GDX Options History — July 2012

In July 2012, GDX traded between $40.70 and $46.45. ATM implied volatility averaged 33.5%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 0.9% (HV 20d: 32.6%). Max pain ranged from $42.50 to $46.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.80.

Notable Days

2012-07-12: Highest Volume — 106,421 contracts
2012-07-11: Largest IV drop — 18.0% change
2012-07-31: Highest IV Rank — 40.1%
2012-07-25: Largest Expected Move — 9.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.80	$40.70	$46.45	$44.76	$42.83
Max Pain	$43.79	$42.50	$46.00	$46.00	$42.50
ATM IV	33.5%	27.8%	42.4%	27.8%	42.4%
Expected Move	9.2%	8.3%	9.9%	8.5%	9.2%
HV 20d	32.6%	29.3%	34.8%	30.8%	30.8%
HV 60d	35.3%	34.3%	35.9%	34.3%	35.3%
IV Rank	20.8%	10.6%	40.1%	10.6%	40.1%
IV Percentile	40.6%	9.9%	85.7%	9.9%	85.7%
Term Structure	0.5%	-0.6%	2.0%	2.0%	-0.2%
VWIV	32.4%	29.5%	34.6%	31.2%	32.5%
Skew 25d	2.9%	1.5%	4.4%	4.2%	2.9%
Skew 10d	5.3%	1.9%	9.3%	8.1%	5.7%
Call IV 25d	31.1%	27.7%	33.5%	28.4%	31.1%
Put IV 25d	34.0%	31.4%	36.5%	32.6%	34.0%
Bid-Ask Spread %	6.69	4.14	10.62	7.54	10.53
Gamma HHI	0.05	0.05	0.06	0.06	0.05
Net GEX	-7.2M	-23.6M	10.0M	-2.3M	4.7M
Net DEX	560.8M	-19.6M	918.6M	314.3M	357.1M
Net VEX	-5.8M	-7.1M	-5.0M	-6.8M	-5.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.80	0.28	1.84	0.90	0.99
Total Volume	58,402.333	28,049	106,421	34,206	57,667
Total OI	1,142,165.19	1,004,951	1,248,988	1,092,054	1,109,013

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2012-07-02	$44.76	$46.00	27.8%	8.5%	30.8%	10.6%	31.2%	4.2%	2.0%	-2.3M	314.3M	-6.8M	0.90	7.54	18,016	16,190	559,881	532,173
2012-07-03	$46.45	$46.00	29.7%	8.4%	33.9%	14.7%	29.5%	4.4%	1.5%	10.0M	-19.6M	-7.1M	0.28	9.26	25,514	7,093	567,137	538,081
2012-07-05	$45.77	$46.00	31.4%	8.3%	34.2%	18.2%	30.0%	2.8%	1.6%	7.2M	115.1M	-6.8M	0.96	10.62	21,941	21,015	571,300	536,581
2012-07-06	$44.43	$45.50	31.4%	9.2%	33.6%	18.2%	32.0%	4.0%	0.4%	-8.1M	405.6M	-6.5M	1.07	4.14	31,085	33,395	578,729	548,008
2012-07-09	$44.25	$45.50	36.3%	9.4%	33.4%	26.9%	32.6%	3.3%	-0.0%	-8.9M	437.4M	-6.4M	0.79	5.62	27,562	21,849	575,132	551,865
2012-07-10	$42.87	$45.00	40.5%	9.7%	34.8%	35.9%	33.5%	3.2%	-0.0%	-17.4M	694.2M	-6.1M	0.74	7.34	31,903	23,642	591,472	561,419
2012-07-11	$41.97	$45.00	33.2%	9.8%	33.8%	19.7%	34.6%	3.6%	-0.1%	-22.8M	851.2M	-5.6M	0.64	5.65	54,836	34,973	600,606	569,084
2012-07-12	$41.71	$44.50	34.2%	9.8%	33.7%	21.9%	34.5%	3.2%	-0.6%	-23.6M	880.5M	-5.6M	1.32	5.07	45,799	60,622	622,073	580,948
2012-07-13	$42.31	$44.00	31.9%	9.1%	34.4%	16.7%	32.8%	3.8%	0.8%	-17.0M	758.5M	-5.7M	0.70	5.28	46,388	32,634	638,846	586,777
2012-07-16	$42.16	$44.00	33.1%	9.5%	34.3%	19.3%	32.9%	3.8%	0.0%	-16.7M	786.0M	-5.6M	1.84	4.86	18,587	34,141	635,430	586,455
2012-07-17	$41.70	$43.00	32.8%	9.4%	33.3%	18.8%	33.0%	2.8%	0.2%	-16.1M	847.6M	-5.3M	0.72	5.89	44,926	32,421	642,081	576,968
2012-07-18	$41.12	$42.50	31.4%	9.0%	33.3%	15.7%	32.3%	1.5%	1.2%	-16.7M	918.6M	-5.2M	0.56	6.25	30,195	16,968	659,412	584,940
2012-07-19	$41.59	$42.50	30.3%	8.7%	34.0%	13.3%	30.8%	1.6%	1.2%	-13.5M	852.6M	-5.3M	0.71	4.45	16,380	11,669	659,599	584,830
2012-07-20	$41.73	$42.50	30.7%	8.8%	29.3%	14.2%	30.9%	1.6%	0.4%	-9.0M	839.2M	-5.3M	0.68	4.20	30,025	20,276	663,008	585,980
2012-07-23	$40.70	$42.50	33.4%	9.6%	30.2%	20.0%	33.7%	2.9%	-0.1%	-9.4M	713.3M	-5.0M	0.86	6.18	33,365	28,787	541,243	463,708
2012-07-24	$40.72	$42.50	34.4%	9.9%	29.6%	22.4%	34.5%	3.4%	-0.5%	-9.1M	711.4M	-5.1M	0.86	6.55	24,441	21,067	559,434	479,451
2012-07-25	$41.96	$42.50	34.5%	9.9%	31.8%	22.5%	34.4%	2.6%	0.3%	-3.2M	509.3M	-5.6M	0.49	8.37	65,422	32,024	569,445	483,919
2012-07-26	$42.83	$42.50	32.0%	9.2%	32.9%	16.9%	32.2%	2.5%	0.8%	6.4M	324.1M	-5.9M	0.55	7.13	31,739	17,307	603,577	483,679
2012-07-27	$43.13	$42.50	33.2%	8.7%	32.1%	19.6%	30.7%	1.8%	1.1%	6.4M	266.2M	-6.0M	0.34	9.59	52,585	18,106	610,687	494,776
2012-07-30	$43.72	$42.50	38.1%	8.9%	30.0%	30.5%	31.4%	1.9%	0.1%	8.6M	213.8M	-6.0M	0.73	5.96	19,571	14,323	605,638	492,084
2012-07-31	$42.83	$42.50	42.4%	9.2%	30.8%	40.1%	32.5%	2.9%	-0.2%	4.7M	357.1M	-5.7M	0.99	10.53	29,028	28,639	616,487	492,526