GDX Options History — March 2012

In March 2012, GDX traded between $48.75 and $55.89. ATM implied volatility averaged 27.7%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 0.7% (HV 20d: 27.0%). Max pain ranged from $51.00 to $56.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.80.

Notable Days

  • 2012-03-12: Highest Volume — 139,770 contracts
  • 2012-03-07: Largest IV drop — 29.0% change
  • 2012-03-06: Highest IV Rank — 37.4%
  • 2012-03-06: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.20$48.75$55.89$55.89$49.54
Max Pain$53.52$51.00$56.00$55.50$51.00
ATM IV27.7%24.4%40.3%28.1%26.7%
Expected Move7.9%7.2%9.0%7.7%7.6%
HV 20d27.0%23.9%31.0%26.2%24.0%
HV 60d30.0%27.1%32.3%31.8%27.2%
IV Rank10.2%3.1%37.4%11.1%8.2%
IV Percentile13.2%2.0%81.7%11.9%8.7%
Term Structure1.7%0.8%2.9%1.0%1.4%
VWIV27.7%25.5%31.4%26.9%26.9%
Skew 25d2.1%1.4%2.8%1.4%2.1%
Skew 10d4.4%2.7%5.7%2.7%4.4%
Call IV 25d26.9%24.9%30.2%26.4%25.9%
Put IV 25d29.0%26.3%33.0%27.8%27.9%
Bid-Ask Spread %7.214.759.668.519.48
Gamma HHI0.110.070.530.080.07
Net GEX-10.2M-64.6M26.9M26.9M6.8M
Net DEX455.5M-265.0M990.5M-265.0M413.7M
Net VEX-6.8M-7.9M-6.2M-7.9M-7.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.382.160.580.61
Total Volume69,058.95537,733139,77045,06577,977
Total OI997,161.909763,9511,191,5031,028,1331,007,397

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-03-01$55.89$55.5028.1%7.7%26.2%11.1%26.9%1.4%1.0%26.9M-265.0M-7.9M0.588.5128,44316,622582,556445,577
2012-03-02$54.79$56.0027.0%7.5%26.3%8.8%26.3%2.2%1.6%11.5M22.0M-7.6M1.058.7534,05835,680587,348449,758
2012-03-05$53.62$56.0031.7%8.1%26.6%18.9%28.8%2.2%2.1%-3.7M250.3M-7.2M0.734.7536,86026,822576,756451,394
2012-03-06$52.47$56.0040.3%9.0%27.4%37.4%31.4%2.8%1.2%-13.2M466.6M-7.1M0.985.2053,99253,113590,840467,591
2012-03-07$52.67$56.0028.6%8.4%27.6%12.3%29.5%2.6%2.2%-13.1M436.1M-7.1M0.735.2533,68824,762595,970479,036
2012-03-08$53.32$55.0027.2%8.4%28.0%9.2%29.4%2.7%1.9%-7.6M310.1M-7.1M1.125.0424,37927,405596,703477,831
2012-03-09$53.24$55.0024.4%8.0%28.0%3.1%28.0%2.3%2.9%-10.6M333.4M-7.1M0.918.0719,80617,927607,206487,485
2012-03-12$52.37$55.0026.2%8.0%28.2%7.0%27.6%2.3%1.8%-22.0M528.1M-6.6M0.835.9876,24463,526597,750480,834
2012-03-13$52.11$55.0025.2%7.7%28.2%4.9%27.1%1.9%2.4%-25.3M575.6M-6.8M0.556.9432,18417,803617,190497,725
2012-03-14$50.12$53.0027.4%8.4%31.0%9.8%29.6%2.2%1.5%-32.1M933.8M-6.3M0.996.5756,44456,141629,943497,973
2012-03-15$50.14$53.0028.3%8.1%31.0%11.5%28.0%2.7%2.7%-32.4M905.7M-6.5M1.007.0828,82328,816658,387516,583
2012-03-16$49.93$53.0026.7%7.7%29.1%8.2%26.6%2.3%2.4%-64.6M990.5M-6.3M2.167.9822,48148,571670,533520,970
2012-03-19$49.60$52.0025.2%7.2%28.9%5.0%25.5%1.4%0.9%-10.2M503.7M-6.2M0.538.8232,56517,403414,379349,572
2012-03-20$49.86$52.0026.5%7.6%26.1%7.6%26.7%1.4%0.8%-7.8M452.1M-6.5M0.579.6646,91126,710429,474359,551
2012-03-21$49.76$52.0025.8%7.4%24.6%6.1%26.2%2.1%1.7%-5.6M458.9M-6.6M0.799.2131,32524,833450,948369,017
2012-03-22$48.75$52.0027.8%8.0%24.5%10.6%28.3%1.7%1.6%-12.7M604.7M-6.3M0.647.2346,01329,245466,782383,370
2012-03-23$49.76$52.0026.7%7.6%26.4%8.1%27.1%2.2%2.2%-3.4M433.2M-6.7M0.395.9553,60120,985491,167395,392
2012-03-26$50.63$52.0026.6%7.6%27.7%7.9%26.9%1.7%1.5%4.6M235.7M-7.2M0.386.6343,69716,553507,839392,064
2012-03-27$49.91$52.0026.3%7.5%25.9%7.4%26.7%1.6%1.9%1.6M361.6M-6.9M0.677.6029,45719,615525,150396,669
2012-03-28$48.93$52.0027.7%7.9%24.3%10.4%27.8%2.5%1.7%-5.8M551.7M-6.7M0.866.8334,90229,898534,084406,781
2012-03-29$49.06$52.0028.4%8.1%23.9%11.8%28.3%2.6%0.9%-5.7M518.8M-6.9M0.567.1146,73026,287550,838423,149
2012-03-30$49.54$51.0026.7%7.6%24.0%8.2%26.9%2.1%1.4%6.8M413.7M-7.1M0.619.4848,32629,651571,949435,448