GDX Options History — February 2013

In February 2013, GDX traded between $37.40 and $42.60. ATM implied volatility averaged 26.6%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 0.8% (HV 20d: 25.8%). Max pain ranged from $38.00 to $44.50. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.77.

Notable Days

  • 2013-02-20: Highest Volume — 207,580 contracts
  • 2013-02-20: Largest IV spike — 14.0% change
  • 2013-02-25: Highest IV Rank — 34.2%
  • 2013-02-25: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.33$37.40$42.60$42.22$37.40
Max Pain$42.08$38.00$44.50$43.00$39.00
ATM IV26.6%23.6%31.5%25.3%29.2%
Expected Move7.6%6.7%9.0%7.3%8.4%
HV 20d25.8%22.1%29.7%24.7%28.8%
HV 60d26.5%25.0%27.4%27.4%27.3%
IV Rank15.1%3.3%34.2%10.1%25.2%
IV Percentile19.5%0.8%57.1%4.8%38.5%
Term Structure0.3%-1.2%2.1%0.4%-0.2%
VWIV26.7%23.8%31.6%25.4%29.1%
Skew 25d1.5%1.2%2.2%1.2%2.2%
Skew 10d3.0%1.4%4.3%2.8%4.2%
Call IV 25d26.4%23.4%31.1%25.3%28.5%
Put IV 25d27.9%24.8%33.0%26.5%30.8%
Bid-Ask Spread %13.416.8722.4321.0815.76
Gamma HHI0.070.050.140.060.06
Net GEX-5.1M-23.7M7.0M-1.9M-6.7M
Net DEX500.8M249.1M782.4M322.1M774.7M
Net VEX-5.4M-6.1M-4.3M-5.6M-5.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.281.420.280.39
Total Volume62,136.42123,158207,58072,07966,996
Total OI1,151,934.9471,046,5701,332,4221,084,7261,332,422

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-02-01$42.22$43.0025.3%7.3%24.7%10.1%25.4%1.2%0.4%-1.9M322.1M-5.6M0.2821.0856,40615,673709,075375,651
2013-02-04$42.34$43.0026.1%7.5%24.6%12.9%25.9%1.2%-0.3%2.1M281.8M-5.7M0.3518.0040,31614,235683,416363,154
2013-02-05$42.26$43.0024.6%7.1%23.9%7.3%24.9%1.7%0.2%1.6M311.0M-5.5M0.6812.2417,98912,252698,600368,524
2013-02-06$42.54$43.0023.8%6.8%24.0%4.0%23.9%1.6%0.7%3.8M267.5M-5.6M1.099.4511,99113,058702,475375,548
2013-02-07$42.60$0.0024.5%7.0%24.0%6.7%25.0%1.4%0.3%6.7M249.1M-5.7M0.996.8720,08119,871707,058383,358
2013-02-08$42.32$42.0024.1%6.9%22.1%5.1%23.9%1.3%0.0%-5.0M329.9M-5.8M0.9622.4311,80211,356714,087394,973
2013-02-11$41.47$44.5024.1%6.9%22.8%5.2%24.1%1.3%2.0%-14.5M503.0M-5.3M1.299.7422,51029,066697,694393,938
2013-02-12$41.92$44.5023.6%6.7%23.5%3.3%23.8%1.2%2.0%-10.6M423.4M-5.5M0.907.8620,89418,878700,141396,101
2013-02-13$41.20$44.5023.8%6.8%23.5%4.1%23.8%1.6%2.1%-17.1M538.5M-5.3M1.0810.1819,99121,659711,365397,340
2013-02-14$41.36$44.0023.7%6.8%23.7%3.9%23.9%1.4%0.9%-17.6M506.2M-5.4M1.428.0513,92819,837717,430402,652
2013-02-15$39.89$44.0025.1%7.1%26.2%9.2%25.0%1.7%0.9%-23.7M733.2M-4.9M0.8310.5454,26444,894723,239405,202
2013-02-19$39.37$42.0026.8%7.7%26.1%15.8%26.9%1.4%0.1%-15.5M644.4M-4.7M0.3514.1945,54516,115683,830373,342
2013-02-20$37.45$42.0030.6%8.8%28.9%30.5%30.7%1.3%0.1%-11.8M782.4M-4.3M0.5016.78138,56269,018716,833379,889
2013-02-21$38.12$42.0029.9%8.6%29.7%28.0%30.6%1.6%-0.4%-1.9M652.2M-5.3M0.489.5680,93338,979812,306407,050
2013-02-22$37.93$41.0029.8%8.6%28.5%27.4%30.1%1.6%-0.4%7.0M640.2M-5.5M0.5611.8540,58822,853856,293421,612
2013-02-25$38.57$39.0031.5%9.0%28.1%34.2%31.6%1.9%-1.2%2.5M511.3M-5.9M0.8320.9531,02325,807851,915421,518
2013-02-26$39.05$38.0030.1%8.6%28.6%28.5%29.8%1.7%-1.0%5.2M442.2M-6.1M0.8417.1629,87424,962862,397431,835
2013-02-27$38.26$39.0029.1%8.3%28.1%24.7%29.4%1.7%-1.0%1.1M601.9M-5.7M0.8812.0220,37118,015872,958441,543
2013-02-28$37.40$39.0029.2%8.4%28.8%25.2%29.1%2.2%-0.2%-6.7M774.7M-5.2M0.3915.7648,29218,704882,568449,854