GDX Options History — August 2015

In August 2015, GDX traded between $13.07 and $15.89. ATM implied volatility averaged 51.7%, placing in the 81.3% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded below realized volatility by 8.2% (HV 20d: 59.9%). Max pain ranged from $14.50 to $16.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.58.

Notable Days

  • 2015-08-20: Highest Volume — 248,494 contracts
  • 2015-08-24: Largest IV spike — 17.5% change
  • 2015-08-24: Highest IV Rank — 100.0%
  • 2015-08-26: Largest Expected Move — 18.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.23$13.07$15.89$13.27$14.01
Max Pain$15.26$14.50$16.00$14.50$16.00
ATM IV51.7%46.2%67.1%47.2%59.3%
Expected Move15.0%13.0%18.1%13.7%18.0%
HV 20d59.9%53.9%68.8%55.7%65.1%
HV 60d43.9%37.5%51.6%37.8%51.6%
IV Rank81.3%72.4%100.0%75.6%82.7%
IV Percentile94.8%85.3%100.0%93.7%98.8%
Term Structure-0.7%-13.6%7.1%-1.1%-1.3%
VWIV52.9%46.8%63.7%48.7%63.5%
Skew 25d1.0%-2.7%3.9%-0.3%1.0%
Skew 10d0.1%-13.3%8.9%-2.4%2.5%
Call IV 25d51.8%46.9%61.8%48.5%59.4%
Put IV 25d52.8%46.9%62.2%48.3%60.4%
Bid-Ask Spread %8.345.4212.708.849.80
Gamma HHI0.090.070.110.100.07
Net GEX6.5M512.8K15.8M2.1M3.4M
Net DEX176.9M-156.6M368.7M346.1M250.6M
Net VEX-3.4M-4.2M-2.7M-2.7M-3.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.131.450.341.45
Total Volume99,766.71448,119248,49464,04362,529
Total OI1,960,312.5711,844,1742,061,9311,850,7181,950,012

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$13.27$14.5047.2%13.7%55.7%75.6%48.7%-0.3%-1.1%2.1M346.1M-2.7M0.348.8447,94416,0991,233,295617,423
2015-08-04$13.26$14.5046.2%13.0%54.8%72.4%47.0%-0.7%-0.8%1.8M347.8M-2.8M0.756.5833,70225,2511,254,600626,219
2015-08-05$13.08$14.5046.2%13.1%54.8%72.6%46.8%-0.5%-1.8%1.5M368.7M-2.7M1.105.6036,58140,3431,263,672630,374
2015-08-06$13.41$15.0048.3%14.1%56.3%78.7%49.7%-0.9%-0.9%2.5M326.6M-3.0M0.357.6066,79623,7081,266,822658,459
2015-08-07$13.41$15.0046.4%13.7%56.4%73.2%48.7%1.8%0.3%2.4M333.2M-3.0M0.137.8196,41812,3731,301,493669,999
2015-08-10$14.19$15.0046.7%14.0%61.2%74.0%48.8%-1.6%1.5%8.8M179.5M-3.4M0.326.9759,62218,9641,295,293661,431
2015-08-11$14.53$15.0047.5%13.9%62.2%76.4%49.4%-1.2%0.5%11.0M97.8M-3.7M0.307.8348,78514,7371,314,383665,609
2015-08-12$15.44$15.0046.6%13.5%66.1%73.7%48.1%-0.1%-0.2%12.7M-94.7M-4.1M0.236.17130,56130,2021,328,853674,574
2015-08-13$14.60$15.0048.8%14.4%68.8%80.1%50.2%2.3%2.2%10.9M84.8M-3.7M0.455.42120,42553,7761,325,560682,110
2015-08-14$14.45$15.0048.3%14.1%67.1%78.8%50.3%2.4%2.4%8.4M110.3M-3.7M0.398.6162,82224,2941,370,655691,276
2015-08-17$15.08$15.0049.9%14.4%54.1%83.4%50.0%2.0%-0.6%12.0M24.7M-3.9M0.386.9446,03317,5571,336,661682,374
2015-08-18$14.74$15.0050.3%14.5%53.9%84.8%50.6%2.1%-1.0%11.3M99.1M-3.7M0.387.5947,51118,2031,351,850686,851
2015-08-19$15.20$15.0050.4%14.5%54.7%85.1%50.4%2.7%-1.6%14.2M7.6M-3.9M0.487.3432,56415,5551,344,396689,202
2015-08-20$15.89$15.0048.9%14.0%54.1%80.6%49.6%2.1%-0.7%15.8M-156.6M-4.2M0.1611.60213,94734,5471,345,495696,139
2015-08-21$15.29$16.0050.0%14.3%55.5%83.7%50.5%3.0%-0.1%7.0M14.0M-3.9M0.5712.7063,59236,2561,310,715708,321
2015-08-24$14.18$16.0058.8%17.1%60.6%100.0%59.6%3.9%7.1%3.5M215.3M-3.4M0.5312.6577,10040,5211,202,646641,528
2015-08-25$13.70$16.0067.1%17.0%61.7%100.0%59.2%-2.7%-13.6%1.5M294.5M-3.1M0.9811.2339,81138,8941,212,410653,177
2015-08-26$13.07$16.0060.4%18.1%63.5%85.0%63.7%1.6%-2.0%512.8K360.8M-2.9M1.226.9861,07474,5351,222,655658,553
2015-08-27$13.73$16.0060.0%17.8%65.0%84.2%62.9%2.0%-1.1%706.8K301.7M-3.2M0.829.1959,97749,1161,253,208706,365
2015-08-28$14.33$16.0058.9%17.8%66.2%81.7%63.1%1.4%-1.8%4.3M203.8M-3.6M0.877.6154,66847,7081,263,995717,911
2015-08-31$14.01$16.0059.3%18.0%65.1%82.7%63.5%1.0%-1.3%3.4M250.6M-3.5M1.459.8025,56036,9691,256,416693,596