GDX Options History — February 2016

In February 2016, GDX traded between $14.34 and $19.39. ATM implied volatility averaged 52.1%, placing in the 62.2% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded below realized volatility by 2.0% (HV 20d: 54.1%). Max pain ranged from $13.50 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.74.

Notable Days

  • 2016-02-04: Highest Volume — 372,245 contracts
  • 2016-02-11: Largest IV spike — 12.5% change
  • 2016-02-11: Highest IV Rank — 81.4%
  • 2016-02-11: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.60$14.34$19.39$14.61$19.39
Max Pain$14.32$13.50$15.00$14.00$15.00
ATM IV52.1%40.8%59.7%40.8%51.7%
Expected Move14.9%11.3%17.0%11.3%15.5%
HV 20d54.1%41.4%61.0%42.0%61.0%
HV 60d48.2%43.6%51.3%43.8%50.9%
IV Rank62.2%33.8%81.4%33.8%61.4%
IV Percentile84.7%42.1%97.6%42.1%85.3%
Term Structure-0.7%-1.8%0.6%0.6%-0.4%
VWIV53.0%40.0%60.0%40.0%54.3%
Skew 25d0.7%-0.3%1.7%1.1%0.2%
Skew 10d0.8%-1.7%4.2%3.0%0.8%
Call IV 25d52.7%40.7%60.6%40.7%52.5%
Put IV 25d53.5%41.8%61.4%41.8%52.7%
Bid-Ask Spread %8.115.8411.828.467.44
Gamma HHI0.090.070.150.150.09
Net GEX12.1M9.0M15.4M9.8M12.3M
Net DEX-723.5M-1.02B-192.6M-237.6M-939.2M
Net VEX-3.8M-4.6M-2.5M-2.5M-4.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.251.260.801.14
Total Volume133,486.559,395372,245102,24884,117
Total OI1,345,051.25992,2921,552,781992,2921,533,173

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-02-01$14.61$14.0040.8%11.3%42.0%33.8%40.0%1.1%0.6%9.8M-237.6M-2.5M0.808.4656,74045,508620,010372,282
2016-02-02$14.34$14.0042.4%11.9%41.4%38.0%41.9%1.6%-0.3%9.0M-192.6M-2.6M0.907.8331,22228,173643,138393,202
2016-02-03$15.25$14.0044.6%13.0%46.6%43.5%46.1%0.3%0.6%11.4M-366.0M-2.7M0.609.5888,15552,594653,694399,757
2016-02-04$16.09$13.5047.9%13.4%49.6%51.8%47.4%1.0%-0.4%12.5M-536.6M-2.9M0.255.84298,27673,969700,550416,189
2016-02-05$16.94$14.0047.5%13.4%51.1%50.7%48.7%1.1%-0.6%12.5M-649.4M-3.1M0.7011.8271,54850,219753,437448,137
2016-02-08$17.52$14.0052.6%14.7%50.5%63.5%52.5%-0.3%-0.7%11.7M-715.2M-3.2M0.5010.68164,95382,352745,872443,490
2016-02-09$16.82$14.0053.2%14.9%51.5%65.2%53.5%1.7%-0.9%11.6M-600.3M-3.6M0.8810.1460,07053,049817,295501,191
2016-02-10$17.09$14.0053.1%15.0%49.8%64.7%53.9%0.9%-1.0%12.1M-653.7M-3.7M0.608.8468,71541,485835,682514,685
2016-02-11$18.31$14.0059.7%17.0%53.5%81.4%60.0%0.8%-0.8%12.7M-910.4M-4.0M0.279.28213,11957,306868,141523,382
2016-02-12$18.69$14.0056.0%16.1%50.4%72.2%56.8%1.3%-0.1%13.8M-1.00B-4.3M0.657.3557,15036,996935,207552,020
2016-02-16$17.28$14.0056.2%16.1%60.6%72.6%56.8%0.1%-1.2%13.0M-700.6M-4.1M0.707.2756,42239,251919,342531,431
2016-02-17$17.89$14.0055.1%15.8%56.7%69.9%56.8%0.6%-0.7%14.2M-824.5M-4.2M0.857.1239,05333,033935,132536,779
2016-02-18$18.84$14.0055.7%16.0%58.0%71.3%57.0%0.4%-1.8%15.4M-1.02B-4.1M1.108.8264,69570,928935,978544,503
2016-02-19$18.34$15.0054.0%15.5%60.0%67.0%55.2%0.5%-0.7%10.4M-901.1M-4.3M0.896.8432,05328,442955,101596,851
2016-02-22$18.47$15.0054.4%16.0%60.1%68.2%56.3%0.9%-1.1%10.9M-755.1M-4.2M1.267.5530,48938,508847,242513,150
2016-02-23$18.88$15.0053.5%15.5%60.1%65.8%55.3%0.5%-1.4%11.1M-823.3M-4.2M0.456.12106,64647,532852,170533,959
2016-02-24$19.10$15.0055.3%16.4%59.4%70.4%57.6%0.8%-1.4%12.6M-881.4M-4.5M0.348.48154,09551,649900,655547,886
2016-02-25$19.36$15.0055.3%16.1%59.4%70.4%56.3%1.1%-1.3%13.9M-948.2M-4.6M1.095.8538,29541,842953,570573,961
2016-02-26$18.75$15.0052.3%15.3%60.7%62.9%54.2%0.2%-0.8%10.9M-817.1M-4.6M0.836.9144,34036,741964,659588,122
2016-02-29$19.39$15.0051.7%15.5%61.0%61.4%54.3%0.2%-0.4%12.3M-939.2M-4.6M1.147.4439,26544,852946,733586,440