GDX Options History — October 2012

In October 2012, GDX traded between $50.06 and $54.25. ATM implied volatility averaged 32.2%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 4.3% (HV 20d: 28.0%). Max pain ranged from $50.00 to $53.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.84.

Notable Days

  • 2012-10-16: Highest Volume — 240,653 contracts
  • 2012-10-04: Largest IV drop — 19.3% change
  • 2012-10-09: Highest IV Rank — 46.6%
  • 2012-10-09: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.38$50.06$54.25$53.93$52.90
Max Pain$52.00$50.00$53.00$50.00$52.00
ATM IV32.2%28.7%39.9%37.2%35.5%
Expected Move8.8%8.2%9.3%8.9%9.1%
HV 20d28.0%24.5%31.2%29.7%29.9%
HV 60d27.0%26.5%28.1%27.1%28.1%
IV Rank30.3%20.8%46.6%31.0%44.5%
IV Percentile43.6%21.8%83.3%70.2%69.8%
Term Structure0.3%-0.5%1.6%0.4%-0.5%
VWIV31.1%29.0%32.7%31.4%32.7%
Skew 25d2.6%1.8%3.1%2.3%2.5%
Skew 10d5.1%2.6%6.3%4.6%5.2%
Call IV 25d29.9%27.8%31.5%30.4%31.2%
Put IV 25d32.5%30.7%34.3%32.6%33.8%
Bid-Ask Spread %5.853.0011.134.8511.13
Gamma HHI0.080.050.130.090.07
Net GEX35.6M7.5M59.9M49.6M42.1M
Net DEX-673.2M-1.29B-30.9M-1.15B-763.0M
Net VEX-8.3M-8.9M-7.7M-8.8M-8.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.171.400.940.65
Total Volume76,14537,731240,65352,67560,471
Total OI1,386,781.9051,284,3351,515,3881,291,8121,418,487

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-10-01$53.93$50.0037.2%8.9%29.7%31.0%31.4%2.3%0.4%49.6M-1.15B-8.8M0.944.8527,10225,573792,209499,603
2012-10-02$53.59$50.0035.1%8.6%29.8%26.6%30.2%1.8%0.8%44.9M-1.04B-8.6M0.906.1622,68720,435795,972509,054
2012-10-03$52.72$50.0039.9%8.6%30.8%36.9%30.6%1.9%1.0%35.8M-812.3M-8.6M0.587.7939,77622,912804,869516,159
2012-10-04$54.25$50.0032.2%8.4%31.2%33.0%30.2%1.8%1.6%59.9M-1.29B-8.9M0.925.7351,54947,615821,259522,616
2012-10-05$53.65$53.0031.2%8.9%30.6%29.6%31.9%2.7%0.1%56.9M-1.15B-8.9M0.633.3155,93435,306848,798537,724
2012-10-08$53.23$53.0034.3%9.0%29.7%40.2%31.9%2.8%0.1%53.5M-969.9M-8.6M0.773.0021,29616,435835,109520,341
2012-10-09$52.08$53.0036.1%9.3%31.0%46.6%32.7%2.8%-0.2%38.9M-630.0M-8.3M0.984.1423,58323,091842,174528,381
2012-10-10$52.48$53.0029.6%9.1%31.1%23.8%32.4%2.7%0.0%42.4M-697.9M-8.4M0.934.3933,20130,909849,423539,864
2012-10-11$52.49$53.0030.7%8.8%25.7%27.6%31.2%3.0%0.5%45.6M-720.5M-8.2M0.674.9028,28518,850856,203556,587
2012-10-12$51.66$53.0030.6%8.8%24.5%27.4%30.6%3.0%0.3%28.8M-430.1M-8.0M1.135.0331,37435,428858,167562,909
2012-10-15$51.64$53.0030.5%8.7%24.5%26.9%30.7%2.3%0.2%25.1M-425.5M-7.7M1.407.6927,52338,554838,559557,580
2012-10-16$52.67$53.0029.4%8.4%25.5%23.1%29.3%2.8%0.6%38.1M-702.1M-7.8M0.174.62206,28434,369843,839573,486
2012-10-17$53.11$52.0029.2%8.4%25.5%22.5%29.5%2.3%0.5%49.6M-897.1M-8.3M1.004.4625,49725,558903,032588,924
2012-10-18$51.52$52.0030.0%8.6%27.4%25.3%30.2%2.5%0.4%7.5M-371.5M-7.9M1.057.8334,47236,130903,002593,469
2012-10-19$51.73$52.0030.5%8.7%27.2%27.1%30.7%2.8%0.7%12.5M-435.4M-8.0M0.845.8377,08964,568908,938606,450
2012-10-22$52.43$52.0028.7%8.2%25.1%20.8%29.0%2.9%1.1%33.6M-588.9M-8.0M0.604.8233,13120,010778,411505,924
2012-10-23$50.96$52.0031.0%8.9%26.5%28.7%31.5%2.9%0.0%19.9M-246.2M-7.8M1.256.4242,96753,674795,571517,353
2012-10-24$50.06$52.0032.1%9.2%27.1%32.7%32.3%3.1%-0.2%10.8M-30.9M-7.8M0.625.9054,73033,921815,765543,524
2012-10-25$51.59$52.0031.6%9.0%27.4%30.7%31.5%2.6%-0.3%29.8M-434.7M-8.5M0.817.7336,84329,843843,614559,552
2012-10-26$51.24$52.0031.8%9.1%27.4%31.4%32.3%3.1%-0.2%23.3M-342.8M-8.5M0.707.0630,62021,450856,181573,338
2012-10-31$52.90$52.0035.5%9.1%29.9%44.5%32.7%2.5%-0.5%42.1M-763.0M-8.7M0.6511.1336,64123,830853,671564,816