GDX Options History — December 2014

In December 2014, GDX traded between $17.16 and $19.86. ATM implied volatility averaged 47.0%, placing in the 87.7% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 22.2% (HV 20d: 69.2%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.78.

Notable Days

2014-12-01: Highest Volume — 126,768 contracts
2014-12-15: Largest IV spike — 6.4% change
2014-12-15: Highest IV Rank — 100.0%
2014-12-16: Largest Expected Move — 14.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.54	$17.16	$19.86	$19.83	$18.38
Max Pain	$19.86	$19.00	$20.00	$20.00	$19.00
ATM IV	47.0%	44.2%	51.9%	45.0%	46.5%
Expected Move	13.2%	12.0%	14.3%	12.0%	13.1%
HV 20d	69.2%	54.9%	80.2%	79.4%	54.9%
HV 60d	61.5%	58.2%	64.6%	58.2%	64.2%
IV Rank	87.7%	82.6%	100.0%	85.6%	82.6%
IV Percentile	97.0%	92.9%	100.0%	96.4%	93.7%
Term Structure	0.1%	-1.6%	1.9%	1.9%	0.3%
VWIV	46.7%	42.3%	50.0%	42.3%	46.3%
Skew 25d	1.9%	0.2%	4.5%	3.7%	1.1%
Skew 10d	3.9%	-0.2%	10.5%	9.0%	5.7%
Call IV 25d	47.3%	44.2%	52.3%	44.3%	47.0%
Put IV 25d	49.2%	46.1%	54.3%	48.0%	48.1%
Bid-Ask Spread %	22.20	12.02	33.66	19.77	12.02
Gamma HHI	0.07	0.05	0.08	0.06	0.07
Net GEX	3.2M	-2.3M	8.8M	8.0M	4.7M
Net DEX	287.8M	96.7M	574.5M	112.1M	178.9M
Net VEX	-4.4M	-5.1M	-3.8M	-5.0M	-4.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.42	1.75	0.79	0.62
Total Volume	70,767	35,773	126,768	126,768	45,687
Total OI	1,984,651.273	1,727,553	2,167,958	2,035,732	1,752,873

Daily Data (22 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
2014-12-01	$19.83	$20.00	45.0%	12.0%	79.4%	85.6%	42.3%	3.7%	1.9%	8.0M	112.1M	-5.0M	0.79	19.77	70,902	55,866	1,306,212	729,520
2014-12-02	$19.05	$20.00	45.2%	12.5%	80.2%	86.2%	43.9%	2.2%	1.4%	4.9M	273.0M	-4.7M	0.86	23.17	39,196	33,807	1,320,381	737,176
2014-12-03	$19.77	$20.00	44.4%	12.3%	78.9%	83.5%	44.2%	2.8%	0.2%	8.8M	107.8M	-5.1M	0.79	25.35	29,705	23,318	1,330,131	750,465
2014-12-04	$19.20	$20.00	45.5%	12.8%	78.0%	87.3%	44.5%	0.4%	0.2%	5.1M	231.0M	-4.8M	1.15	29.96	23,367	26,763	1,335,186	757,232
2014-12-05	$18.80	$20.00	44.2%	12.5%	76.6%	82.7%	43.9%	0.9%	-0.3%	3.2M	352.6M	-4.6M	0.86	22.34	40,652	34,922	1,341,727	759,408
2014-12-08	$19.00	$20.00	45.1%	12.7%	72.5%	85.9%	44.2%	4.2%	0.4%	4.2M	288.8M	-4.7M	0.62	25.52	34,975	21,819	1,311,257	741,390
2014-12-09	$19.86	$20.00	45.3%	12.6%	68.7%	86.7%	44.3%	1.8%	-1.6%	8.1M	96.7M	-5.0M	0.63	24.22	47,338	29,605	1,320,936	744,150
2014-12-10	$19.34	$20.00	46.3%	13.0%	67.4%	90.3%	45.4%	1.1%	0.5%	5.6M	215.6M	-4.7M	0.88	30.79	31,048	27,286	1,322,052	748,853
2014-12-11	$19.07	$20.00	46.7%	13.0%	67.5%	91.8%	46.5%	0.4%	-0.4%	4.1M	271.9M	-4.7M	0.49	33.66	41,191	20,031	1,325,836	754,446
2014-12-12	$18.72	$20.00	48.8%	13.5%	67.6%	99.1%	47.5%	1.0%	-0.3%	2.8M	347.3M	-4.5M	1.04	31.58	32,784	34,126	1,343,296	755,653
2014-12-15	$17.45	$20.00	51.9%	13.8%	68.2%	100.0%	48.8%	0.6%	-1.2%	-1.4M	525.9M	-3.9M	0.73	28.08	56,318	40,843	1,336,252	747,508
2014-12-16	$17.16	$20.00	51.3%	14.3%	67.8%	98.0%	50.0%	2.8%	0.6%	-2.3M	574.5M	-3.8M	0.91	21.85	54,057	49,157	1,357,282	753,293
2014-12-17	$17.99	$20.00	49.2%	13.9%	67.5%	91.4%	49.6%	4.5%	-0.0%	-487.0K	467.1M	-4.1M	0.42	25.24	61,380	26,032	1,369,108	767,724
2014-12-18	$18.77	$20.00	46.5%	13.5%	66.7%	82.6%	47.7%	2.4%	1.0%	4.5M	295.5M	-4.4M	0.58	23.16	66,032	38,247	1,377,992	765,451
2014-12-19	$18.53	$20.00	47.2%	13.6%	65.6%	84.7%	47.9%	2.5%	-0.0%	2.0M	321.7M	-4.3M	1.75	18.44	14,324	24,999	1,394,033	773,925
2014-12-22	$17.39	$0.00	47.9%	13.6%	69.0%	86.9%	49.3%	2.1%	0.5%	-33.5K	387.7M	-3.8M	0.64	18.36	50,780	32,627	1,106,786	662,978
2014-12-23	$17.27	$20.00	47.3%	13.6%	68.9%	84.9%	49.0%	1.5%	0.6%	-657.4K	361.5M	-3.8M	0.50	16.75	44,342	22,248	1,119,344	641,913
2014-12-24	$17.77	$20.00	47.1%	13.4%	68.4%	84.4%	48.9%	1.2%	0.6%	1.1M	292.0M	-3.9M	0.53	15.87	37,951	20,121	1,124,340	640,555
2014-12-26	$18.26	$20.00	46.9%	13.2%	69.4%	83.7%	49.5%	2.5%	-1.2%	2.7M	198.2M	-4.1M	0.84	14.81	35,204	29,746	1,130,155	634,338
2014-12-29	$17.83	$19.00	48.3%	13.5%	62.1%	88.3%	47.9%	0.2%	-0.7%	1.4M	268.9M	-3.8M	0.55	13.38	46,514	25,791	1,109,522	618,031
2014-12-30	$18.45	$19.00	46.6%	13.4%	56.6%	82.9%	46.9%	1.3%	-0.2%	4.5M	162.6M	-4.0M	0.98	14.03	18,111	17,662	1,123,021	620,597
2014-12-31	$18.38	$19.00	46.5%	13.1%	54.9%	82.6%	46.3%	1.1%	0.3%	4.7M	178.9M	-4.0M	0.62	12.02	28,128	17,559	1,129,943	622,930