GDX Options History — March 2015 In March 2015, GDX traded between $17.67 and $20.76. ATM implied volatility averaged 36.8%, placing in the 51.0% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded below realized volatility by 2.2% (HV 20d: 39.0%). Max pain ranged from $18.50 to $20.50. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.65.
Notable Days 2015-03-06 : Highest Volume — 223,324 contracts2015-03-06 : Largest IV spike — 9.5% change2015-03-17 : Highest IV Rank — 61.7%2015-03-11 : Largest Expected Move — 11.6%Monthly Statistics Metric Avg Min Max Open Close Price $18.92 $17.67 $20.76 $20.76 $18.27 Max Pain $19.32 $18.50 $20.50 $20.50 $19.00 ATM IV 36.8% 33.0% 40.1% 33.0% 36.7% Expected Move 10.6% 9.4% 11.6% 9.4% 10.5% HV 20d 39.0% 33.6% 42.3% 35.0% 41.0% HV 60d 46.5% 43.6% 49.3% 48.1% 43.6% IV Rank 51.0% 38.5% 61.7% 38.8% 50.8% IV Percentile 61.5% 48.0% 68.3% 48.4% 61.5% Term Structure 0.1% -1.0% 2.1% 0.3% -0.2% VWIV 37.2% 33.7% 40.1% 33.7% 36.7% Skew 25d 2.0% 0.3% 4.2% 1.8% 1.3% Skew 10d 3.4% -0.3% 8.1% 1.9% 2.2% Call IV 25d 36.2% 32.7% 39.5% 32.7% 36.4% Put IV 25d 38.2% 34.5% 41.5% 34.5% 37.7% Bid-Ask Spread % 10.26 6.78 19.36 11.07 12.20 Gamma HHI 0.07 0.05 0.13 0.09 0.08 Net GEX 2.8M -3.9M 11.2M 11.0M -18.1K Net DEX 66.6M -234.2M 346.0M -234.2M 106.7M Net VEX -4.4M -5.3M -3.8M -5.3M -3.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.65 0.14 1.36 0.72 0.52 Total Volume 87,228.227 37,186 223,324 86,717 76,902 Total OI 1,564,164.773 1,268,466 1,756,478 1,561,710 1,321,744
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 2015-03-02 $20.76 $20.50 33.0% 9.4% 35.0% 38.8% 33.7% 1.8% 0.3% 11.0M -234.2M -5.3M 0.72 11.07 50,446 36,271 1,055,453 506,257 2015-03-03 $20.37 $20.50 33.0% 9.5% 35.0% 38.5% 34.9% 1.8% -0.1% 8.3M -144.3M -5.1M 0.56 11.24 88,904 49,859 1,081,802 512,372 2015-03-04 $20.06 $20.50 35.0% 10.6% 34.6% 45.0% 37.6% 1.7% -0.2% 4.5M -53.6M -4.9M 0.80 13.17 65,760 52,643 1,069,082 530,940 2015-03-05 $20.05 $20.00 34.4% 9.9% 33.6% 43.2% 35.0% 0.6% -0.2% 978.3K -26.2M -4.9M 0.66 9.00 39,623 26,213 1,071,736 551,545 2015-03-06 $18.71 $20.00 37.7% 10.8% 40.0% 53.8% 37.2% 2.3% -1.0% -3.9M 279.0M -4.2M 0.62 8.97 137,642 85,682 1,077,528 572,059 2015-03-09 $17.91 $20.00 38.6% 11.0% 38.5% 56.9% 38.4% 2.0% -0.4% -2.9M 296.1M -3.9M 0.79 9.38 72,982 57,895 1,059,814 544,822 2015-03-10 $17.67 $20.00 39.5% 11.2% 37.1% 59.7% 39.2% 2.2% -0.6% -3.5M 346.0M -3.8M 0.70 9.32 70,588 49,421 1,078,536 576,899 2015-03-11 $18.20 $19.00 39.8% 11.6% 39.5% 60.8% 40.0% 2.3% 0.8% -1.4M 247.5M -4.3M 0.28 10.44 63,687 17,869 1,119,833 601,692 2015-03-12 $18.07 $19.00 38.0% 11.1% 39.1% 55.0% 38.7% 2.6% 0.9% -1.7M 270.3M -4.2M 0.34 9.62 76,664 26,060 1,128,019 604,228 2015-03-13 $18.07 $19.00 39.0% 11.3% 38.4% 58.1% 40.0% 3.0% 0.6% -2.8M 264.6M -4.2M 0.51 8.08 49,411 25,237 1,136,211 611,989 2015-03-16 $18.11 $19.00 39.5% 11.4% 38.3% 59.9% 39.9% 1.8% -0.1% -1.1M 230.8M -4.2M 0.81 8.37 20,885 16,893 1,112,356 591,292 2015-03-17 $17.93 $19.00 40.1% 11.5% 37.0% 61.7% 40.1% 2.0% -0.4% -830.3K 261.6M -4.1M 1.36 9.46 18,516 25,222 1,112,303 595,726 2015-03-18 $18.84 $19.00 38.3% 11.0% 40.1% 56.0% 38.9% 4.2% -0.3% -313.5K 104.6M -4.5M 0.14 19.36 115,970 15,689 1,119,780 610,269 2015-03-19 $18.71 $18.50 37.2% 10.6% 39.2% 52.3% 36.5% 1.6% 2.1% 11.2M 69.2M -4.4M 0.44 9.88 43,129 18,905 1,156,534 587,173 2015-03-20 $19.33 $18.50 35.6% 10.2% 41.4% 47.0% 35.6% 2.5% 0.1% 7.1M -77.4M -4.6M 0.64 8.96 58,821 37,642 1,163,553 592,925 2015-03-23 $19.75 $18.50 35.7% 10.2% 42.3% 47.5% 35.8% 2.7% 0.1% 8.2M -189.3M -4.6M 0.41 10.81 59,445 24,519 797,766 470,700 2015-03-24 $19.64 $19.00 34.8% 9.9% 42.3% 44.6% 34.5% 2.0% 0.7% 8.8M -176.8M -4.6M 0.80 6.78 21,871 17,469 825,101 489,222 2015-03-25 $19.36 $19.00 34.7% 9.9% 41.7% 44.1% 34.9% 0.3% 0.1% 7.9M -122.1M -4.5M 0.44 8.12 25,750 11,436 834,406 498,648 2015-03-26 $19.05 $19.00 35.4% 10.3% 41.8% 46.3% 35.9% 3.0% -0.1% 6.4M -43.6M -4.3M 0.78 12.44 39,990 31,381 845,797 507,706 2015-03-27 $18.84 $19.00 36.2% 10.6% 41.3% 49.1% 36.7% 1.2% -0.4% 3.5M 645.5K -4.2M 0.69 10.36 30,120 20,929 860,012 515,046 2015-03-30 $18.49 $19.00 37.5% 10.8% 41.2% 53.4% 37.7% 1.5% -0.4% 1.8M 56.6M -4.1M 1.26 8.56 19,735 24,945 809,837 502,912 2015-03-31 $18.27 $19.00 36.7% 10.5% 41.0% 50.8% 36.7% 1.3% -0.2% -18.1K 106.7M -3.9M 0.52 12.20 50,742 26,160 813,932 507,812
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