GDX Options History — November 2012

In November 2012, GDX traded between $45.97 and $52.01. ATM implied volatility averaged 32.5%, placing in the 37.4% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 1.6% (HV 20d: 34.1%). Max pain ranged from $48.00 to $51.50. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.76.

Notable Days

2012-11-15: Highest Volume — 198,863 contracts
2012-11-14: Largest IV spike — 33.2% change
2012-11-06: Highest IV Rank — 92.6%
2012-11-15: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$48.83	$45.97	$52.01	$52.01	$47.55
Max Pain	$48.90	$48.00	$51.50	$51.50	$48.00
ATM IV	32.5%	27.8%	46.5%	34.2%	30.4%
Expected Move	8.8%	8.0%	9.8%	8.6%	8.2%
HV 20d	34.1%	30.4%	36.8%	30.4%	32.4%
HV 60d	30.8%	28.2%	32.2%	28.2%	31.1%
IV Rank	37.4%	19.5%	92.6%	40.0%	29.9%
IV Percentile	44.8%	13.1%	99.2%	63.5%	36.1%
Term Structure	0.1%	-10.2%	1.7%	0.8%	-0.1%
VWIV	31.1%	28.3%	34.4%	30.6%	29.1%
Skew 25d	2.4%	1.8%	3.4%	2.4%	2.5%
Skew 10d	4.9%	3.3%	7.6%	4.9%	4.5%
Call IV 25d	30.0%	27.0%	33.1%	29.6%	27.8%
Put IV 25d	32.4%	29.3%	36.1%	32.0%	30.3%
Bid-Ask Spread %	8.37	6.97	13.29	7.15	10.05
Gamma HHI	0.06	0.04	0.11	0.06	0.06
Net GEX	9.1M	-15.3M	42.7M	33.7M	-2.3M
Net DEX	168.8M	-534.8M	980.6M	-534.8M	423.7M
Net VEX	-7.3M	-8.5M	-6.2M	-8.4M	-6.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.27	1.25	0.47	0.77
Total Volume	88,716.524	39,014	198,863	94,618	45,939
Total OI	1,538,589.429	1,444,202	1,702,746	1,444,202	1,541,608

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
2012-11-01	$52.01	$51.50	34.2%	8.6%	30.4%	40.0%	30.6%	2.4%	0.8%	33.7M	-534.8M	-8.4M	0.47	7.15	64,280	30,338	868,153	576,049
2012-11-02	$49.76	$51.50	35.6%	9.1%	33.7%	44.7%	32.3%	2.3%	0.2%	7.6M	66.6M	-7.9M	1.25	10.54	59,067	73,907	909,835	583,043
2012-11-05	$49.39	$49.50	45.6%	9.6%	31.6%	83.7%	33.6%	2.3%	-0.2%	4.8M	107.5M	-7.9M	0.57	6.97	40,668	23,333	916,574	595,617
2012-11-06	$50.34	$49.50	46.5%	9.4%	32.5%	92.6%	33.1%	2.1%	0.2%	21.7M	-168.3M	-8.1M	0.55	7.37	58,171	31,709	938,866	593,568
2012-11-07	$51.07	$49.50	33.3%	9.4%	33.1%	41.2%	32.8%	2.4%	0.2%	37.7M	-389.9M	-8.4M	0.27	7.93	102,370	27,597	967,056	601,632
2012-11-08	$51.41	$49.50	32.8%	9.3%	32.4%	39.2%	33.1%	2.5%	0.5%	42.7M	-508.5M	-8.5M	0.55	7.18	60,635	33,190	949,926	614,478
2012-11-09	$50.67	$49.50	30.6%	9.2%	32.6%	30.7%	31.7%	2.6%	0.8%	26.6M	-264.7M	-8.1M	0.46	8.31	57,690	26,380	966,300	621,530
2012-11-12	$50.04	$49.50	30.5%	9.1%	32.8%	30.2%	32.2%	2.6%	1.0%	10.5M	-22.9M	-7.7M	1.14	7.53	40,494	46,299	972,659	614,805
2012-11-13	$49.48	$49.50	29.5%	9.0%	32.6%	26.4%	31.4%	1.8%	1.0%	-6.0M	169.8M	-7.5M	0.59	7.24	30,400	18,031	949,604	630,597
2012-11-14	$47.23	$49.00	39.3%	9.4%	36.1%	64.5%	32.9%	2.3%	-10.2%	-15.3M	711.5M	-6.9M	0.46	13.29	122,144	56,667	963,412	634,959
2012-11-15	$45.97	$48.50	34.1%	9.8%	35.8%	44.3%	34.4%	3.0%	0.1%	-13.2M	980.6M	-6.2M	1.16	7.72	92,156	106,707	1,004,247	646,217
2012-11-16	$46.47	$48.00	32.9%	9.4%	36.0%	39.5%	33.3%	2.5%	0.4%	-14.9M	878.1M	-6.6M	1.03	7.48	70,725	72,840	1,033,215	669,531
2012-11-19	$47.77	$48.00	30.2%	8.7%	36.8%	29.1%	31.0%	3.4%	0.7%	7.8M	277.8M	-7.0M	0.67	8.08	44,455	29,606	867,163	593,176
2012-11-20	$47.36	$48.00	28.3%	8.1%	36.7%	21.8%	29.2%	2.7%	1.7%	6.4M	372.2M	-6.7M	1.05	7.33	27,970	29,273	877,855	598,269
2012-11-21	$48.08	$48.00	27.9%	8.0%	36.8%	20.1%	28.3%	2.6%	1.5%	10.8M	225.5M	-6.8M	0.92	7.68	20,273	18,741	884,859	607,395
2012-11-23	$48.74	$48.00	27.8%	8.0%	36.2%	19.5%	28.6%	2.3%	1.2%	16.4M	37.0M	-7.1M	0.91	8.92	27,098	24,528	891,187	611,134
2012-11-26	$48.75	$48.00	28.5%	8.2%	35.7%	22.4%	28.8%	2.3%	0.8%	7.4M	127.5M	-6.8M	0.46	7.55	33,115	15,303	873,671	601,595
2012-11-27	$47.46	$48.00	28.7%	8.2%	34.7%	23.1%	29.0%	2.7%	0.9%	-1.7M	434.4M	-6.3M	1.15	9.35	27,741	32,025	886,222	608,586
2012-11-28	$47.90	$48.00	28.3%	8.1%	35.1%	21.9%	29.0%	1.9%	0.8%	216.3K	332.6M	-6.6M	0.68	8.59	58,225	39,659	895,540	619,753
2012-11-29	$48.04	$48.00	27.9%	8.0%	32.6%	20.1%	28.7%	2.3%	0.8%	9.4M	290.0M	-6.5M	0.93	9.57	22,433	20,865	908,666	621,826
2012-11-30	$47.55	$48.00	30.4%	8.2%	32.4%	29.9%	29.1%	2.5%	-0.1%	-2.3M	423.7M	-6.4M	0.77	10.05	25,966	19,973	913,435	628,173