GDX Options History — May 2012

In May 2012, GDX traded between $39.34 and $46.44. ATM implied volatility averaged 37.3%, placing in the 31.0% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 4.4% (HV 20d: 32.9%). Max pain ranged from $46.00 to $50.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.68.

Notable Days

  • 2012-05-17: Highest Volume — 214,905 contracts
  • 2012-05-29: Largest IV spike — 32.4% change
  • 2012-05-30: Highest IV Rank — 54.9%
  • 2012-05-17: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.13$39.34$46.44$46.44$43.78
Max Pain$47.82$46.00$50.00$46.00$47.00
ATM IV37.3%31.5%48.4%31.5%40.8%
Expected Move10.1%7.7%12.2%8.2%10.8%
HV 20d32.9%26.4%40.1%29.5%39.8%
HV 60d29.6%26.5%32.3%26.5%31.3%
IV Rank31.0%18.6%54.9%18.6%38.5%
IV Percentile65.2%37.7%94.8%37.7%81.7%
Term Structure0.2%-2.7%2.3%1.1%0.4%
VWIV35.5%27.5%40.3%29.0%39.3%
Skew 25d3.8%1.5%6.5%2.6%6.5%
Skew 10d7.2%3.0%14.0%4.5%14.0%
Call IV 25d34.0%27.3%39.8%27.6%35.6%
Put IV 25d37.8%29.1%44.6%30.2%42.2%
Bid-Ask Spread %7.964.979.719.717.92
Gamma HHI0.080.050.140.050.06
Net GEX656.2K-13.5M20.8M7.6M7.9M
Net DEX744.6M248.1M1.24B441.4M546.8M
Net VEX-6.0M-7.7M-4.5M-6.1M-6.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.421.210.720.77
Total Volume88,688.36424,108214,90524,10851,314
Total OI1,225,850.6361,067,3871,424,1371,067,3871,279,387

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-05-01$46.44$46.0031.5%8.2%29.5%18.6%29.0%2.6%1.1%7.6M441.4M-6.1M0.729.7114,03610,072636,021431,366
2012-05-02$45.66$46.0032.3%7.7%27.9%20.2%27.5%1.9%1.9%-90.6K604.4M-5.7M0.669.5922,17514,562635,309434,851
2012-05-03$43.88$46.0031.8%8.6%27.3%19.1%30.3%3.8%0.3%-10.6M896.3M-4.9M0.438.0597,82041,764633,843434,469
2012-05-04$44.05$50.0032.2%9.0%27.3%20.1%31.4%2.0%1.0%-13.5M803.8M-5.4M0.797.1646,36936,841665,767453,778
2012-05-07$43.67$50.0036.3%8.9%27.2%28.9%31.7%2.5%0.9%-6.2M874.0M-5.2M1.119.4931,50135,066678,388455,120
2012-05-08$42.17$50.0041.2%9.6%28.8%39.3%33.9%1.8%0.3%-9.1M1.02B-4.9M0.708.2163,24444,134697,839466,535
2012-05-09$43.02$50.0036.1%10.0%30.0%28.5%35.0%1.5%-0.9%-5.1M885.5M-5.6M0.566.9575,80342,088720,451483,839
2012-05-10$43.09$49.0032.6%9.4%26.4%20.9%33.0%1.5%0.9%3.7K824.1M-5.7M0.565.6953,89830,102753,406493,937
2012-05-11$42.42$49.0033.5%9.6%26.4%22.7%33.0%2.2%0.6%-3.9M944.6M-5.6M0.646.4529,67418,937776,151509,726
2012-05-14$40.97$49.0037.3%10.7%28.1%30.9%37.2%3.0%-1.0%-7.2M1.11B-5.0M0.584.9740,75723,586772,087505,727
2012-05-15$39.34$48.0040.2%11.5%29.8%37.3%39.8%3.5%-1.9%-8.6M1.24B-4.5M0.696.6457,25239,442780,183509,722
2012-05-16$39.56$48.0040.3%11.6%30.2%37.5%40.3%5.3%-1.3%-6.7M1.19B-4.7M0.608.4788,85553,615796,625510,287
2012-05-17$41.34$48.0042.4%12.2%35.4%42.1%39.5%4.9%-2.7%-853.6K916.9M-5.8M1.218.1397,268117,637817,643524,165
2012-05-18$41.62$47.0040.1%11.5%35.7%36.9%39.7%4.1%0.4%-3.3M936.3M-6.6M0.587.2066,96639,099849,438574,699
2012-05-21$43.01$47.0036.9%10.6%37.4%30.0%37.1%5.0%0.5%5.2M620.8M-6.7M0.946.8229,16327,555684,279498,860
2012-05-22$42.54$47.0036.6%10.5%37.4%29.5%36.6%4.9%0.3%3.4M691.7M-6.6M0.749.0146,37334,266691,803513,654
2012-05-23$44.44$47.0037.7%10.8%39.8%31.8%38.2%5.8%0.2%9.9M406.3M-7.4M0.469.23101,96147,401703,635526,474
2012-05-24$44.63$47.0036.1%10.4%39.9%28.4%36.6%5.8%1.3%14.6M280.8M-7.6M0.478.8668,40731,928732,209541,871
2012-05-25$44.91$47.0032.7%9.9%39.7%21.1%35.4%4.9%2.3%20.8M248.1M-7.7M0.428.2430,60412,910729,204550,199
2012-05-29$44.09$47.0043.4%10.4%40.0%44.0%36.2%5.0%0.5%10.2M468.8M-7.0M0.699.5236,54825,343722,064530,532
2012-05-30$44.24$47.0048.4%11.2%40.1%54.9%40.0%5.8%-0.8%10.0M435.7M-7.1M0.598.8747,16027,648727,344535,827
2012-05-31$43.78$47.0040.8%10.8%39.8%38.5%39.3%6.5%0.4%7.9M546.8M-6.9M0.777.9228,94322,371732,988546,399