GDX Options History — May 2014

In May 2014, GDX traded between $22.04 and $24.41. ATM implied volatility averaged 25.8%, placing in the 2.7% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 4.0% (HV 20d: 21.8%). Max pain ranged from $22.00 to $22.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2014-05-27: Highest Volume — 94,693 contracts
  • 2014-05-27: Largest IV spike — 13.4% change
  • 2014-05-29: Highest IV Rank — 15.2%
  • 2014-05-01: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.48$22.04$24.41$23.79$22.50
Max Pain$22.00$22.00$22.00$22.00$22.00
ATM IV25.8%21.1%29.9%29.9%25.3%
Expected Move8.7%8.0%9.3%9.3%8.1%
HV 20d21.8%17.1%24.7%23.6%21.3%
HV 60d29.2%26.7%33.1%33.0%27.7%
IV Rank2.7%0.0%15.2%0.0%14.4%
IV Percentile0.7%0.0%4.0%0.0%3.6%
Term Structure0.3%-0.4%1.5%0.6%-0.4%
VWIV30.6%28.2%33.2%32.5%28.5%
Skew 25d0.3%-0.2%0.8%0.8%0.2%
Skew 10d0.5%-1.2%1.6%0.6%1.5%
Call IV 25d26.1%21.3%30.0%29.5%25.7%
Put IV 25d26.3%21.2%30.6%30.3%25.9%
Bid-Ask Spread %7.335.6011.326.737.32
Gamma HHI0.110.080.140.120.09
Net GEX10.5M-8.2M23.7M19.6M-5.1M
Net DEX-44.0M-321.0M292.5M-177.5M180.6M
Net VEX-4.4M-5.0M-3.8M-4.9M-4.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.312.230.580.56
Total Volume48,786.66714,41594,69352,14447,923
Total OI1,447,071.4761,358,6891,584,7201,404,7081,584,720

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-05-01$23.79$22.0029.9%9.3%23.6%0.0%32.5%0.8%0.6%19.6M-177.5M-4.9M0.586.7333,04719,097918,706486,002
2014-05-02$24.32$22.0029.4%9.2%24.7%0.0%32.3%0.6%0.4%21.6M-311.8M-5.0M0.385.6033,52012,676923,836492,586
2014-05-05$24.41$22.0029.8%9.3%24.6%1.8%32.9%0.6%0.4%23.7M-321.0M-5.0M0.546.1815,5908,348885,445473,244
2014-05-06$24.28$22.0029.5%9.2%24.7%0.5%33.2%0.1%0.2%23.2M-288.4M-4.9M0.546.819,3405,075888,670475,653
2014-05-07$23.81$22.0029.4%9.2%23.7%0.1%32.1%0.5%0.4%17.1M-158.3M-4.7M0.805.9534,95727,995891,894477,684
2014-05-08$23.77$22.0028.8%9.0%23.4%0.0%31.9%0.8%0.3%16.0M-139.0M-4.7M1.447.9914,81121,281893,491496,457
2014-05-09$23.73$22.0027.7%9.1%22.5%0.0%32.3%0.1%0.4%14.9M-110.0M-4.6M0.666.4221,54214,243895,571501,535
2014-05-12$23.93$22.0026.9%9.0%22.2%0.0%32.6%0.7%-0.1%17.8M-152.9M-4.5M2.236.2522,33849,729880,690502,116
2014-05-13$23.75$22.0025.8%8.9%21.8%0.0%31.3%0.6%-0.3%14.0M-93.2M-4.5M1.687.1722,82938,270893,799544,460
2014-05-14$24.01$22.0025.2%8.9%21.0%0.0%31.2%0.4%-0.0%18.8M-157.9M-4.6M0.527.1427,54114,238901,672574,114
2014-05-15$23.62$22.0025.1%8.8%21.6%0.0%30.9%0.3%-0.2%9.7M-41.2M-4.4M0.647.4920,78413,358908,316576,097
2014-05-16$23.42$22.0023.7%8.6%21.5%0.0%29.9%-0.2%-0.2%5.5M11.9M-4.3M0.656.6330,56119,779910,792581,680
2014-05-19$23.41$22.0022.5%8.4%21.5%0.0%29.5%0.4%1.5%8.1M-5.5M-4.1M0.697.9435,75324,544856,532546,364
2014-05-20$23.39$22.0022.5%8.3%21.0%0.0%29.2%-0.1%0.9%7.8M21.5M-4.1M0.758.4114,28910,731876,681563,743
2014-05-21$23.45$22.0022.1%8.2%19.6%0.0%29.0%0.1%1.2%9.4M13.9M-4.1M0.917.5019,18517,532881,394570,827
2014-05-22$23.39$22.0021.6%8.1%19.1%0.0%28.7%0.1%1.3%9.5M19.6M-4.1M0.568.6430,05716,700892,888579,781
2014-05-23$23.31$22.0021.1%8.0%17.1%0.0%28.7%-0.2%0.8%7.5M40.8M-4.1M0.6811.3215,26810,346906,558590,928
2014-05-27$22.41$22.0023.9%8.1%20.8%9.7%28.4%0.2%-0.2%-4.5M211.4M-3.8M0.778.0153,44341,250893,582578,781
2014-05-28$22.04$22.0025.4%8.1%20.3%14.5%28.7%0.1%0.0%-8.2M292.5M-3.9M0.837.5046,14238,307922,952602,598
2014-05-29$22.24$22.0025.6%8.1%20.9%15.2%28.2%-0.2%-0.1%-6.2M241.1M-4.1M0.316.8555,14016,961946,270619,392
2014-05-30$22.50$22.0025.3%8.1%21.3%14.4%28.5%0.2%-0.4%-5.1M180.6M-4.2M0.567.3230,76717,156960,280624,440