GDX Options History — January 2012

In January 2012, GDX traded between $51.82 and $57.14. ATM implied volatility averaged 31.6%, placing in the 18.7% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 2.2% (HV 20d: 33.8%). Max pain ranged from $52.00 to $57.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.72.

Notable Days

  • 2012-01-26: Highest Volume — 183,413 contracts
  • 2012-01-11: Largest IV drop — 12.6% change
  • 2012-01-04: Highest IV Rank — 28.4%
  • 2012-01-06: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.13$51.82$57.14$53.80$56.46
Max Pain$52.90$52.00$57.00$57.00$53.00
ATM IV31.6%28.0%36.1%34.7%35.9%
Expected Move8.7%8.0%9.5%9.0%8.7%
HV 20d33.8%27.2%38.7%38.7%33.7%
HV 60d38.2%35.9%40.6%40.6%37.6%
IV Rank18.7%11.0%28.4%25.4%27.9%
IV Percentile38.0%12.3%61.1%57.1%60.3%
Term Structure1.3%-0.4%2.8%2.6%0.8%
VWIV30.9%28.2%33.1%32.2%30.3%
Skew 25d3.1%1.3%4.8%3.6%2.6%
Skew 10d6.1%2.3%9.7%7.1%5.5%
Call IV 25d29.3%27.2%31.2%30.2%29.2%
Put IV 25d32.4%29.2%34.7%33.8%31.8%
Bid-Ask Spread %7.294.6110.869.298.49
Gamma HHI0.110.070.170.120.07
Net GEX-1.2M-22.1M34.0M-10.3M27.4M
Net DEX194.9M-760.6M842.3M411.2M-574.6M
Net VEX-6.6M-7.4M-5.6M-7.3M-7.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.331.430.490.36
Total Volume66,581.920,218183,41372,044124,069
Total OI1,226,746.15663,7201,505,6151,458,204798,238

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-01-03$53.80$57.0034.7%9.0%38.7%25.4%32.2%3.6%2.6%-10.3M411.2M-7.3M0.499.2948,47323,571736,159722,045
2012-01-04$53.74$57.0036.1%8.8%38.7%28.4%31.6%2.7%2.8%-8.6M396.8M-7.4M0.6010.0031,43818,853744,538720,638
2012-01-05$53.90$57.0032.4%8.8%37.7%20.5%30.5%2.3%2.6%-7.4M362.6M-7.3M0.6010.8635,69221,501750,117727,029
2012-01-06$53.35$52.0030.3%9.5%37.8%15.9%33.1%3.5%0.7%-12.6M504.0M-7.2M0.496.2218,2728,976757,278736,895
2012-01-09$53.65$52.0032.6%9.1%36.8%21.0%32.8%3.8%0.9%-11.9M501.7M-7.0M1.226.739,11411,104747,981734,328
2012-01-10$54.47$52.0033.3%9.0%37.1%22.3%31.8%3.8%0.5%-5.5M277.4M-7.0M0.926.9726,71824,643751,059737,911
2012-01-11$54.31$52.0029.1%9.1%35.0%13.3%31.6%3.8%0.8%-7.0M324.6M-6.9M0.507.3316,6528,374756,458744,841
2012-01-12$54.72$52.0030.8%8.8%33.2%16.9%32.1%4.0%1.4%-1.3M207.3M-6.8M0.997.4634,28234,099759,052746,563
2012-01-13$54.05$52.0030.1%8.6%31.4%15.5%31.3%4.8%1.8%-14.2M431.7M-6.5M1.436.6316,55223,601750,813732,586
2012-01-17$53.18$52.0031.6%9.0%31.6%18.6%31.8%3.8%0.9%-17.8M682.9M-6.0M0.514.6225,29612,891745,818732,286
2012-01-18$53.24$52.0031.0%8.9%30.9%17.4%31.1%4.0%1.0%-10.4M634.6M-5.8M0.894.6119,81817,701746,235731,545
2012-01-19$52.15$52.0030.4%8.7%30.0%16.2%30.4%3.3%1.5%-22.0M842.3M-5.6M0.945.1035,93033,785752,741728,745
2012-01-20$52.18$52.0028.4%8.2%27.2%11.9%28.6%2.5%2.3%-22.1M827.2M-5.6M0.737.0545,42732,959762,463739,180
2012-01-23$53.01$52.0028.4%8.1%27.8%11.8%28.5%2.6%1.4%4.5M34.0M-5.7M1.075.6333,43235,614348,177315,543
2012-01-24$51.82$52.0028.0%8.0%28.7%11.0%28.2%1.7%1.6%-527.3K199.3M-5.9M0.619.1420,86412,730368,489339,885
2012-01-25$55.23$52.0031.3%9.0%36.7%18.0%31.2%2.6%-0.4%13.1M-320.3M-6.4M0.377.07109,31940,951376,018342,486
2012-01-26$55.76$52.0030.3%8.7%36.0%15.8%31.0%2.6%0.8%23.0M-493.8M-6.9M0.698.32108,71374,700423,518354,353
2012-01-27$57.14$53.0031.8%8.4%33.5%19.1%29.8%1.3%1.0%34.0M-760.6M-6.9M0.336.7676,17025,401444,955338,164
2012-01-30$56.46$53.0035.2%8.6%33.6%26.4%30.9%2.3%1.3%26.3M-590.2M-7.1M0.717.6019,84914,104445,850343,943
2012-01-31$56.46$53.0035.9%8.7%33.7%27.9%30.3%2.6%0.8%27.4M-574.6M-7.2M0.368.4991,32032,749451,023347,215