GDX Options History — August 2014

In August 2014, GDX traded between $25.62 and $27.43. ATM implied volatility averaged 24.6%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 1.4% (HV 20d: 23.3%). Max pain ranged from $26.00 to $27.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.64.

Notable Days

  • 2014-08-21: Highest Volume — 85,612 contracts
  • 2014-08-18: Largest IV drop — 4.8% change
  • 2014-08-01: Highest IV Rank — 27.3%
  • 2014-08-06: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.56$25.62$27.43$26.20$26.69
Max Pain$26.81$26.00$27.00$27.00$26.00
ATM IV24.6%21.6%28.4%28.4%22.3%
Expected Move8.0%7.6%8.4%8.2%7.6%
HV 20d23.3%18.7%30.6%30.6%19.8%
HV 60d26.8%25.9%27.3%26.9%26.6%
IV Rank13.1%2.0%27.3%27.3%4.4%
IV Percentile10.5%0.8%23.0%23.0%2.4%
Term Structure0.5%-2.0%2.0%-2.0%1.3%
VWIV28.3%26.6%30.8%28.7%26.8%
Skew 25d0.3%-1.0%1.1%0.4%0.9%
Skew 10d0.8%-1.2%3.8%-0.2%1.5%
Call IV 25d24.9%21.5%29.3%29.3%22.4%
Put IV 25d25.2%22.4%29.7%29.7%23.2%
Bid-Ask Spread %16.6912.2731.6631.6620.42
Gamma HHI0.100.070.130.070.13
Net GEX16.7M220.7K28.3M4.4M23.5M
Net DEX-428.2M-662.0M-224.1M-311.5M-481.1M
Net VEX-4.7M-5.1M-4.3M-5.1M-4.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.351.810.610.85
Total Volume37,215.8119,00485,61239,08426,062
Total OI1,418,947.0951,362,4271,456,0241,456,0241,438,541

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-08-01$26.20$27.0028.4%8.2%30.6%27.3%28.7%0.4%-2.0%4.4M-311.5M-5.1M0.6131.6624,30914,775844,096611,928
2014-08-04$25.95$27.0027.4%8.3%30.2%23.4%28.9%0.3%-0.2%220.7K-250.3M-4.9M0.4813.4320,0229,647817,382590,159
2014-08-05$26.10$27.0027.9%8.3%29.7%25.4%30.8%1.1%1.3%2.7M-287.7M-5.0M0.3715.8024,0208,911823,375592,382
2014-08-06$26.69$27.0027.4%8.4%29.3%23.6%29.4%0.9%0.7%11.7M-453.2M-5.0M0.7315.1520,16614,669834,031593,032
2014-08-07$26.76$27.0027.3%8.3%28.4%23.0%30.5%0.1%0.3%15.0M-483.3M-5.0M0.4213.4631,00812,980840,373594,052
2014-08-08$26.78$27.0027.1%8.3%26.7%22.3%29.2%0.2%-0.2%17.9M-500.2M-5.0M0.5213.7719,81810,334851,326597,784
2014-08-11$26.97$27.0026.4%8.3%25.0%19.9%29.2%0.9%-0.3%19.7M-528.1M-4.9M0.3513.6614,0264,978838,772573,606
2014-08-12$27.43$27.0026.8%8.3%22.6%21.2%28.8%0.4%-0.7%26.3M-652.2M-4.9M0.4012.2746,05918,405843,215574,937
2014-08-13$27.40$27.0025.7%8.1%21.8%17.0%28.8%-0.6%0.0%28.3M-662.0M-4.9M0.3713.1721,3647,990859,433586,771
2014-08-14$27.13$27.0024.4%8.1%20.1%12.5%28.2%-0.2%-0.2%25.0M-577.7M-4.8M0.5413.8823,35312,595852,427584,676
2014-08-15$26.82$27.0023.8%8.0%20.6%10.1%28.2%-0.4%0.5%20.9M-480.5M-4.7M0.4716.1838,81018,304860,631587,504
2014-08-18$26.99$27.0022.7%7.8%20.7%5.8%27.9%0.3%1.3%22.3M-509.0M-4.5M0.6618.0724,09615,806817,775544,652
2014-08-19$26.69$27.0021.7%7.8%20.7%2.2%28.7%0.6%2.0%19.9M-455.5M-4.5M0.6018.7717,30610,382828,040553,438
2014-08-20$26.66$27.0021.6%7.7%20.6%2.0%27.2%0.4%1.8%19.4M-448.5M-4.5M0.4916.6219,5779,608830,260555,231
2014-08-21$26.07$27.0022.5%7.8%21.4%5.2%27.2%0.3%1.1%12.2M-295.4M-4.3M0.9417.4244,18841,424837,903559,789
2014-08-22$26.10$27.0022.1%7.7%18.7%3.7%28.0%0.9%1.7%15.8M-310.2M-4.4M0.5118.4424,80912,541861,618577,478
2014-08-25$25.62$27.0023.0%7.7%19.4%7.0%27.1%0.3%0.5%14.2M-224.1M-4.3M0.7018.5219,47513,676848,227543,286
2014-08-26$26.19$26.0022.8%7.6%21.2%6.4%26.9%0.9%-0.0%18.0M-344.5M-4.3M0.9218.0719,05917,529856,293546,354
2014-08-27$26.11$26.0023.2%7.6%20.9%7.7%26.8%-1.0%0.3%16.2M-322.2M-4.4M1.8114.0710,40118,799858,811557,143
2014-08-28$26.46$26.0022.6%7.7%19.9%5.4%26.6%-0.1%0.7%17.2M-414.9M-4.4M0.7817.5811,3738,878863,857567,301
2014-08-29$26.69$26.0022.3%7.6%19.8%4.4%26.8%0.9%1.3%23.5M-481.1M-4.4M0.8520.4214,11911,943866,352572,189