GDX Options History — June 2012

In June 2012, GDX traded between $43.31 and $47.73. ATM implied volatility averaged 35.4%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 2.7% (HV 20d: 38.1%). Max pain ranged from $44.00 to $47.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.87.

Notable Days

  • 2012-06-12: Highest Volume — 175,369 contracts
  • 2012-06-06: Largest IV drop — 16.7% change
  • 2012-06-04: Highest IV Rank — 48.3%
  • 2012-06-05: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.12$43.31$47.73$46.58$44.77
Max Pain$45.95$44.00$47.00$47.00$46.00
ATM IV35.4%28.5%45.4%42.0%28.5%
Expected Move10.1%8.7%11.1%11.1%8.9%
HV 20d38.1%31.6%43.5%43.3%31.6%
HV 60d34.4%33.8%35.3%34.0%34.4%
IV Rank27.0%12.1%48.3%41.1%12.1%
IV Percentile52.1%14.7%91.7%85.7%14.7%
Term Structure0.9%-0.2%1.8%0.2%1.0%
VWIV35.8%31.0%39.9%39.3%31.8%
Skew 25d3.9%2.0%5.3%3.6%3.6%
Skew 10d7.5%4.1%10.7%7.4%7.5%
Call IV 25d34.0%30.1%37.5%37.5%30.1%
Put IV 25d37.8%32.2%41.7%41.1%33.7%
Bid-Ask Spread %5.913.698.898.608.89
Gamma HHI0.090.050.610.060.05
Net GEX13.7M-16.4M113.2M18.3M-3.5M
Net DEX108.3M-232.1M556.7M-85.6M293.5M
Net VEX-7.4M-7.9M-6.7M-7.8M-6.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.441.980.440.72
Total Volume90,126.57146,171175,369151,51454,507
Total OI1,212,099.81917,4271,468,0821,287,7961,112,813

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-06-01$46.58$47.0042.0%11.1%43.3%41.1%39.3%3.6%0.2%18.3M-85.6M-7.8M0.448.60105,35846,156737,296550,500
2012-06-04$47.33$44.0045.4%11.1%43.5%48.3%39.2%5.2%1.1%20.9M-184.9M-7.8M0.816.4752,12141,980744,614546,265
2012-06-05$47.53$44.5044.6%11.1%43.3%46.6%38.6%4.8%0.4%20.2M-232.1M-7.9M0.717.4472,10950,886754,037560,971
2012-06-06$47.62$45.5037.1%11.0%40.8%30.6%38.3%5.3%-0.2%22.2M-230.9M-7.9M0.805.0569,07155,591768,321576,778
2012-06-07$45.99$46.0037.6%11.0%42.9%31.6%39.9%4.8%-0.2%14.0M180.0M-7.4M1.985.3052,950104,943774,149574,602
2012-06-08$46.33$46.0034.8%10.4%42.9%25.7%36.9%4.5%1.6%17.7M142.7M-7.6M0.745.2638,55528,344782,132625,777
2012-06-11$45.66$46.0038.0%10.8%42.8%32.5%37.3%3.7%0.9%14.2M296.8M-7.2M0.904.4634,40131,092770,391610,410
2012-06-12$46.76$46.0034.5%10.6%40.8%24.9%37.3%4.0%0.9%20.3M51.2M-7.4M0.814.5596,81378,556776,216619,087
2012-06-13$46.79$46.0033.2%10.9%37.0%22.1%38.1%4.1%0.3%24.9M18.8M-7.8M1.123.6926,13129,320801,078644,469
2012-06-14$46.93$46.0037.0%10.6%37.0%30.4%37.0%3.7%0.7%30.3M2.8M-7.6M0.714.6038,43027,330803,635652,184
2012-06-15$46.92$46.0035.9%10.3%34.6%27.9%36.7%4.2%1.1%113.2M15.5M-7.5M0.604.2354,34332,617807,256660,826
2012-06-18$47.73$46.0033.1%9.5%34.8%21.9%33.2%2.6%0.6%8.3M-123.1M-7.4M0.585.7145,84826,760471,076446,351
2012-06-19$47.68$46.0032.0%9.2%33.5%19.6%32.9%3.6%0.9%9.0M-126.5M-7.5M0.574.4141,32323,717490,157457,000
2012-06-20$47.27$46.5030.4%8.7%33.4%16.1%31.0%2.0%1.7%6.0M-54.8M-7.5M1.087.1559,53764,053512,564470,642
2012-06-21$44.82$46.5033.4%9.6%36.2%22.5%34.3%3.9%1.6%-9.5M347.4M-7.1M1.736.6827,19247,087536,255498,221
2012-06-22$44.58$46.5032.9%9.4%36.2%21.5%33.8%3.3%1.8%-16.4M405.9M-7.1M0.605.4646,63927,941541,464515,125
2012-06-25$45.16$46.5034.4%9.9%36.5%24.7%34.7%3.2%1.1%-1.0M243.4M-7.2M0.937.1829,77827,653524,784496,739
2012-06-26$44.45$46.0033.3%9.5%36.3%22.4%33.7%3.4%1.0%-5.5M365.1M-7.0M0.985.8638,84938,225536,783510,003
2012-06-27$44.28$46.0032.1%9.2%36.3%19.8%32.5%3.5%1.4%-5.9M392.1M-7.0M0.586.8829,14817,023560,340528,036
2012-06-28$43.31$46.0033.9%9.7%37.0%23.7%35.2%4.2%0.8%-9.9M556.7M-6.7M0.986.2140,59739,684569,575535,174
2012-06-29$44.77$46.0028.5%8.9%31.6%12.1%31.8%3.6%1.0%-3.5M293.5M-6.9M0.728.8931,78122,726566,224546,589