GDX Options History — September 2012

In September 2012, GDX traded between $47.77 and $54.81. ATM implied volatility averaged 31.8%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 3.3% (HV 20d: 28.5%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.66.

Notable Days

  • 2012-09-12: Highest Volume — 232,855 contracts
  • 2012-09-10: Largest IV spike — 34.0% change
  • 2012-09-11: Highest IV Rank — 33.1%
  • 2012-09-26: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.01$47.77$54.81$47.77$53.69
Max Pain$48.42$45.00$50.00$45.00$50.00
ATM IV31.8%27.5%38.2%36.2%33.7%
Expected Move8.6%7.6%9.4%8.6%9.0%
HV 20d28.5%23.9%32.4%24.0%32.2%
HV 60d28.8%27.9%30.9%28.5%27.9%
IV Rank19.4%10.1%33.1%29.0%23.6%
IV Percentile37.4%11.1%72.6%62.7%56.0%
Term Structure0.8%-0.5%1.9%0.6%0.9%
VWIV30.5%27.1%33.4%30.4%31.7%
Skew 25d1.8%0.9%2.7%2.6%2.2%
Skew 10d3.7%1.9%5.3%4.8%4.3%
Call IV 25d29.6%25.8%32.4%29.3%30.6%
Put IV 25d31.4%28.5%34.5%31.9%32.8%
Bid-Ask Spread %5.553.1711.2711.277.71
Gamma HHI0.110.060.320.070.08
Net GEX56.6M27.0M102.7M29.2M42.7M
Net DEX-1.38B-2.45B-425.6M-425.6M-1.14B
Net VEX-7.6M-9.0M-6.5M-6.5M-8.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.131.180.131.10
Total Volume109,44325,318232,855101,08970,019
Total OI1,353,866.3681,160,6711,578,9341,188,6691,341,312

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-09-04$47.77$45.0036.2%8.6%24.0%29.0%30.4%2.6%0.6%29.2M-425.6M-6.5M0.1311.2789,54611,543681,714506,955
2012-09-05$47.93$45.0036.5%8.6%23.9%29.5%30.8%1.9%0.3%42.1M-526.4M-6.7M0.728.5714,74110,577729,877511,263
2012-09-06$49.13$45.0028.7%7.6%24.7%12.8%27.1%2.7%1.7%59.6M-868.1M-6.7M0.389.0547,90818,016746,787514,985
2012-09-07$50.46$47.0027.5%8.0%25.7%10.1%28.1%2.5%1.6%61.6M-1.17B-6.8M0.304.8481,84124,278737,026521,944
2012-09-10$49.48$47.5036.8%8.3%27.3%30.2%29.2%1.7%0.8%53.4M-886.3M-6.5M0.813.9827,30822,174743,314521,512
2012-09-11$49.81$47.5038.2%8.6%26.4%33.1%31.5%2.3%-0.0%51.1M-924.1M-6.6M1.183.1738,28145,090745,781532,352
2012-09-12$50.01$47.5031.0%8.6%25.9%17.8%29.9%2.4%-0.5%49.7M-951.0M-6.6M0.143.79203,94728,908751,928558,319
2012-09-13$52.52$47.5029.5%8.5%30.0%14.5%30.1%2.1%0.3%75.7M-1.90B-7.3M0.504.62127,71164,382862,606564,141
2012-09-14$53.86$48.0030.4%8.7%29.2%16.5%31.1%1.5%1.2%76.4M-2.37B-7.8M0.525.09128,16767,159901,549589,906
2012-09-17$53.89$50.0030.5%8.8%28.8%16.7%31.0%1.5%1.6%76.0M-2.23B-8.1M0.874.1130,21726,266910,854604,317
2012-09-18$54.32$50.0030.1%8.6%28.8%15.8%30.6%0.9%1.9%73.2M-2.31B-7.9M1.058.7258,91162,005910,924618,470
2012-09-19$54.79$50.0030.1%8.6%28.7%15.8%30.5%1.0%0.3%76.0M-2.45B-8.0M0.633.9469,37343,965914,233629,425
2012-09-20$54.36$50.0029.6%8.5%28.6%14.7%30.2%1.4%1.2%74.6M-2.26B-8.1M0.885.9735,24930,933922,251647,708
2012-09-21$54.81$50.0029.1%8.3%28.4%13.7%29.6%1.3%0.8%102.7M-2.38B-7.9M0.524.62109,94756,708921,592657,342
2012-09-24$52.96$50.0029.9%8.6%32.0%15.4%30.3%1.4%0.9%34.3M-863.8M-8.0M0.753.8546,14834,499697,132463,539
2012-09-25$52.17$50.0031.8%9.1%32.1%19.4%32.0%1.7%0.4%27.7M-659.8M-8.0M0.423.53102,36242,555714,608473,001
2012-09-26$52.40$50.0033.0%9.4%32.0%21.9%33.4%2.1%0.5%27.0M-749.1M-8.9M0.773.6862,86748,203782,414489,307
2012-09-27$53.89$50.0031.3%9.0%32.4%18.5%31.8%1.9%1.0%42.3M-1.20B-9.0M0.844.8853,01544,598793,976509,097
2012-09-28$53.69$50.0033.7%9.0%32.2%23.6%31.7%2.2%0.9%42.7M-1.14B-8.9M1.107.7133,39436,625806,934534,378