GDX Options History — February 2012

In February 2012, GDX traded between $53.56 and $57.47. ATM implied volatility averaged 30.2%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 1.1% (HV 20d: 29.2%). Max pain ranged from $53.00 to $56.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.72.

Notable Days

  • 2012-02-21: Highest Volume — 132,730 contracts
  • 2012-02-27: Largest IV spike — 19.7% change
  • 2012-02-29: Highest IV Rank — 31.6%
  • 2012-02-03: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.69$53.56$57.47$56.56$55.40
Max Pain$55.33$53.00$56.00$53.00$55.50
ATM IV30.2%26.1%37.6%35.0%37.6%
Expected Move8.3%7.7%8.9%8.2%8.5%
HV 20d29.2%21.7%32.7%30.1%26.0%
HV 60d35.1%31.8%37.2%37.1%32.5%
IV Rank15.8%6.9%31.6%26.0%31.6%
IV Percentile29.2%3.2%67.9%57.9%67.9%
Term Structure1.5%0.1%2.9%1.3%0.1%
VWIV29.2%27.0%31.2%29.1%30.2%
Skew 25d1.9%0.0%3.6%1.4%1.8%
Skew 10d4.2%1.1%8.4%2.8%3.6%
Call IV 25d28.3%26.3%30.2%28.2%29.3%
Put IV 25d30.2%27.6%32.6%29.6%31.1%
Bid-Ask Spread %7.755.6710.377.169.51
Gamma HHI0.060.050.080.070.07
Net GEX20.7M2.1M38.8M24.7M20.8M
Net DEX-290.1M-698.5M142.0M-515.6M-165.1M
Net VEX-7.5M-8.0M-7.0M-7.0M-7.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.361.340.530.77
Total Volume70,069.532,199132,73097,009123,796
Total OI935,408.6798,7071,009,217798,707995,315

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-02-01$56.56$53.0035.0%8.2%30.1%26.0%29.1%1.4%1.3%24.7M-515.6M-7.0M0.537.1663,32933,680441,998356,709
2012-02-02$57.47$53.0028.6%7.9%30.4%12.3%27.6%1.7%2.1%31.6M-698.5M-7.5M1.347.2930,37040,594472,259371,797
2012-02-03$56.44$56.0029.8%8.9%31.4%14.9%31.1%2.2%1.6%24.4M-481.0M-7.7M0.997.1044,03043,596494,419398,855
2012-02-06$56.18$56.0033.0%8.6%31.1%21.8%30.9%2.1%1.4%21.4M-418.0M-7.7M0.837.1535,71029,605499,026405,213
2012-02-07$55.88$56.0032.8%8.4%31.2%21.4%29.8%1.9%1.9%18.3M-339.5M-7.9M0.836.7230,88825,557517,673422,303
2012-02-08$55.54$56.0028.7%8.4%30.9%12.4%29.5%2.0%2.4%16.8M-264.1M-7.8M0.575.8920,54211,657524,895423,614
2012-02-09$55.25$56.0028.9%8.3%31.0%13.0%29.3%1.7%2.7%15.7M-230.5M-7.7M0.697.4025,37417,520530,957426,663
2012-02-10$54.49$56.0030.7%8.8%31.3%16.7%30.7%2.1%2.2%11.0M-48.9M-7.6M0.686.2533,87023,079535,887429,380
2012-02-13$54.30$56.0029.7%8.5%31.0%14.6%30.1%2.2%2.1%8.7M-10.8M-7.3M0.768.2027,49821,020533,195424,065
2012-02-14$53.77$56.0030.1%8.6%30.6%15.5%30.8%2.2%1.7%3.1M110.0M-7.1M0.705.6729,86920,859531,378429,999
2012-02-15$53.56$56.0030.6%8.8%30.7%16.5%31.2%2.4%2.0%2.1M142.0M-7.0M0.837.6421,61217,947533,448434,069
2012-02-16$54.95$56.0029.9%8.6%30.9%15.1%30.3%3.6%1.5%17.1M-169.8M-7.2M0.385.7080,28030,887539,601438,077
2012-02-17$54.15$55.0027.4%7.9%31.5%9.7%28.0%2.1%2.9%14.2M-22.8M-7.0M0.717.7730,86021,875564,472444,745
2012-02-21$55.82$55.0026.8%7.7%32.7%8.4%27.0%1.6%1.2%22.1M-266.4M-7.1M0.708.0778,04054,690488,955380,770
2012-02-22$56.83$55.0027.7%7.9%31.7%10.3%28.2%2.4%0.3%33.3M-506.2M-7.6M0.708.5539,43127,584523,673399,593
2012-02-23$57.26$55.0026.9%7.7%22.9%8.6%27.1%1.8%0.8%36.5M-591.2M-7.8M0.7710.3744,39434,327526,136404,797
2012-02-24$56.46$55.0026.1%7.7%23.4%6.9%27.3%1.1%1.0%27.8M-401.9M-7.7M0.6210.2136,00022,468531,984417,018
2012-02-27$56.06$55.0031.2%7.9%21.7%17.9%27.7%1.6%0.5%25.8M-308.2M-7.7M0.618.9221,26213,035534,088418,799
2012-02-28$57.33$55.0033.0%8.2%22.8%21.8%29.0%0.0%0.8%38.8M-615.2M-8.0M0.369.4869,51124,744539,259423,088
2012-02-29$55.40$55.5037.6%8.5%26.0%31.6%30.2%1.8%0.1%20.8M-165.1M-7.8M0.779.5169,90053,896563,905431,410