GDX Options History — June 2015

In June 2015, GDX traded between $17.79 and $19.78. ATM implied volatility averaged 29.0%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 6.4% (HV 20d: 22.6%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.09.

Notable Days

  • 2015-06-16: Highest Volume — 118,343 contracts
  • 2015-06-17: Largest IV drop — 5.6% change
  • 2015-06-16: Highest IV Rank — 31.5%
  • 2015-06-16: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.70$17.79$19.78$19.54$17.79
Max Pain$19.27$19.00$20.00$20.00$19.00
ATM IV29.0%27.4%31.2%30.5%28.6%
Expected Move8.3%7.8%9.0%8.8%8.0%
HV 20d22.6%20.3%24.5%23.5%20.3%
HV 60d29.2%25.1%34.7%34.7%25.1%
IV Rank24.3%19.0%31.5%29.2%22.8%
IV Percentile29.6%21.4%38.5%36.9%26.2%
Term Structure0.3%-0.3%0.9%-0.2%-0.2%
VWIV29.5%27.2%31.5%30.7%28.5%
Skew 25d1.1%0.3%2.7%1.1%0.4%
Skew 10d1.4%-1.4%4.1%1.2%0.0%
Call IV 25d28.8%27.3%31.2%29.7%28.7%
Put IV 25d29.9%27.8%32.0%30.9%29.2%
Bid-Ask Spread %9.976.7024.956.707.48
Gamma HHI0.090.080.120.080.11
Net GEX688.7K-6.1M9.8M7.3M-3.5M
Net DEX98.9M-102.8M217.1M-49.0M207.9M
Net VEX-3.9M-4.4M-3.3M-4.3M-3.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.222.541.310.96
Total Volume48,207.13626,803118,34343,14234,946
Total OI1,449,715.7271,283,3291,660,5081,418,9331,301,540

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-06-01$19.54$20.0030.5%8.8%23.5%29.2%30.7%1.1%-0.2%7.3M-49.0M-4.3M1.316.7018,65624,486893,938524,995
2015-06-02$19.78$20.0030.0%8.6%23.6%27.5%30.5%2.0%-0.2%9.8M-102.8M-4.4M0.227.8825,7595,625900,472534,803
2015-06-03$19.38$20.0029.9%8.7%24.5%27.2%30.4%1.2%0.1%6.3M-22.4M-4.3M1.168.0812,42814,375920,779537,595
2015-06-04$19.09$19.5030.1%8.9%23.4%28.0%30.9%1.0%-0.1%2.4M43.2M-4.2M1.269.2614,48218,297923,069541,069
2015-06-05$18.89$19.5029.5%8.8%23.6%25.9%30.8%1.6%-0.0%754.4K99.2M-4.0M1.309.1734,11244,228928,552541,931
2015-06-08$18.99$19.5030.3%8.9%23.2%28.7%30.5%2.7%0.5%114.1K84.7M-4.1M0.948.1116,88015,885919,038561,186
2015-06-09$18.79$19.5029.1%8.5%23.3%24.8%30.4%1.2%0.7%-642.8K108.8M-4.0M1.7812.3413,93924,869926,976562,969
2015-06-10$19.04$19.5028.1%8.2%23.3%21.4%29.8%1.7%0.5%284.4K78.1M-4.1M2.498.6512,89932,147932,154575,102
2015-06-11$18.68$19.5028.5%8.4%22.1%22.7%29.3%1.3%0.7%-3.2M154.7M-3.9M0.889.8315,26313,476937,040582,577
2015-06-12$18.55$19.0028.7%8.4%21.9%23.2%29.8%0.3%0.8%-6.1M171.8M-3.8M0.3710.2243,55916,141941,556579,368
2015-06-15$18.60$19.0030.0%8.6%22.1%27.6%30.7%0.6%0.4%-2.4M149.7M-4.0M0.487.7826,12412,604964,276579,148
2015-06-16$18.33$19.0031.2%9.0%22.2%31.5%31.5%0.5%-0.3%-4.6M217.1M-3.8M1.448.6748,53169,812966,876583,220
2015-06-17$18.85$19.0029.4%8.4%22.2%25.6%30.5%1.5%0.4%-2.2M126.1M-4.0M0.5424.9527,60915,0351,005,025631,728
2015-06-18$19.08$19.0028.5%8.1%22.8%22.8%28.7%0.7%0.6%1.3M43.3M-4.1M0.388.6856,37121,1771,008,095629,800
2015-06-19$18.61$19.0028.2%8.1%24.1%21.7%29.0%1.2%0.2%3.2M143.7M-3.9M2.549.6424,92763,2641,026,970633,538
2015-06-22$18.45$19.0028.6%8.1%24.2%23.0%28.8%1.2%0.4%2.7M72.7M-3.8M0.4910.8525,35912,449795,275488,054
2015-06-23$18.35$19.0027.8%7.9%21.7%20.4%27.4%1.1%0.9%2.1M96.1M-3.7M1.4012.3626,84737,577798,082486,919
2015-06-24$18.39$19.0027.6%7.8%21.5%19.8%27.6%0.9%0.7%1.6M103.0M-3.7M0.887.8824,03421,246810,079508,772
2015-06-25$18.19$19.0027.5%7.8%21.1%19.4%27.4%0.8%0.4%-241.4K137.4M-3.5M0.919.2214,30013,053810,146497,900
2015-06-26$18.13$19.0027.4%7.8%21.1%19.0%27.2%0.5%0.6%1.1M143.9M-3.5M0.958.7915,21314,468816,481497,296
2015-06-29$17.93$19.0028.7%8.0%21.2%23.2%28.2%0.5%-0.2%-1.0M167.9M-3.5M1.1912.7617,36720,738803,650485,707
2015-06-30$17.79$19.0028.6%8.0%20.3%22.8%28.5%0.4%-0.2%-3.5M207.9M-3.3M0.967.4817,82517,121811,184490,356