GDX Options History — August 2012

In August 2012, GDX traded between $42.04 and $47.94. ATM implied volatility averaged 28.7%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 4.6% (HV 20d: 24.1%). Max pain ranged from $42.50 to $45.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.59.

Notable Days

2012-08-01: Highest Volume — 139,690 contracts
2012-08-02: Largest IV drop — 25.3% change
2012-08-01: Highest IV Rank — 49.3%
2012-08-02: Largest Expected Move — 9.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.24	$42.04	$47.94	$42.25	$47.94
Max Pain	$44.67	$42.50	$45.00	$42.50	$45.00
ATM IV	28.7%	22.7%	46.6%	46.6%	28.1%
Expected Move	8.2%	7.4%	9.5%	9.5%	8.3%
HV 20d	24.1%	21.1%	27.6%	27.3%	24.4%
HV 60d	31.6%	28.1%	35.3%	35.3%	28.5%
IV Rank	11.7%	0.0%	49.3%	49.3%	11.6%
IV Percentile	17.3%	0.0%	92.9%	92.9%	16.3%
Term Structure	1.8%	-0.5%	4.2%	-0.5%	1.3%
VWIV	29.1%	26.4%	33.6%	33.6%	29.2%
Skew 25d	2.7%	1.2%	4.4%	2.8%	2.8%
Skew 10d	5.2%	2.3%	8.0%	4.8%	5.1%
Call IV 25d	27.8%	25.3%	32.4%	32.0%	27.9%
Put IV 25d	30.5%	27.1%	35.1%	34.8%	30.7%
Bid-Ask Spread %	9.87	5.47	47.12	12.34	8.90
Gamma HHI	0.06	0.04	0.12	0.04	0.12
Net GEX	14.6M	-3.3M	39.9M	-2.3M	39.9M
Net DEX	-10.1M	-493.0M	515.7M	488.6M	-493.0M
Net VEX	-6.2M	-6.8M	-5.6M	-5.6M	-6.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.59	0.38	1.12	0.80	0.38
Total Volume	55,771.13	26,848	139,690	139,690	96,726
Total OI	1,175,241.304	1,079,148	1,262,601	1,138,767	1,203,534

Daily Data (23 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
2012-08-01	$42.25	$42.50	46.6%	9.5%	27.3%	49.3%	33.6%	2.8%	-0.5%	-2.3M	488.6M	-5.6M	0.80	12.34	77,657	62,033	624,687	514,080
2012-08-02	$42.04	$42.50	34.8%	9.5%	27.1%	23.2%	33.2%	2.7%	0.1%	-3.3M	515.7M	-5.7M	0.66	9.16	29,685	19,478	649,056	538,920
2012-08-03	$42.86	$42.50	28.1%	8.6%	26.5%	8.3%	30.5%	2.3%	1.3%	5.7M	370.1M	-5.6M	0.66	10.25	25,700	16,849	652,712	541,945
2012-08-06	$43.73	$45.00	34.8%	8.9%	27.6%	23.1%	31.0%	3.6%	1.2%	8.0M	215.0M	-5.8M	0.41	7.35	30,696	12,478	626,334	524,283
2012-08-07	$44.23	$45.00	33.3%	8.7%	25.3%	19.9%	30.7%	3.8%	1.9%	13.2M	111.3M	-6.0M	0.43	6.35	43,126	18,675	639,098	526,876
2012-08-08	$43.99	$45.00	28.5%	8.6%	24.0%	9.3%	30.0%	3.9%	1.8%	12.0M	145.5M	-6.0M	0.43	8.60	43,346	18,628	664,422	530,960
2012-08-09	$44.56	$45.00	27.1%	8.4%	24.1%	6.1%	29.2%	4.1%	1.5%	16.1M	36.5M	-6.3M	0.39	7.10	42,306	16,294	681,331	536,887
2012-08-10	$44.85	$45.00	24.2%	8.0%	23.8%	0.0%	28.3%	4.0%	2.7%	22.1M	-33.5M	-6.4M	0.72	6.28	15,624	11,224	697,516	540,914
2012-08-13	$44.24	$45.00	27.1%	8.3%	24.4%	6.6%	29.1%	4.4%	2.1%	12.4M	116.8M	-6.1M	0.77	6.84	24,307	18,654	690,447	536,607
2012-08-14	$43.93	$45.00	25.1%	8.2%	24.1%	2.0%	29.6%	3.8%	2.3%	7.9M	186.0M	-5.9M	0.57	7.22	25,040	14,399	690,800	542,349
2012-08-15	$44.15	$45.00	22.7%	8.0%	23.3%	0.0%	28.0%	3.6%	2.6%	8.6M	161.7M	-5.8M	0.59	7.53	21,110	12,413	690,287	545,854
2012-08-16	$45.65	$45.00	27.8%	8.0%	25.5%	10.8%	28.1%	3.3%	2.9%	27.5M	-191.2M	-6.3M	0.55	7.76	39,906	21,825	693,531	548,369
2012-08-17	$45.34	$45.00	26.2%	7.5%	25.8%	7.5%	27.7%	2.8%	4.2%	21.0M	-126.6M	-6.2M	0.48	8.48	33,069	15,760	705,747	556,854
2012-08-20	$45.62	$45.00	25.7%	7.4%	23.4%	6.3%	26.4%	1.8%	2.3%	8.2M	-1.4M	-6.2M	0.73	5.47	27,755	20,315	607,517	471,631
2012-08-21	$46.38	$45.00	26.2%	7.5%	23.7%	7.5%	27.5%	1.9%	1.3%	13.8M	-137.6M	-6.4M	1.12	9.42	50,025	56,215	618,234	481,655
2012-08-22	$47.50	$45.00	27.5%	7.9%	22.9%	10.2%	27.8%	1.5%	1.1%	19.5M	-342.3M	-6.6M	0.61	47.12	34,059	20,668	629,140	480,416
2012-08-23	$47.42	$45.00	27.9%	8.0%	22.5%	11.2%	28.2%	1.3%	1.4%	21.1M	-337.7M	-6.7M	0.54	8.15	31,637	17,076	634,153	485,426
2012-08-24	$47.57	$45.00	26.8%	7.7%	22.4%	8.7%	27.5%	1.2%	2.1%	21.0M	-352.3M	-6.8M	0.48	8.78	28,165	13,607	639,117	491,476
2012-08-27	$46.90	$45.00	27.8%	8.0%	23.2%	10.8%	28.0%	1.3%	1.5%	16.0M	-208.1M	-6.5M	0.41	8.20	21,399	8,701	636,202	484,003
2012-08-28	$46.85	$45.00	28.1%	8.0%	21.5%	11.4%	28.3%	1.5%	1.9%	18.0M	-205.7M	-6.5M	0.38	8.18	43,815	16,744	647,921	488,039
2012-08-29	$46.39	$45.00	27.7%	7.9%	21.1%	10.7%	27.8%	2.0%	1.8%	16.4M	-104.8M	-6.4M	0.62	8.74	21,920	13,697	669,404	495,052
2012-08-30	$46.02	$45.00	29.1%	8.3%	21.3%	13.7%	29.2%	2.3%	1.8%	13.2M	-45.1M	-6.4M	0.94	8.79	25,768	24,162	676,248	500,516
2012-08-31	$47.94	$45.00	28.1%	8.3%	24.4%	11.6%	29.2%	2.8%	1.3%	39.9M	-493.0M	-6.7M	0.38	8.90	69,867	26,859	690,994	512,540