GDX Options History — January 2013

In January 2013, GDX traded between $41.48 and $47.10. ATM implied volatility averaged 25.6%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 1.7% (HV 20d: 27.3%). Max pain ranged from $43.00 to $47.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.73.

Notable Days

  • 2013-01-25: Highest Volume — 160,417 contracts
  • 2013-01-29: Largest IV drop — 6.9% change
  • 2013-01-03: Highest IV Rank — 17.1%
  • 2013-01-03: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.33$41.48$47.10$47.10$41.62
Max Pain$45.27$43.00$47.00$45.00$43.00
ATM IV25.6%23.2%27.1%26.8%25.9%
Expected Move7.3%6.7%7.8%7.7%7.4%
HV 20d27.3%24.5%31.2%24.7%27.4%
HV 60d29.2%27.2%30.0%29.2%27.2%
IV Rank11.1%1.7%17.1%15.7%12.4%
IV Percentile5.0%0.4%15.9%7.9%7.9%
Term Structure0.4%-0.5%1.8%0.1%-0.1%
VWIV25.8%23.5%27.4%27.0%27.2%
Skew 25d1.5%1.0%2.7%2.7%1.4%
Skew 10d2.8%1.6%5.5%5.5%2.8%
Call IV 25d25.2%23.0%26.6%25.8%25.8%
Put IV 25d26.7%24.7%28.5%28.5%27.3%
Bid-Ask Spread %11.464.5920.2215.6914.78
Gamma HHI0.100.050.460.090.05
Net GEX-8.2M-55.6M12.6M3.9M-6.4M
Net DEX502.4M-41.2M807.6M301.4M455.4M
Net VEX-5.2M-5.6M-4.8M-5.6M-5.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.312.051.110.44
Total Volume76,736.85734,501160,417103,17066,277
Total OI1,250,117.19817,3361,497,5521,393,0121,056,721

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-01-02$47.10$45.0026.8%7.7%24.7%15.7%27.0%2.7%0.1%3.9M301.4M-5.6M1.1115.6948,95554,215844,141548,871
2013-01-03$45.14$47.0027.1%7.8%29.0%17.1%27.2%2.1%0.1%-7.9M666.4M-5.0M1.1610.6632,80438,046854,384530,320
2013-01-04$45.33$46.0026.0%7.4%27.3%12.7%26.2%2.1%0.4%-12.2M683.5M-5.0M0.978.2539,37938,054864,100544,905
2013-01-07$44.48$46.0027.0%7.7%28.0%16.5%26.7%1.7%0.4%-14.2M807.6M-4.8M0.318.7954,31316,755860,276543,947
2013-01-08$44.65$45.0025.9%7.4%27.9%12.4%26.0%1.4%0.9%-11.7M760.2M-5.1M0.598.3428,01816,533886,340548,987
2013-01-09$44.36$45.0025.6%7.3%27.4%11.3%25.6%1.3%0.8%-15.3M806.6M-5.0M0.5012.7023,02311,478895,387551,906
2013-01-10$45.41$0.0026.4%7.6%28.8%14.1%27.0%1.5%-0.4%-7.2M573.9M-5.3M0.734.5940,93929,989903,363554,688
2013-01-11$45.40$45.0025.7%7.4%26.6%11.7%26.0%1.5%-0.2%-2.8M585.9M-5.4M0.9119.4123,42621,267919,833566,918
2013-01-14$45.23$45.0025.5%7.3%24.9%10.7%25.4%1.6%1.6%-7.5M604.0M-5.2M2.054.9013,04626,803910,177552,862
2013-01-15$45.59$45.0024.6%7.1%25.1%7.4%24.8%1.7%1.8%-5.7M516.1M-5.3M0.6715.3432,92022,143913,425554,864
2013-01-16$45.21$45.5025.0%7.2%25.2%8.7%24.9%1.5%1.8%-9.3M555.1M-5.3M0.4115.7635,27814,513918,359553,531
2013-01-17$45.00$45.5025.3%7.3%24.7%10.1%25.5%1.0%0.4%-15.6M564.2M-5.3M0.515.1747,82424,307927,453548,020
2013-01-18$45.11$45.5023.9%6.8%24.5%4.7%24.1%1.0%0.5%-55.6M493.5M-5.4M0.987.1543,14442,271945,133552,419
2013-01-22$45.82$47.0023.2%6.7%25.0%1.7%23.5%1.7%1.0%12.6M-41.2M-5.3M0.318.8637,13911,573524,608292,728
2013-01-23$44.56$47.0024.1%6.9%27.0%5.1%24.4%1.3%0.3%7.0M139.1M-5.2M0.429.3876,05932,065544,295298,836
2013-01-24$43.23$47.0025.4%7.3%28.9%10.3%26.0%1.2%0.2%-3.7M343.3M-5.0M0.579.6086,85949,189583,527307,902
2013-01-25$41.92$47.0025.7%7.4%30.5%11.7%25.9%1.4%0.2%-9.6M502.8M-4.8M0.7516.2891,90868,509611,854322,543
2013-01-28$41.48$43.0027.0%7.7%30.3%16.6%27.4%1.6%-0.4%-7.6M483.1M-4.8M0.8410.0933,52728,275618,474324,336
2013-01-29$42.25$43.0025.1%7.2%31.2%9.4%25.5%1.1%-0.2%-1.4M363.9M-5.0M0.6520.2253,47034,741636,672329,240
2013-01-30$41.96$43.0026.1%7.5%28.4%13.0%26.1%1.0%-0.5%-3.0M385.1M-5.2M0.3814.7588,44233,998660,857345,259
2013-01-31$41.62$43.0025.9%7.4%27.4%12.4%27.2%1.4%-0.1%-6.4M455.4M-5.3M0.4414.7845,95620,321691,642365,079