GDX Options History — November 2015

In November 2015, GDX traded between $13.16 and $15.08. ATM implied volatility averaged 45.7%, placing in the 46.2% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 1.1% (HV 20d: 44.6%). Max pain ranged from $14.50 to $16.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.78.

Notable Days

  • 2015-11-05: Highest Volume — 133,794 contracts
  • 2015-11-09: Largest IV spike — 5.1% change
  • 2015-11-09: Highest IV Rank — 50.7%
  • 2015-11-13: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.81$13.16$15.08$15.05$13.76
Max Pain$14.93$14.50$16.00$16.00$14.50
ATM IV45.7%44.4%47.5%45.5%45.1%
Expected Move13.1%12.6%13.6%13.3%12.9%
HV 20d44.6%38.6%52.3%50.5%41.7%
HV 60d51.7%48.1%56.1%56.1%48.7%
IV Rank46.2%42.9%50.7%45.6%44.6%
IV Percentile58.2%47.6%73.8%57.9%52.4%
Term Structure0.4%-2.5%4.7%0.3%-0.4%
VWIV46.2%43.6%48.0%44.9%45.5%
Skew 25d1.7%-0.7%3.1%2.5%1.8%
Skew 10d3.0%1.3%6.9%3.4%3.4%
Call IV 25d45.6%44.5%47.3%44.9%44.7%
Put IV 25d47.3%45.3%48.8%47.4%46.5%
Bid-Ask Spread %8.024.6511.516.9610.33
Gamma HHI0.110.070.140.080.12
Net GEX-2.4M-5.2M1.2M964.3K-2.4M
Net DEX316.1M151.3M411.7M151.3M312.5M
Net VEX-2.4M-2.9M-2.1M-2.9M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.191.720.450.49
Total Volume71,847.532,656133,79467,71937,355
Total OI1,872,256.51,762,1822,005,7161,762,1821,865,245

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-11-02$15.05$16.0045.5%13.3%50.5%45.6%44.9%2.5%0.3%964.3K151.3M-2.9M0.456.9646,59321,1261,075,208686,974
2015-11-03$15.08$16.0045.4%13.4%48.9%45.5%48.0%2.0%0.2%1.2M154.9M-2.8M0.576.3824,37114,0091,077,803690,477
2015-11-04$14.71$16.0045.2%13.2%49.5%44.9%45.6%2.2%0.0%-254.6K207.7M-2.7M0.457.8631,03713,9881,082,400692,118
2015-11-05$14.13$15.0044.9%13.1%51.2%44.2%46.1%1.8%0.5%-2.7M294.0M-2.5M0.634.9582,08351,7111,086,435693,579
2015-11-06$13.46$15.0045.2%13.3%50.9%44.8%46.6%2.2%0.2%-5.2M383.5M-2.4M0.559.2064,33835,6601,130,806722,526
2015-11-09$13.83$15.0047.5%13.2%52.0%50.7%47.9%-0.7%-0.8%-3.6M325.8M-2.4M0.569.0852,04828,9231,119,316722,020
2015-11-10$13.45$15.0046.2%13.5%52.3%47.5%47.4%3.1%1.7%-4.3M369.5M-2.4M1.645.0734,60656,9141,138,888740,442
2015-11-11$13.54$15.0046.8%13.5%43.7%48.9%47.5%1.4%0.5%-3.1M351.9M-2.4M1.724.6533,79258,2251,149,577733,967
2015-11-12$13.50$15.0046.5%13.6%43.7%48.1%47.7%2.4%1.7%-3.1M351.8M-2.3M1.095.5732,84335,7601,152,266736,044
2015-11-13$13.60$15.0046.7%13.6%43.8%48.7%47.6%0.7%0.6%-3.5M341.6M-2.4M0.878.1644,17938,2621,158,662746,046
2015-11-16$13.74$15.0045.0%12.9%41.3%44.4%44.4%1.4%1.4%-3.6M338.4M-2.3M0.1911.5143,4208,2271,149,455749,791
2015-11-17$13.16$14.5046.3%13.3%38.6%47.7%47.3%0.9%0.3%-4.2M411.7M-2.2M0.667.7552,90534,8141,168,695752,152
2015-11-18$13.54$14.5045.9%13.2%39.9%46.6%46.6%2.0%4.7%-2.8M355.1M-2.3M0.699.5348,76433,7731,185,072766,147
2015-11-19$13.92$14.5045.5%13.0%40.2%45.6%45.8%1.4%1.1%-1.5M284.3M-2.4M0.498.1470,35834,6151,196,233779,395
2015-11-20$13.44$14.5045.5%12.9%39.8%45.6%45.7%1.7%0.2%-3.0M382.4M-2.2M0.8710.5636,28031,5291,222,564783,152
2015-11-23$13.33$14.5046.3%12.8%39.1%47.6%46.3%3.0%-0.8%-3.2M358.9M-2.2M0.569.4620,89011,7661,147,325712,289
2015-11-24$13.84$14.5045.5%12.7%42.4%45.6%44.7%1.3%-0.4%-729.9K288.5M-2.3M0.725.7527,70020,0221,158,380710,292
2015-11-25$13.73$14.5044.9%12.6%42.3%44.0%43.6%0.7%-2.5%-1.2M304.1M-2.2M1.258.0129,62236,9551,160,449716,333
2015-11-27$13.45$14.5044.4%12.7%40.4%42.9%44.8%2.2%0.3%-2.5M353.7M-2.1M1.1111.4027,22930,2581,166,840719,767
2015-11-30$13.76$14.5045.1%12.9%41.7%44.6%45.5%1.8%-0.4%-2.4M312.5M-2.1M0.4910.3325,14712,2081,151,913713,332