GDX Options History — September 2015

In September 2015, GDX traded between $13.12 and $14.49. ATM implied volatility averaged 53.0%, placing in the 65.5% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded below realized volatility by 1.4% (HV 20d: 54.4%). Max pain ranged from $14.00 to $16.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.54.

Notable Days

2015-09-11: Highest Volume — 152,117 contracts
2015-09-09: Largest IV drop — 5.3% change
2015-09-01: Highest IV Rank — 93.0%
2015-09-01: Largest Expected Move — 18.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.60	$13.12	$14.49	$13.73	$13.69
Max Pain	$14.24	$14.00	$16.00	$16.00	$14.00
ATM IV	53.0%	46.4%	64.0%	64.0%	52.7%
Expected Move	15.2%	13.3%	18.6%	18.6%	15.3%
HV 20d	54.4%	45.7%	65.6%	65.6%	46.2%
HV 60d	53.2%	51.1%	56.4%	51.7%	56.1%
IV Rank	65.5%	48.4%	93.0%	93.0%	63.8%
IV Percentile	92.1%	74.6%	99.6%	99.6%	93.3%
Term Structure	-0.0%	-2.0%	4.0%	4.0%	-1.2%
VWIV	53.8%	46.9%	65.7%	65.7%	53.9%
Skew 25d	1.6%	0.2%	4.3%	4.3%	1.8%
Skew 10d	2.1%	-1.1%	4.6%	0.8%	4.5%
Call IV 25d	53.3%	46.4%	60.7%	60.6%	52.0%
Put IV 25d	54.8%	48.3%	64.9%	64.9%	53.8%
Bid-Ask Spread %	9.88	5.26	18.81	10.90	9.99
Gamma HHI	0.11	0.07	0.47	0.08	0.09
Net GEX	3.2M	-688.1K	19.3M	2.3M	2.9M
Net DEX	256.3M	120.4M	359.3M	272.9M	187.8M
Net VEX	-3.1M	-3.4M	-2.8M	-3.4M	-3.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.54	0.26	1.02	1.02	0.85
Total Volume	79,238.238	25,721	152,117	59,428	107,981
Total OI	1,922,327.952	1,623,438	2,144,067	1,967,865	1,776,866

Daily Data (21 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
2015-09-01	$13.73	$16.00	64.0%	18.6%	65.6%	93.0%	65.7%	4.3%	4.0%	2.3M	272.9M	-3.4M	1.02	10.90	29,454	29,974	1,263,486	704,379
2015-09-02	$13.57	$16.00	60.7%	18.0%	65.5%	85.5%	64.1%	2.1%	-2.0%	1.3M	308.6M	-3.3M	0.67	9.79	42,808	28,845	1,272,015	706,750
2015-09-03	$13.39	$14.50	60.1%	16.5%	65.1%	83.8%	53.9%	4.2%	-1.1%	255.9K	331.6M	-3.1M	0.32	15.15	82,607	26,147	1,290,466	707,729
2015-09-04	$13.39	$14.50	58.9%	16.4%	65.1%	81.0%	58.5%	1.1%	-0.4%	2.4M	328.5M	-3.2M	0.71	9.39	58,389	41,746	1,337,233	710,844
2015-09-08	$13.55	$14.00	57.0%	16.0%	61.8%	75.7%	57.4%	1.3%	-1.2%	3.5M	293.3M	-3.2M	0.51	6.43	16,998	8,723	1,325,222	701,472
2015-09-09	$13.16	$14.00	54.0%	15.9%	61.7%	68.5%	55.5%	3.0%	1.1%	1.0M	352.6M	-3.0M	0.47	5.26	35,931	16,853	1,329,743	703,984
2015-09-10	$13.14	$14.00	52.1%	14.8%	56.7%	63.7%	52.1%	2.3%	0.2%	605	359.3M	-2.9M	0.42	8.15	56,613	23,969	1,342,744	702,035
2015-09-11	$13.20	$14.00	51.0%	14.6%	53.9%	61.2%	51.4%	0.2%	-0.8%	1.0M	337.7M	-2.9M	0.76	8.72	86,542	65,575	1,374,748	694,005
2015-09-14	$13.12	$14.00	53.1%	15.2%	53.9%	66.3%	53.8%	1.4%	-0.8%	92.6K	346.7M	-2.9M	0.92	8.65	34,925	32,293	1,364,399	714,704
2015-09-15	$13.13	$14.00	51.8%	14.8%	51.0%	63.0%	52.9%	0.6%	0.2%	-688.1K	353.3M	-2.9M	0.26	8.69	21,210	5,455	1,382,630	722,973
2015-09-16	$13.92	$14.00	50.8%	14.6%	55.6%	60.7%	51.6%	1.3%	-0.2%	6.0M	223.6M	-3.1M	0.45	6.94	52,033	23,430	1,394,017	723,269
2015-09-17	$14.30	$14.00	48.6%	13.9%	55.3%	55.4%	49.6%	1.8%	0.9%	9.9M	153.7M	-3.2M	0.40	18.81	67,932	27,019	1,403,847	725,391
2015-09-18	$14.49	$14.00	48.2%	13.8%	52.8%	54.4%	49.0%	1.2%	0.2%	19.3M	123.7M	-3.3M	0.37	12.92	90,539	33,651	1,411,873	732,194
2015-09-21	$14.03	$14.00	46.4%	13.3%	52.3%	48.4%	46.9%	1.9%	0.9%	2.2M	178.5M	-3.0M	0.59	9.69	29,049	17,134	1,009,101	614,337
2015-09-22	$13.50	$14.00	48.6%	14.1%	47.0%	53.4%	50.3%	1.5%	0.4%	318.4K	243.6M	-2.9M	0.40	6.02	41,907	16,870	1,015,993	619,013
2015-09-23	$13.32	$14.00	48.4%	14.1%	45.7%	52.9%	49.7%	0.8%	0.4%	399.1K	259.6M	-2.8M	0.49	6.24	42,771	20,821	1,056,721	622,813
2015-09-24	$14.25	$14.00	50.5%	14.7%	48.5%	58.2%	51.7%	0.4%	-0.4%	5.2M	120.4M	-3.3M	0.35	8.88	86,977	30,460	1,076,215	627,297
2015-09-25	$13.99	$14.00	50.1%	14.3%	46.1%	57.3%	51.4%	0.9%	-0.0%	7.0M	152.6M	-3.2M	0.45	11.11	52,292	23,303	1,097,039	641,874
2015-09-28	$13.35	$14.00	52.6%	15.4%	46.3%	63.5%	54.9%	0.2%	0.4%	1.3M	227.6M	-3.0M	0.70	13.18	51,859	36,340	1,093,328	626,300
2015-09-29	$13.36	$14.00	53.7%	15.8%	45.7%	66.4%	56.6%	0.5%	-0.7%	892.3K	225.7M	-3.0M	0.29	12.55	51,726	14,852	1,107,831	642,007
2015-09-30	$13.69	$14.00	52.7%	15.3%	46.2%	63.8%	53.9%	1.8%	-1.2%	2.9M	187.8M	-3.1M	0.85	9.99	58,339	49,642	1,132,447	644,419