GDX Options History — January 2015

In January 2015, GDX traded between $18.86 and $22.94. ATM implied volatility averaged 45.8%, placing in the 80.1% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded below realized volatility by 8.0% (HV 20d: 53.7%). Max pain ranged from $18.50 to $21.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.44.

Notable Days

2015-01-15: Highest Volume — 216,036 contracts
2015-01-27: Largest IV drop — 4.5% change
2015-01-15: Highest IV Rank — 87.6%
2015-01-15: Largest Expected Move — 13.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.30	$18.86	$22.94	$18.86	$22.23
Max Pain	$20.10	$18.50	$21.00	$19.00	$21.00
ATM IV	45.8%	42.4%	48.0%	45.9%	42.9%
Expected Move	13.0%	12.2%	13.6%	13.2%	12.3%
HV 20d	53.7%	47.5%	59.8%	54.0%	51.8%
HV 60d	64.1%	62.1%	65.8%	64.0%	62.9%
IV Rank	80.1%	69.3%	87.6%	80.7%	70.9%
IV Percentile	88.8%	77.0%	97.6%	92.1%	77.0%
Term Structure	-0.2%	-2.3%	1.4%	-0.7%	0.1%
VWIV	45.5%	42.8%	47.6%	46.8%	42.9%
Skew 25d	3.1%	0.9%	4.7%	4.7%	3.3%
Skew 10d	5.9%	0.4%	9.7%	9.3%	6.4%
Call IV 25d	44.8%	41.1%	47.8%	45.0%	41.3%
Put IV 25d	47.9%	44.4%	50.7%	49.7%	44.6%
Bid-Ask Spread %	10.58	7.16	15.39	14.03	8.21
Gamma HHI	0.10	0.06	0.16	0.08	0.07
Net GEX	15.4M	6.2M	20.7M	6.2M	16.9M
Net DEX	-438.4M	-760.7M	112.7M	112.7M	-579.8M
Net VEX	-5.3M	-6.4M	-4.1M	-4.1M	-6.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.44	0.23	0.93	0.28	0.35
Total Volume	111,480.85	39,706	216,036	65,083	99,098
Total OI	1,623,866.6	1,151,022	2,008,684	1,770,805	1,466,428

Daily Data (20 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
2015-01-02	$18.86	$19.00	45.9%	13.2%	54.0%	80.7%	46.8%	4.7%	-0.7%	6.2M	112.7M	-4.1M	0.28	14.03	50,899	14,184	1,144,032	626,773
2015-01-05	$19.44	$18.50	47.5%	13.3%	54.2%	85.9%	46.5%	4.0%	0.2%	9.4M	-21.5M	-4.2M	0.51	15.39	34,157	17,390	1,148,248	607,905
2015-01-06	$20.47	$19.00	46.8%	13.4%	56.4%	83.4%	47.0%	4.1%	0.3%	13.4M	-280.6M	-4.5M	0.24	14.32	80,047	19,259	1,165,305	610,471
2015-01-07	$20.09	$19.00	47.1%	13.5%	56.9%	84.5%	46.7%	0.9%	0.2%	13.4M	-197.7M	-4.4M	0.69	12.37	33,103	22,836	1,173,785	616,310
2015-01-08	$19.75	$19.50	46.8%	13.2%	55.2%	83.5%	45.6%	2.5%	-0.3%	12.8M	-92.3M	-4.4M	0.47	10.93	85,705	40,443	1,187,452	623,761
2015-01-09	$20.63	$20.00	45.7%	12.9%	56.3%	80.0%	45.3%	4.3%	0.4%	14.3M	-337.1M	-4.7M	0.26	8.88	92,342	23,544	1,226,024	640,470
2015-01-12	$21.55	$20.00	46.3%	12.9%	57.7%	82.0%	45.6%	2.3%	-0.5%	17.6M	-547.3M	-4.9M	0.33	8.38	111,278	36,334	1,237,407	625,473
2015-01-13	$20.62	$20.00	46.9%	12.9%	59.8%	83.7%	45.4%	2.7%	-1.6%	16.8M	-308.8M	-4.8M	0.47	13.93	121,318	56,695	1,269,384	633,777
2015-01-14	$20.25	$20.00	46.5%	12.9%	53.7%	82.5%	44.9%	3.6%	-0.7%	13.1M	-197.1M	-4.8M	0.38	10.76	56,857	21,498	1,286,275	648,413
2015-01-15	$21.51	$20.00	48.0%	13.6%	56.0%	87.6%	47.6%	2.5%	0.0%	19.7M	-561.4M	-5.1M	0.23	13.35	175,175	40,861	1,285,752	639,433
2015-01-16	$22.16	$20.00	47.1%	13.4%	54.8%	84.4%	46.5%	3.9%	-0.3%	19.6M	-760.7M	-5.4M	0.24	9.93	118,829	28,303	1,350,330	658,354
2015-01-20	$22.94	$20.00	46.9%	13.4%	54.3%	84.0%	47.4%	2.2%	-0.2%	17.1M	-724.0M	-5.5M	0.40	10.05	145,794	57,801	770,262	380,760
2015-01-21	$22.54	$20.50	46.6%	13.4%	54.6%	82.8%	46.5%	1.4%	1.4%	17.2M	-694.9M	-6.1M	0.24	10.56	95,479	22,666	846,177	427,273
2015-01-22	$22.52	$20.50	46.0%	13.3%	47.5%	80.9%	46.3%	1.9%	-2.3%	19.3M	-728.3M	-6.2M	0.38	7.98	57,089	21,728	906,512	435,781
2015-01-23	$21.81	$21.00	44.1%	12.6%	49.7%	74.8%	44.1%	2.2%	0.8%	14.9M	-563.4M	-6.0M	0.71	12.40	57,771	41,082	924,244	440,533
2015-01-26	$22.15	$21.00	44.9%	12.7%	49.3%	77.3%	44.5%	4.2%	-1.1%	16.5M	-568.1M	-6.1M	0.92	8.36	20,712	18,994	892,343	433,514
2015-01-27	$22.88	$21.00	42.9%	12.2%	49.6%	70.7%	43.5%	4.3%	-0.1%	20.7M	-729.3M	-6.3M	0.40	7.40	51,614	20,642	901,723	435,251
2015-01-28	$21.99	$21.00	42.4%	12.3%	51.3%	69.3%	42.8%	2.6%	0.2%	16.3M	-554.9M	-6.1M	0.93	7.24	75,061	69,482	921,150	443,781
2015-01-29	$21.60	$21.00	43.6%	12.5%	51.5%	73.3%	44.1%	3.5%	0.3%	12.7M	-434.5M	-6.2M	0.45	7.16	64,323	29,224	959,649	486,817
2015-01-30	$22.23	$21.00	42.9%	12.3%	51.8%	70.9%	42.9%	3.3%	0.1%	16.9M	-579.8M	-6.4M	0.35	8.21	73,351	25,747	973,013	493,415