GDX Options History — December 2012

In December 2012, GDX traded between $44.85 and $47.63. ATM implied volatility averaged 30.9%, placing in the 31.8% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 4.1% (HV 20d: 26.8%). Max pain ranged from $44.00 to $51.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.83.

Notable Days

  • 2012-12-20: Highest Volume — 95,460 contracts
  • 2012-12-12: Largest IV spike — 21.3% change
  • 2012-12-04: Highest IV Rank — 55.1%
  • 2012-12-10: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.89$44.85$47.63$46.48$46.39
Max Pain$47.34$44.00$51.00$48.00$45.00
ATM IV30.9%26.9%36.9%34.1%29.0%
Expected Move8.6%7.7%10.6%8.6%8.4%
HV 20d26.8%22.2%31.6%29.7%25.4%
HV 60d29.7%28.2%31.5%31.5%29.1%
IV Rank31.8%16.0%55.1%44.1%24.5%
IV Percentile41.0%8.3%84.1%69.4%26.6%
Term Structure0.4%-10.4%11.8%-0.2%-0.3%
VWIV29.6%27.0%31.3%30.8%28.2%
Skew 25d-0.3%-33.5%3.4%2.4%2.6%
Skew 10d3.7%-13.4%18.4%5.0%5.7%
Call IV 25d32.4%26.6%68.5%29.5%27.9%
Put IV 25d32.1%28.6%44.8%31.9%30.5%
Bid-Ask Spread %30.144.65120.3340.144.65
Gamma HHI0.090.050.160.070.10
Net GEX-6.4M-22.9M15.4M-5.6M-4.2M
Net DEX709.1M208.9M1.03B659.4M446.0M
Net VEX-6.0M-7.1M-5.5M-6.0M-5.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.231.300.560.83
Total Volume61,327.9527,48395,46059,54046,385
Total OI1,608,701.11,382,4421,778,1261,530,1681,389,354

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-12-03$46.48$48.0034.1%8.6%29.7%44.1%30.8%2.4%-0.2%-5.6M659.4M-6.0M0.5640.1438,15121,389909,603620,565
2012-12-04$46.65$48.0036.9%8.5%29.7%55.1%30.1%1.4%0.3%-2.8M614.3M-6.0M0.8412.1043,85536,685915,072629,882
2012-12-05$45.35$47.5036.3%8.8%29.8%52.9%31.3%0.4%0.0%-12.7M887.5M-5.5M0.4811.7452,31724,924933,748646,628
2012-12-06$45.55$0.0030.6%8.8%29.2%30.6%30.5%1.4%0.6%-10.9M831.6M-5.6M0.675.6853,04335,513954,483651,598
2012-12-07$45.93$46.0032.7%8.4%29.3%38.8%29.8%1.4%11.8%-1.0M743.0M-6.1M0.7610.6250,70438,677978,054669,075
2012-12-10$46.52$46.0035.6%10.6%29.8%50.0%0.0%-3.5%-10.4%-3.3M571.1M-6.6M0.23102.5941,1479,406976,878681,253
2012-12-11$46.28$46.0028.6%8.2%29.6%22.7%0.0%-33.5%6.5%-2.0M598.5M-6.6M0.71120.3325,30617,9031,008,865685,279
2012-12-12$47.63$46.0034.6%9.9%31.6%46.4%28.8%-6.1%-7.8%14.0M208.9M-7.1M0.56112.4858,57433,0731,021,839696,399
2012-12-13$46.34$46.0030.0%8.6%28.6%28.3%30.3%1.6%0.1%2.8M610.9M-6.6M0.6437.9540,70325,9141,036,005703,418
2012-12-14$46.48$47.0029.6%8.5%26.9%26.7%29.5%1.5%0.0%15.4M600.5M-6.5M0.8933.9524,20321,5401,039,167716,727
2012-12-17$46.51$51.0029.0%8.3%26.7%24.6%29.8%1.8%1.5%923.6K612.1M-6.4M0.7911.0923,61918,7701,027,617705,927
2012-12-18$45.75$51.0029.5%8.5%25.2%26.4%29.9%2.5%1.7%-10.0M833.2M-6.1M0.6411.0836,12723,0241,034,421708,491
2012-12-19$45.36$51.0029.1%8.3%25.2%24.7%29.3%2.5%1.1%-18.1M971.8M-5.9M0.659.7928,02618,3491,036,949708,112
2012-12-20$45.07$51.0029.5%8.4%24.4%26.2%30.0%2.8%0.6%-22.9M1.03B-5.8M1.2413.7042,69452,7661,043,312707,579
2012-12-21$45.18$51.0026.9%7.7%23.7%16.0%27.0%1.9%0.7%-17.5M1.02B-5.8M1.1930.2131,87237,9471,055,516722,610
2012-12-24$44.85$45.0028.2%8.1%23.6%21.3%29.6%3.4%0.5%-12.8M829.0M-5.6M1.305.4111,96915,514827,717554,725
2012-12-26$45.15$44.0029.1%8.3%22.3%24.7%29.4%2.9%0.2%-11.1M745.6M-5.5M1.249.2216,76720,754831,058553,100
2012-12-27$45.44$45.0029.3%8.4%22.2%25.7%29.5%2.8%0.4%-8.6M642.9M-5.7M1.2510.0028,82835,987836,184554,043
2012-12-28$44.93$45.0029.2%8.4%22.3%25.2%29.4%2.7%-0.2%-17.9M726.4M-5.5M1.1410.0020,64523,489846,101556,668
2012-12-31$46.39$45.0029.0%8.4%25.4%24.5%28.2%2.6%-0.3%-4.2M446.0M-5.8M0.834.6525,32621,059839,962549,392