GDX Options History — May 2015

In May 2015, GDX traded between $19.27 and $20.78. ATM implied volatility averaged 31.1%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 2.7% (HV 20d: 28.4%). Max pain ranged from $19.50 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.84.

Notable Days

  • 2015-05-13: Highest Volume — 80,713 contracts
  • 2015-05-08: Largest IV drop — 7.9% change
  • 2015-05-07: Highest IV Rank — 42.7%
  • 2015-05-07: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.07$19.27$20.78$20.21$19.61
Max Pain$19.98$19.50$20.00$19.50$20.00
ATM IV31.1%28.8%34.2%33.1%29.3%
Expected Move9.1%8.3%10.2%9.7%8.3%
HV 20d28.4%23.6%32.9%32.9%23.6%
HV 60d35.3%34.1%37.6%37.5%34.7%
IV Rank32.4%24.9%42.7%39.1%25.4%
IV Percentile39.3%33.7%48.0%45.6%33.7%
Term Structure0.3%-0.6%1.3%0.4%0.1%
VWIV31.7%28.8%35.0%33.5%28.8%
Skew 25d1.7%0.7%2.8%1.8%1.4%
Skew 10d2.7%-0.5%5.0%4.5%2.2%
Call IV 25d30.6%28.2%33.3%32.0%29.0%
Put IV 25d32.3%29.6%35.1%33.7%30.4%
Bid-Ask Spread %8.505.3112.645.3111.37
Gamma HHI0.080.060.260.060.07
Net GEX11.2M2.2M27.3M11.3M6.1M
Net DEX-162.8M-342.4M38.3M-241.3M-61.8M
Net VEX-4.6M-4.8M-4.1M-4.6M-4.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.331.510.400.75
Total Volume50,367.8525,05480,71361,03849,569
Total OI1,389,561.61,330,1041,445,4481,406,6501,424,516

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-05-01$20.21$19.5033.1%9.7%32.9%39.1%33.5%1.8%0.4%11.3M-241.3M-4.6M0.405.3143,65917,379896,546510,104
2015-05-04$20.41$20.0033.0%9.8%30.3%38.8%34.3%2.4%-0.2%13.5M-257.0M-4.8M1.006.0217,02417,001864,423489,736
2015-05-05$20.24$20.0033.5%9.9%29.0%40.2%34.0%2.3%0.1%12.8M-218.1M-4.7M0.746.0829,20021,542874,517497,867
2015-05-06$19.73$20.0034.1%10.0%30.6%42.3%34.6%1.8%0.2%8.3M-112.6M-4.6M0.717.2227,74919,712885,797507,292
2015-05-07$19.75$20.0034.2%10.2%30.3%42.7%35.0%1.8%0.2%9.1M-105.5M-4.7M0.3412.6456,59519,494896,715514,658
2015-05-08$19.97$20.0031.6%9.3%29.3%33.9%33.2%1.5%0.1%27.3M-175.8M-4.6M0.3312.1344,68614,835923,749521,699
2015-05-11$20.02$20.0032.3%9.4%29.0%36.4%32.9%2.8%0.4%13.0M-173.7M-4.6M0.7810.6014,06810,986876,703492,427
2015-05-12$20.29$20.0030.8%9.0%29.2%31.6%31.7%2.4%1.2%16.2M-228.0M-4.6M1.369.4814,26619,357878,394498,635
2015-05-13$20.72$20.0031.6%9.3%28.0%34.0%32.5%1.4%1.1%20.5M-333.8M-4.8M0.806.9844,77435,939881,666505,635
2015-05-14$20.78$20.0030.7%8.7%27.6%31.1%30.8%0.8%-0.1%22.0M-342.4M-4.8M0.476.8739,17418,568889,223526,445
2015-05-15$20.74$20.0030.1%8.6%27.6%29.3%30.9%0.7%-0.1%12.0M-330.7M-4.8M0.788.3034,10826,771890,914531,116
2015-05-18$20.75$20.0028.8%8.3%27.6%24.9%29.2%1.3%1.3%12.7M-267.8M-4.8M0.3810.0926,2349,888834,481495,623
2015-05-19$20.00$20.0030.1%8.7%30.8%29.2%30.6%2.0%0.5%8.0M-121.7M-4.5M1.137.9321,40524,195853,267503,577
2015-05-20$20.06$20.0029.9%8.6%29.0%28.6%30.3%2.7%0.4%7.5M-123.2M-4.5M1.4310.3111,94517,100860,523517,988
2015-05-21$20.02$20.0029.8%8.6%28.0%28.3%30.3%0.8%-0.6%5.1M-99.3M-4.5M1.239.5121,94127,045862,409522,370
2015-05-22$19.91$20.0029.0%8.3%27.0%25.8%28.8%1.4%0.4%6.4M-74.7M-4.4M1.517.7915,80223,790872,993530,328
2015-05-26$19.27$20.0030.5%8.9%28.1%30.5%31.1%1.3%0.0%2.2M38.3M-4.1M1.027.2127,47428,103851,081513,589
2015-05-27$19.39$20.0030.3%8.9%25.3%28.5%30.6%1.8%-0.2%3.1M12.9M-4.2M0.997.4934,16333,917862,414521,200
2015-05-28$19.59$20.0030.1%8.7%25.4%28.0%30.2%1.8%0.4%5.9M-40.1M-4.3M0.576.7430,59517,304885,353525,259
2015-05-29$19.61$20.0029.3%8.3%23.6%25.4%28.8%1.4%0.1%6.1M-61.8M-4.3M0.7511.3728,29921,270896,180528,336