GDX Options History — January 2016

In January 2016, GDX traded between $12.54 and $14.83. ATM implied volatility averaged 43.9%, placing in the 41.7% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 1.7% (HV 20d: 42.2%). Max pain ranged from $13.50 to $15.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.82.

Notable Days

2016-01-26: Highest Volume — 144,143 contracts
2016-01-26: Largest IV drop — 6.7% change
2016-01-19: Highest IV Rank — 50.4%
2016-01-19: Largest Expected Move — 13.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.67	$12.54	$14.83	$14.09	$14.02
Max Pain	$13.89	$13.50	$15.00	$14.00	$14.00
ATM IV	43.9%	41.2%	47.4%	42.6%	41.7%
Expected Move	12.5%	11.7%	13.5%	12.1%	11.8%
HV 20d	42.2%	38.6%	47.7%	47.7%	39.6%
HV 60d	43.9%	42.2%	46.3%	46.3%	42.9%
IV Rank	41.7%	34.7%	50.4%	38.4%	36.0%
IV Percentile	55.8%	43.3%	77.0%	46.0%	45.2%
Term Structure	0.1%	-2.0%	1.3%	-0.1%	0.5%
VWIV	43.8%	40.7%	48.0%	42.6%	41.2%
Skew 25d	1.9%	1.0%	4.3%	1.9%	1.7%
Skew 10d	2.9%	-0.4%	5.5%	4.4%	4.5%
Call IV 25d	43.8%	40.8%	47.8%	42.3%	41.5%
Put IV 25d	45.7%	42.3%	50.5%	44.2%	43.3%
Bid-Ask Spread %	9.54	5.83	17.60	7.75	11.00
Gamma HHI	0.13	0.09	0.40	0.11	0.17
Net GEX	3.2M	-6.1M	9.6M	1.2M	9.6M
Net DEX	47.5M	-167.1M	222.0M	131.0M	-167.1M
Net VEX	-2.1M	-2.5M	-1.9M	-1.9M	-2.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.37	2.07	0.86	2.07
Total Volume	84,299.263	39,693	144,143	82,198	39,693
Total OI	1,384,155.263	837,433	1,871,042	1,732,649	1,047,671

Daily Data (19 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
2016-01-04	$14.09	$14.00	42.6%	12.1%	47.7%	38.4%	42.6%	1.9%	-0.1%	1.2M	131.0M	-1.9M	0.86	7.75	44,200	37,998	1,127,335	605,314
2016-01-05	$14.04	$14.00	41.2%	11.7%	44.1%	34.8%	40.7%	1.6%	0.4%	1.1M	136.2M	-1.9M	0.89	6.52	28,087	25,029	1,135,415	603,203
2016-01-06	$14.30	$14.00	41.2%	11.8%	42.2%	34.7%	41.1%	2.4%	0.2%	3.0M	91.5M	-2.0M	0.54	7.27	51,084	27,434	1,141,136	609,947
2016-01-07	$14.83	$14.00	43.5%	12.4%	43.9%	40.6%	43.7%	2.7%	0.2%	6.0M	-23.4M	-2.1M	0.55	7.28	76,928	41,939	1,161,149	616,414
2016-01-08	$14.46	$15.00	42.8%	12.1%	44.9%	38.9%	43.3%	1.8%	0.2%	6.5M	67.4M	-2.1M	0.53	7.94	56,341	30,137	1,172,390	632,164
2016-01-11	$14.00	$13.50	43.4%	12.2%	46.4%	40.3%	43.0%	1.6%	-0.8%	1.8M	131.8M	-2.0M	0.61	8.53	45,377	27,623	1,181,255	607,158
2016-01-12	$13.63	$13.50	43.7%	12.3%	47.1%	41.1%	42.3%	1.8%	-1.4%	-647.6K	185.4M	-1.9M	0.73	6.88	43,480	31,878	1,193,631	607,937
2016-01-13	$13.60	$13.50	44.3%	12.4%	43.3%	42.6%	43.6%	1.8%	-1.0%	-143.7K	177.6M	-2.0M	0.82	8.94	38,970	31,902	1,216,496	609,367
2016-01-14	$13.16	$13.50	44.3%	12.4%	44.9%	42.6%	44.3%	1.2%	-2.0%	-6.1M	222.0M	-1.9M	0.46	11.73	79,431	36,518	1,237,963	607,101
2016-01-15	$13.13	$13.50	46.4%	13.0%	41.8%	48.0%	46.2%	4.3%	-0.2%	2.7M	182.5M	-2.0M	1.22	11.18	62,839	76,820	1,268,386	602,656
2016-01-19	$12.54	$13.50	47.4%	13.5%	38.9%	50.4%	46.8%	1.0%	1.3%	1.3M	70.4M	-1.9M	0.63	12.31	62,600	39,486	502,340	335,093
2016-01-20	$12.82	$14.00	46.9%	13.4%	38.6%	49.1%	48.0%	1.9%	0.7%	1.9M	45.0M	-2.0M	0.46	8.09	50,309	23,321	522,651	345,621
2016-01-21	$12.86	$14.00	46.6%	13.3%	38.6%	48.3%	47.3%	1.4%	0.7%	2.6M	35.6M	-2.0M	1.17	8.76	25,251	29,654	539,967	347,505
2016-01-22	$12.99	$14.00	45.1%	12.8%	38.9%	44.7%	44.9%	1.8%	0.9%	4.1M	25.4M	-2.1M	0.85	6.83	28,936	24,523	549,193	358,820
2016-01-25	$13.29	$14.00	46.2%	13.2%	39.5%	47.5%	47.2%	2.6%	0.3%	3.2M	-10.3M	-2.2M	0.37	5.83	55,971	20,490	527,805	358,454
2016-01-26	$13.86	$14.00	43.2%	12.2%	41.3%	39.8%	42.8%	1.2%	0.6%	6.1M	-93.8M	-2.3M	0.43	15.02	100,683	43,460	561,850	361,316
2016-01-27	$14.14	$14.00	42.2%	12.1%	39.9%	37.4%	42.1%	1.9%	0.8%	8.3M	-164.0M	-2.5M	0.50	17.60	78,302	39,229	615,880	369,772
2016-01-28	$13.91	$14.00	41.9%	12.0%	40.2%	36.6%	40.9%	1.8%	0.6%	8.2M	-140.2M	-2.5M	1.93	11.84	15,611	30,152	640,676	377,919
2016-01-29	$14.02	$14.00	41.7%	11.8%	39.6%	36.0%	41.2%	1.7%	0.5%	9.6M	-167.1M	-2.5M	2.07	11.00	12,941	26,752	668,261	379,410