GDX Options History — November 2014

In November 2014, GDX traded between $16.46 and $20.34. ATM implied volatility averaged 45.2%, placing in the 93.0% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded below realized volatility by 22.3% (HV 20d: 67.5%). Max pain ranged from $20.00 to $22.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.60.

Notable Days

2014-11-18: Highest Volume — 245,177 contracts
2014-11-19: Largest IV spike — 13.3% change
2014-11-03: Highest IV Rank — 100.0%
2014-11-19: Largest Expected Move — 12.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.69	$16.46	$20.34	$17.96	$18.36
Max Pain	$20.42	$20.00	$22.00	$22.00	$20.00
ATM IV	45.2%	43.0%	49.0%	43.5%	45.8%
Expected Move	11.9%	11.4%	12.7%	11.4%	12.1%
HV 20d	67.5%	47.6%	77.6%	56.3%	77.6%
HV 60d	48.6%	38.9%	55.8%	38.9%	55.8%
IV Rank	93.0%	78.4%	100.0%	100.0%	88.4%
IV Percentile	98.6%	93.3%	100.0%	100.0%	98.0%
Term Structure	-0.6%	-1.7%	0.3%	-0.7%	-0.3%
VWIV	43.1%	40.7%	45.2%	40.7%	43.6%
Skew 25d	1.1%	-3.1%	3.6%	1.0%	3.4%
Skew 10d	1.9%	-6.2%	6.9%	2.4%	3.7%
Call IV 25d	45.6%	41.8%	50.2%	44.2%	44.3%
Put IV 25d	46.7%	43.8%	49.9%	45.2%	47.6%
Bid-Ask Spread %	17.46	12.15	24.47	12.15	24.26
Gamma HHI	0.08	0.05	0.12	0.08	0.05
Net GEX	4.5M	-3.6M	16.2M	-2.2M	1.7M
Net DEX	314.0M	-35.6M	654.1M	559.3M	420.1M
Net VEX	-4.1M	-5.5M	-2.5M	-2.9M	-4.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.31	1.43	0.40	0.65
Total Volume	109,497.211	37,917	245,177	118,303	81,022
Total OI	1,973,352.211	1,676,565	2,236,030	1,676,565	2,053,868

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2014-11-03	$17.96	$22.00	43.5%	11.4%	56.3%	100.0%	40.7%	1.0%	-0.7%	-2.2M	559.3M	-2.9M	0.40	12.15	84,378	33,925	1,075,860	600,705
2014-11-04	$17.16	$21.00	44.1%	11.6%	57.1%	100.0%	44.9%	-3.1%	0.1%	-2.8M	607.1M	-2.7M	0.46	13.37	46,576	21,484	1,120,042	620,567
2014-11-05	$16.46	$21.00	44.3%	11.9%	47.6%	100.0%	44.6%	-1.5%	0.3%	-3.6M	654.1M	-2.5M	0.54	17.13	98,557	53,502	1,140,577	626,284
2014-11-06	$17.38	$21.00	45.1%	11.9%	52.0%	100.0%	42.1%	1.5%	-0.5%	-1.1M	554.0M	-3.2M	0.36	17.62	88,202	32,051	1,198,096	653,255
2014-11-07	$18.66	$21.00	44.2%	11.8%	59.4%	96.3%	42.9%	0.4%	-0.2%	1.7M	371.6M	-3.9M	0.33	19.57	85,387	27,880	1,247,532	665,054
2014-11-10	$17.37	$21.00	47.1%	11.9%	63.6%	100.0%	45.2%	-0.2%	-1.1%	-1.2M	553.1M	-3.3M	0.81	16.70	47,838	38,735	1,239,506	656,689
2014-11-11	$18.31	$21.00	44.8%	11.6%	66.5%	91.3%	41.7%	0.8%	-0.2%	1.5M	440.8M	-3.6M	1.12	12.86	64,076	71,907	1,238,473	655,784
2014-11-12	$18.17	$20.00	44.6%	11.6%	66.5%	90.7%	42.8%	1.9%	0.0%	-552.2K	474.4M	-3.6M	0.40	14.83	49,726	20,077	1,256,992	705,608
2014-11-13	$17.85	$20.00	44.9%	11.7%	66.5%	91.8%	42.6%	-0.5%	-1.7%	-1.5M	503.8M	-3.5M	0.42	16.41	47,469	19,983	1,274,356	711,590
2014-11-14	$19.02	$20.00	46.4%	12.0%	70.6%	97.4%	41.8%	2.9%	-1.1%	3.0M	287.6M	-4.1M	0.45	17.82	99,851	45,244	1,282,613	713,872
2014-11-17	$19.35	$20.00	45.3%	11.9%	70.3%	93.2%	42.2%	1.6%	-0.7%	6.1M	238.9M	-4.1M	0.31	16.45	97,310	29,910	1,291,632	700,945
2014-11-18	$20.34	$20.00	43.3%	11.9%	72.9%	85.4%	41.4%	1.8%	-0.2%	15.1M	-35.6M	-4.7M	0.50	16.90	163,685	81,492	1,342,789	714,489
2014-11-19	$19.19	$20.00	49.0%	12.7%	74.9%	100.0%	44.6%	-0.7%	0.1%	9.5M	172.3M	-5.1M	0.51	17.65	127,318	65,101	1,420,996	763,694
2014-11-20	$19.83	$20.00	47.6%	12.5%	76.0%	95.1%	44.4%	2.2%	-0.0%	14.1M	9.7M	-5.5M	1.43	24.47	38,008	54,226	1,437,787	787,801
2014-11-21	$19.78	$20.00	46.0%	12.2%	76.0%	89.1%	43.4%	1.4%	-0.2%	16.2M	8.1M	-5.4M	1.01	15.82	55,947	56,618	1,443,927	792,103
2014-11-24	$19.59	$20.00	45.8%	12.0%	75.9%	88.3%	43.8%	1.1%	-1.7%	7.2M	128.2M	-5.2M	0.47	19.28	25,817	12,100	1,290,647	718,330
2014-11-25	$20.31	$20.00	43.8%	11.9%	76.8%	81.5%	42.1%	3.6%	-1.6%	10.7M	-9.0M	-5.4M	0.60	17.71	46,900	28,238	1,291,292	721,331
2014-11-26	$20.10	$20.00	43.0%	12.0%	75.2%	78.4%	44.3%	2.5%	-0.9%	11.2M	27.9M	-5.3M	0.55	20.71	25,708	14,199	1,310,308	728,298
2014-11-28	$18.36	$20.00	45.8%	12.1%	77.6%	88.4%	43.6%	3.4%	-0.3%	1.7M	420.1M	-4.4M	0.65	24.26	49,217	31,805	1,317,963	735,905