GDX Options History — October 2015

In October 2015, GDX traded between $13.49 and $16.97. ATM implied volatility averaged 48.9%, placing in the 54.2% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded below realized volatility by 6.9% (HV 20d: 55.8%). Max pain ranged from $14.00 to $16.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.65.

Notable Days

  • 2015-10-06: Highest Volume — 127,705 contracts
  • 2015-10-19: Largest IV spike — 4.0% change
  • 2015-10-02: Highest IV Rank — 65.2%
  • 2015-10-01: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.74$13.49$16.97$13.49$15.03
Max Pain$15.39$14.00$16.00$14.00$16.00
ATM IV48.9%44.8%53.3%52.2%44.8%
Expected Move14.0%13.1%15.0%15.0%13.1%
HV 20d55.8%46.3%61.4%46.3%52.9%
HV 60d56.7%53.9%59.6%56.1%56.1%
IV Rank54.2%43.9%65.2%62.5%43.9%
IV Percentile80.5%52.8%94.0%92.5%52.8%
Term Structure-0.1%-1.9%1.2%-0.5%0.5%
VWIV49.6%46.9%53.2%52.8%47.0%
Skew 25d1.9%0.5%3.3%1.3%1.8%
Skew 10d3.1%-0.4%6.3%-0.4%2.2%
Call IV 25d48.7%44.6%53.0%52.6%44.6%
Put IV 25d50.6%46.4%55.0%53.9%46.4%
Bid-Ask Spread %9.796.5324.2013.027.14
Gamma HHI0.080.060.180.100.18
Net GEX4.8M-4.2M8.4M794.9K-4.2M
Net DEX-48.8M-291.2M225.5M225.5M154.5M
Net VEX-3.5M-3.8M-3.0M-3.1M-3.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.280.990.280.88
Total Volume72,195.95533,361127,70581,96755,174
Total OI1,786,913.3181,712,3481,856,0481,815,7501,794,507

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$13.49$14.0052.2%15.0%46.3%62.5%52.8%1.3%-0.5%794.9K225.5M-3.1M0.2813.0263,99717,9701,137,866677,884
2015-10-02$14.47$14.0053.3%14.9%52.3%65.2%53.2%2.0%-0.1%4.3M68.4M-3.4M0.3811.3090,27433,9211,158,049683,293
2015-10-05$15.12$14.0051.6%14.6%54.1%60.9%51.5%2.5%0.3%6.5M-29.2M-3.6M0.338.8154,99118,0911,127,308667,652
2015-10-06$15.64$14.5050.6%14.3%55.0%58.5%50.6%2.3%-0.4%7.6M-101.6M-3.7M0.467.6787,48140,2241,121,488672,290
2015-10-07$15.65$15.0048.7%13.9%53.4%53.8%49.4%2.1%-0.1%7.1M-96.8M-3.7M0.497.4359,58829,1941,130,877683,682
2015-10-08$15.51$15.0049.2%14.0%53.6%54.9%49.5%1.9%0.0%6.8M-69.7M-3.6M0.577.9345,22725,7301,129,546689,092
2015-10-09$16.11$15.0048.5%13.8%54.6%53.2%48.7%1.4%-0.3%8.4M-177.8M-3.7M0.467.3745,50620,7671,134,902695,213
2015-10-12$15.69$15.0049.3%14.0%55.9%55.3%49.0%2.4%0.1%6.9M-79.5M-3.5M0.969.6341,18339,3951,113,860683,076
2015-10-13$15.81$15.0049.4%14.1%55.8%55.5%49.2%2.9%0.1%6.2M-78.9M-3.5M0.778.3440,84631,4221,112,510697,409
2015-10-14$16.97$15.5049.3%14.2%57.4%55.2%49.9%1.6%-0.6%7.7M-291.2M-3.8M0.479.7577,42336,7361,118,083706,381
2015-10-15$16.89$15.5048.2%13.8%57.2%52.4%49.0%2.1%0.1%7.3M-277.8M-3.8M0.639.9243,24327,0941,124,950719,436
2015-10-16$16.45$16.0047.5%13.6%58.5%50.7%47.7%3.3%1.2%4.4M-199.1M-3.7M0.608.1844,48226,7591,131,038725,010
2015-10-19$15.62$16.0049.4%14.1%60.6%55.5%49.0%3.0%-1.2%3.1M24.8M-3.3M0.8324.2034,87928,8431,051,020661,328
2015-10-20$16.33$16.0049.3%14.1%59.8%55.2%49.5%2.3%-1.9%5.1M-83.3M-3.5M0.558.7428,38415,5771,060,615673,499
2015-10-21$15.76$16.0050.6%14.5%61.4%58.5%51.9%1.7%-0.9%3.0M7.5M-3.4M0.876.6925,35921,9931,063,723678,512
2015-10-22$16.16$16.0048.7%14.0%57.7%53.8%49.3%1.5%-0.8%4.6M-49.2M-3.5M0.997.7023,02622,7851,067,259681,409
2015-10-23$16.51$16.0048.8%14.1%57.2%53.9%50.0%0.9%-1.3%7.1M-121.9M-3.6M0.666.5329,42019,3631,068,555685,290
2015-10-26$16.03$16.0047.7%14.0%55.3%51.2%49.8%1.3%0.5%4.3M-26.8M-3.3M0.878.0218,87516,4011,055,864670,403
2015-10-27$16.06$16.0046.9%13.8%55.2%49.0%48.9%0.5%0.8%4.4M-24.2M-3.4M0.898.2217,64115,7201,063,279676,159
2015-10-28$15.81$16.0046.9%13.9%55.6%49.1%49.2%2.1%0.4%3.4M17.2M-3.2M0.7916.7141,75933,1321,070,900678,694
2015-10-29$15.14$16.0045.0%13.3%58.0%44.5%46.9%1.9%0.7%593.9K134.7M-3.0M0.5012.0165,64732,7891,081,212688,970
2015-10-30$15.03$16.0044.8%13.1%52.9%43.9%47.0%1.8%0.5%-4.2M154.5M-3.0M0.887.1429,41625,7581,094,180700,327