GDX Options History — December 2015

In December 2015, GDX traded between $13.34 and $14.79. ATM implied volatility averaged 43.2%, placing in the 39.8% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded below realized volatility by 2.6% (HV 20d: 45.8%). Max pain ranged from $14.50 to $18.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.80.

Notable Days

  • 2015-12-03: Highest Volume — 124,952 contracts
  • 2015-12-22: Largest IV drop — 6.9% change
  • 2015-12-14: Highest IV Rank — 48.9%
  • 2015-12-14: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.95$13.34$14.79$14.16$13.66
Max Pain$17.00$14.50$18.00$14.50$16.00
ATM IV43.2%40.4%46.8%43.2%40.5%
Expected Move12.4%11.3%13.4%12.5%11.5%
HV 20d45.8%41.8%50.1%43.3%46.8%
HV 60d49.2%45.8%51.4%49.0%45.8%
IV Rank39.8%32.7%48.9%39.8%32.9%
IV Percentile48.1%40.1%67.9%44.0%40.5%
Term Structure0.2%-1.7%1.1%0.1%0.5%
VWIV44.3%40.2%47.9%45.7%41.1%
Skew 25d1.3%-0.9%3.4%2.0%1.2%
Skew 10d2.1%-0.3%4.7%3.5%3.7%
Call IV 25d43.3%40.3%47.9%42.8%40.3%
Put IV 25d44.7%39.8%48.7%44.8%41.5%
Bid-Ask Spread %14.865.9048.679.9348.67
Gamma HHI0.110.080.180.100.13
Net GEX496.2K-3.9M4.8M141.7K-1.9M
Net DEX227.1M93.9M361.0M241.5M222.0M
Net VEX-2.1M-2.5M-1.9M-2.2M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.381.300.930.57
Total Volume70,491.13639,096124,95260,96962,622
Total OI1,895,512.9091,721,8912,045,8471,885,7571,744,246

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$14.16$14.5043.2%12.5%43.3%39.8%45.7%2.0%0.1%141.7K241.5M-2.2M0.939.9331,65629,3131,168,139717,618
2015-12-02$13.84$14.5042.7%12.5%43.8%38.5%44.1%2.4%0.9%-1.4M296.7M-2.1M1.129.0433,94938,0221,181,667728,889
2015-12-03$14.08$18.0042.9%12.5%43.7%39.1%43.7%2.1%0.1%338.1K246.2M-2.2M0.429.2787,81137,1411,190,899730,560
2015-12-04$14.79$18.0041.6%12.1%44.9%35.9%43.3%1.6%0.6%3.0M93.9M-2.5M0.599.7962,74336,8331,250,964740,347
2015-12-07$14.20$18.0042.7%12.3%43.8%38.7%43.9%1.6%0.2%1.2M216.2M-2.3M0.3813.3639,92415,0031,243,259729,332
2015-12-08$14.06$18.0043.4%12.5%43.0%40.3%44.5%1.2%0.4%1.3M232.3M-2.3M0.7010.6828,34619,7121,258,606729,726
2015-12-09$14.22$18.0044.2%12.7%41.8%42.4%44.9%1.3%0.3%2.5M202.0M-2.3M0.719.6029,81121,1921,263,989732,312
2015-12-10$14.22$18.0043.7%12.6%41.8%41.1%46.9%0.6%-0.2%2.9M197.6M-2.3M1.2614.5317,26921,8271,270,728734,845
2015-12-11$14.34$18.0044.8%13.0%41.8%44.0%45.9%1.8%1.0%3.2M181.6M-2.3M0.6212.4840,96225,3941,273,018737,190
2015-12-14$13.61$18.0046.8%13.4%46.1%48.9%47.1%2.1%-0.6%-769.8K305.8M-2.1M0.8219.1442,14834,3531,268,144717,990
2015-12-15$13.63$18.0046.3%13.3%45.9%47.6%47.6%1.6%-0.2%-262.6K302.5M-2.1M1.309.4925,16032,7241,279,093716,539
2015-12-16$14.21$18.0044.4%12.7%45.3%42.9%46.3%0.8%-0.0%4.8M198.2M-2.2M0.7528.4036,99327,7011,286,142716,848
2015-12-17$13.34$18.0046.7%13.4%50.1%48.6%47.9%0.4%0.6%-3.9M361.0M-1.9M1.1215.3751,45757,7081,280,645720,470
2015-12-18$13.69$18.0045.4%13.1%50.0%45.3%46.7%0.8%-1.7%-1.4M288.8M-2.1M0.5213.5670,01636,3591,305,352740,495
2015-12-21$13.70$17.0044.9%12.8%48.3%44.1%45.6%3.4%-0.3%-123.6K247.8M-2.1M1.0329.3634,14035,3061,120,207637,960
2015-12-22$13.70$16.0041.8%12.2%48.2%36.3%42.7%1.4%1.1%-365.0K218.3M-2.1M0.9325.5031,47429,1121,136,212626,433
2015-12-23$13.89$16.0040.5%11.7%46.6%33.0%41.8%0.7%0.7%1.1M187.2M-2.1M0.385.9074,90228,7191,142,333632,274
2015-12-24$14.27$16.0041.1%11.3%47.4%34.6%40.4%-0.9%0.3%2.6M135.8M-2.0M0.436.2646,17319,6261,127,043632,485
2015-12-28$13.77$16.0041.7%11.7%48.6%36.0%42.1%1.2%0.2%-834.9K214.9M-1.9M1.248.7721,82527,1291,103,219618,672
2015-12-29$13.93$16.0040.6%11.8%48.1%33.4%41.4%0.9%0.2%295.4K173.0M-1.9M1.1111.2324,65727,3811,112,093611,847
2015-12-30$13.66$16.0040.4%11.4%47.4%32.7%40.2%1.4%0.2%-1.6M233.9M-1.9M0.706.5833,09723,1151,115,383627,071
2015-12-31$13.66$16.0040.5%11.5%46.8%32.9%41.1%1.2%0.5%-1.9M222.0M-1.9M0.5748.6739,96822,6541,122,229622,017