GDX Options History — July 2014

In July 2014, GDX traded between $25.78 and $27.32. ATM implied volatility averaged 26.4%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 3.8% (HV 20d: 30.2%). Max pain ranged from $18.00 to $30.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.85.

Notable Days

  • 2014-07-11: Highest Volume — 158,656 contracts
  • 2014-07-07: Largest IV spike — 5.1% change
  • 2014-07-31: Highest IV Rank — 27.0%
  • 2014-07-31: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.56$25.78$27.32$26.24$25.91
Max Pain$26.71$18.00$30.00$24.00$27.00
ATM IV26.4%24.4%28.3%25.6%28.3%
Expected Move8.0%7.8%8.2%8.0%8.2%
HV 20d30.2%27.5%35.5%27.9%30.3%
HV 60d26.2%24.7%27.4%25.1%27.1%
IV Rank19.4%11.2%27.0%15.2%27.0%
IV Percentile15.7%7.5%22.6%9.9%22.6%
Term Structure-0.0%-1.5%0.8%-0.2%-1.2%
VWIV28.3%27.6%29.3%28.5%29.3%
Skew 25d0.1%-0.9%1.5%-0.7%-0.3%
Skew 10d0.5%-1.8%3.8%-1.2%-1.1%
Call IV 25d26.9%24.7%28.9%26.4%28.9%
Put IV 25d27.0%25.1%28.9%25.7%28.7%
Bid-Ask Spread %11.598.7015.479.6615.47
Gamma HHI0.090.070.150.100.10
Net GEX15.5M-938.0K25.6M21.0M-938.0K
Net DEX-511.9M-787.5M-221.1M-559.7M-221.1M
Net VEX-5.0M-5.1M-4.8M-5.0M-4.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.321.910.570.43
Total Volume62,621.31822,196158,65638,37643,771
Total OI1,401,772.9091,330,2281,480,4301,342,2671,441,935

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-07-01$26.24$24.0025.6%8.0%27.9%15.2%28.5%-0.7%-0.2%21.0M-559.7M-5.0M0.579.6624,47613,900807,969534,298
2014-07-02$26.48$24.0024.6%8.0%27.5%11.9%28.1%-0.6%0.6%21.9M-622.4M-5.0M0.6511.1231,35220,532814,096540,551
2014-07-03$26.50$0.0024.4%7.9%27.5%11.2%29.0%0.4%0.4%22.4M-602.9M-4.9M1.9110.8314,11526,969823,212549,850
2014-07-07$26.04$18.0025.6%7.9%28.8%15.4%27.6%-0.1%0.2%17.7M-479.1M-4.9M0.8310.7029,16824,085804,207545,190
2014-07-08$26.46$18.0026.0%8.0%28.7%16.8%28.1%0.4%-0.1%21.9M-569.4M-4.9M0.499.8339,54119,294817,547547,472
2014-07-09$27.15$24.0025.9%8.0%29.0%17.3%28.2%-0.0%0.3%25.6M-758.5M-5.0M0.579.0250,39028,513835,210553,087
2014-07-10$26.61$26.0025.7%8.0%30.5%17.2%28.7%-0.5%0.4%23.5M-642.4M-5.1M1.0412.2353,57255,661849,829563,989
2014-07-11$27.32$28.0026.0%8.0%30.5%18.2%28.5%0.8%0.3%20.6M-787.5M-5.1M0.328.70119,86238,794855,041587,299
2014-07-14$26.60$27.0027.1%8.1%32.7%22.2%28.6%0.3%0.2%18.1M-575.3M-5.1M0.879.8733,50229,138861,185578,961
2014-07-15$25.78$27.0027.2%8.0%35.0%22.8%28.2%0.7%-0.6%11.9M-373.5M-5.1M0.379.7279,15629,085890,669589,761
2014-07-16$26.28$30.0026.5%8.0%35.4%20.3%28.9%0.6%0.6%13.8M-483.6M-5.0M0.8211.6725,83621,073875,069600,479
2014-07-17$26.99$30.0027.0%8.0%35.5%22.2%28.0%0.2%-0.5%20.8M-652.6M-5.0M1.289.4731,14839,822858,311595,554
2014-07-18$26.94$30.0026.3%8.0%30.6%19.4%28.3%0.3%0.8%22.0M-630.3M-4.9M0.9911.8527,68527,445863,539603,873
2014-07-21$26.90$30.0026.3%7.9%30.3%19.5%27.9%0.3%0.5%14.7M-474.5M-4.9M0.8113.8731,92525,836786,535543,693
2014-07-22$26.59$29.0026.0%7.8%30.1%18.2%28.9%-0.5%0.0%13.1M-421.4M-5.0M0.5514.5214,2797,917797,533562,377
2014-07-23$26.49$29.0026.3%7.9%27.8%19.3%27.6%-0.6%0.5%11.5M-391.7M-4.9M1.5913.7114,93323,690796,122564,927
2014-07-24$26.08$29.0026.0%7.9%28.2%18.4%27.7%-0.9%-0.1%4.8M-260.5M-4.8M1.0514.4319,48420,467801,671582,267
2014-07-25$26.82$29.0027.2%7.9%29.8%22.6%27.6%1.5%-0.1%11.5M-451.8M-4.8M1.1412.7648,27754,971804,503580,339
2014-07-28$26.99$28.0027.2%8.0%29.8%22.6%28.5%1.3%-0.4%11.8M-487.8M-5.0M0.849.6915,36512,975806,166596,121
2014-07-29$26.76$27.0027.7%8.0%29.4%24.6%28.2%-0.3%-1.5%9.5M-448.0M-5.0M0.6911.6124,43116,848808,253598,132
2014-07-30$26.47$27.0027.5%8.0%29.6%23.7%28.8%0.7%-0.7%4.5M-367.2M-5.0M0.9514.1635,03233,354815,497606,685
2014-07-31$25.91$27.0028.3%8.2%30.3%27.0%29.3%-0.3%-1.2%-938.0K-221.1M-4.9M0.4315.4730,51713,254830,709611,226