GDX Options History — April 2012

In April 2012, GDX traded between $45.04 and $50.39. ATM implied volatility averaged 32.0%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 2.5% (HV 20d: 29.5%). Max pain ranged from $46.00 to $51.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.62.

Notable Days

  • 2012-04-23: Highest Volume — 129,128 contracts
  • 2012-04-30: Largest IV spike — 25.3% change
  • 2012-04-10: Highest IV Rank — 34.0%
  • 2012-04-23: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.84$45.04$50.39$50.39$46.39
Max Pain$47.65$46.00$51.00$51.00$46.00
ATM IV32.0%26.7%38.7%30.1%33.5%
Expected Move8.8%7.4%9.7%7.4%8.7%
HV 20d29.5%24.4%31.1%24.4%30.4%
HV 60d28.4%26.1%30.3%27.4%26.6%
IV Rank19.7%8.2%34.0%15.6%22.8%
IV Percentile40.9%7.5%73.0%32.1%50.0%
Term Structure0.3%-1.0%2.2%1.9%0.4%
VWIV30.7%26.0%34.1%26.0%30.6%
Skew 25d2.8%0.7%4.2%1.1%2.3%
Skew 10d5.5%1.7%7.9%2.7%4.8%
Call IV 25d29.6%25.6%33.4%25.6%29.2%
Put IV 25d32.4%26.7%35.5%26.7%31.6%
Bid-Ask Spread %7.244.5510.389.3710.15
Gamma HHI0.090.040.430.070.06
Net GEX-5.6M-48.2M18.0M7.7M5.6M
Net DEX690.7M227.3M1.02B227.3M464.2M
Net VEX-6.1M-7.3M-5.7M-7.3M-6.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.301.200.380.65
Total Volume79,024.9542,431129,12865,66342,431
Total OI1,088,496.45933,1271,198,9211,017,9761,056,845

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-04-02$50.39$51.0030.1%7.4%24.4%15.6%26.0%1.1%1.9%7.7M227.3M-7.3M0.389.3747,61118,052575,440442,536
2012-04-03$48.75$51.0032.2%7.7%25.8%19.9%27.1%1.3%2.2%-4.8M582.1M-6.7M0.959.8954,83851,879589,050446,494
2012-04-04$46.70$51.0036.2%8.8%29.1%28.7%30.2%3.8%0.7%-18.2M992.9M-5.9M0.587.2172,85942,291599,815465,275
2012-04-05$46.20$50.0028.3%8.3%28.4%11.7%28.3%3.1%1.7%-22.6M1.02B-5.8M0.576.4453,99730,999618,627462,512
2012-04-09$46.48$49.0035.2%9.1%28.7%26.5%31.0%3.6%0.1%-13.6M915.0M-5.8M0.584.6829,32116,938617,791451,385
2012-04-10$47.04$49.0038.7%9.5%29.2%34.0%33.5%4.1%-0.2%-9.6M803.5M-6.1M0.345.7076,60325,730630,137455,137
2012-04-11$46.49$47.0033.3%9.6%29.3%22.3%32.8%3.8%-0.4%-5.8M854.4M-5.9M0.464.5531,23414,479658,666458,480
2012-04-12$48.16$46.0031.2%9.0%30.0%17.9%30.7%3.9%-0.4%4.1M492.6M-6.5M0.304.6756,48917,149671,068462,970
2012-04-13$47.50$47.0031.6%9.1%30.2%18.8%30.8%4.2%-0.2%5.0M640.8M-6.4M0.576.1147,36526,924677,820463,805
2012-04-16$46.64$47.0032.1%9.2%30.7%19.9%32.4%3.9%-0.0%-11.1M850.4M-6.0M1.206.0432,55339,179672,390462,726
2012-04-17$47.13$47.0032.1%9.2%31.1%19.8%31.6%3.0%-0.9%-11.6M788.5M-6.1M0.756.1738,35628,788673,310476,424
2012-04-18$46.63$47.0031.9%9.1%31.1%19.4%32.0%2.7%-0.8%-14.0M886.6M-5.9M1.025.6832,73833,231684,367479,913
2012-04-19$46.61$47.0031.6%9.1%31.1%18.8%31.9%2.0%-0.5%-14.1M895.1M-5.9M1.099.3726,31628,662695,839489,634
2012-04-20$46.12$47.0030.6%8.8%30.5%16.7%31.3%0.7%1.1%-48.2M964.8M-5.8M0.556.3873,10039,907701,832497,089
2012-04-23$45.04$47.0034.0%9.7%30.1%23.8%34.1%1.7%-1.0%-2.7M645.0M-5.7M0.435.9089,99439,134547,876385,251
2012-04-24$45.14$46.0031.7%9.1%29.1%19.0%31.9%2.5%-0.2%1.2M637.7M-5.7M0.678.2946,24830,860601,986399,019
2012-04-25$46.29$46.0031.2%8.9%30.9%17.8%30.9%3.3%0.2%10.6M436.4M-6.2M0.418.0277,65331,662608,554418,178
2012-04-26$46.25$46.0028.4%8.1%30.3%11.8%29.1%2.5%1.0%18.0M425.4M-6.2M0.6810.3842,32028,574644,761432,400
2012-04-27$46.80$46.0026.7%7.9%30.7%8.2%27.6%2.5%1.5%12.5M296.7M-6.3M0.319.7149,00715,028651,829442,698
2012-04-30$46.39$46.0033.5%8.7%30.4%22.8%30.6%2.3%0.4%5.6M464.2M-6.1M0.6510.1525,74316,688626,648430,197