	1,355,655	2,131,619	1,926,752	1,471,054

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
2011-12-01	$60.30	$58.00	38.7%	10.3%	42.3%	33.9%	37.5%	10.1%	-0.4%	49.7M	-932.4M	-9.9M	0.69	62.20	72,961	50,584	1,072,840	853,912
2011-12-02	$58.25	$58.00	37.9%	11.0%	42.5%	32.2%	38.0%	6.2%	-1.3%	22.1M	-335.3M	-10.0M	1.60	10.68	31,261	50,102	1,094,811	875,198
2011-12-05	$57.86	$59.00	44.4%	10.6%	42.4%	46.2%	37.1%	5.2%	0.8%	17.9M	-185.6M	-9.5M	1.24	6.25	25,214	31,344	1,084,491	863,961
2011-12-06	$59.02	$59.00	44.4%	10.7%	41.3%	46.2%	37.5%	4.7%	0.4%	34.3M	-541.3M	-9.7M	0.56	5.94	33,048	18,537	1,088,372	876,617
2011-12-07	$58.96	$59.00	39.4%	10.7%	41.2%	35.6%	37.7%	3.6%	1.1%	35.3M	-594.3M	-9.6M	0.69	5.24	118,950	82,295	1,098,690	883,268
2011-12-08	$57.26	$58.00	39.7%	11.3%	41.1%	36.1%	38.9%	5.3%	0.9%	15.8M	-80.4M	-9.9M	0.78	8.41	46,282	36,061	1,154,763	922,972
2011-12-09	$57.83	$58.00	33.8%	10.3%	41.3%	23.5%	36.1%	4.0%	0.4%	22.5M	-240.2M	-9.6M	1.18	8.10	31,905	37,777	1,161,381	926,710
2011-12-12	$55.80	$58.00	38.9%	10.6%	40.6%	34.4%	36.8%	5.7%	0.9%	-13.5M	527.7M	-8.9M	1.40	5.72	33,006	46,181	1,150,533	937,755
2011-12-13	$54.04	$58.00	39.3%	10.4%	41.4%	35.2%	36.3%	4.6%	1.9%	-38.6M	1.07B	-8.1M	1.19	25.40	40,135	47,923	1,155,094	947,880
2011-12-14	$52.38	$58.00	38.0%	11.2%	42.2%	32.5%	38.7%	5.7%	0.5%	-48.7M	1.41B	-8.0M	1.04	10.64	88,584	91,728	1,157,457	954,391
2011-12-15	$51.68	$58.00	37.5%	10.7%	42.1%	31.3%	37.0%	5.5%	2.6%	-57.0M	1.59B	-7.6M	0.62	5.36	63,714	39,298	1,174,783	956,836
2011-12-16	$52.68	$57.00	35.4%	10.1%	41.2%	26.8%	36.1%	5.0%	3.5%	-36.3M	1.33B	-7.7M	1.63	4.09	37,548	61,208	1,172,642	957,275
2011-12-19	$51.17	$57.00	36.7%	10.5%	42.0%	29.8%	36.6%	3.2%	1.1%	-25.2M	1.06B	-7.1M	0.94	6.53	24,476	22,911	658,081	697,574
2011-12-20	$52.99	$57.00	32.4%	9.3%	44.1%	20.4%	32.4%	3.9%	2.2%	-22.3M	778.3M	-7.5M	0.58	36.03	26,923	15,647	659,030	705,676
2011-12-21	$52.96	$57.00	31.9%	9.1%	43.7%	19.4%	31.5%	4.6%	2.7%	-21.9M	800.2M	-7.2M	0.43	39.66	24,035	10,287	675,322	709,720
2011-12-22	$52.40	$57.00	31.2%	9.0%	42.8%	17.9%	30.6%	4.4%	3.3%	-27.0M	948.7M	-7.0M	0.48	41.83	46,242	22,068	666,762	710,945
2011-12-23	$52.79	$57.00	30.3%	8.7%	42.8%	15.8%	31.8%	3.5%	3.0%	-23.8M	871.1M	-7.1M	1.29	40.29	14,248	18,364	680,149	720,872
2011-12-27	$51.87	$57.00	31.3%	9.0%	41.9%	18.1%	32.0%	3.3%	3.1%	-28.8M	1.02B	-6.6M	0.72	32.46	11,271	8,144	679,131	713,420
2011-12-28	$50.06	$57.00	35.6%	10.2%	43.2%	27.3%	36.4%	4.3%	1.7%	-31.9M	1.33B	-6.2M	1.26	6.05	33,503	42,135	682,920	717,049
2011-12-29	$51.20	$57.00	34.3%	9.8%	35.2%	24.6%	34.0%	3.7%	1.6%	-25.9M	1.09B	-6.5M	0.89	27.29	118,670	105,156	693,506	720,977
2011-12-30	$51.43	$57.00	31.8%	10.0%	35.5%	19.1%	34.1%	4.2%	1.1%	-20.9M	892.3M	-7.3M	0.55	6.13	37,969	20,912	739,136	731,918