GDX Options History — March 2016

In March 2016, GDX traded between $18.61 and $21.31. ATM implied volatility averaged 48.0%, placing in the 51.9% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded below realized volatility by 7.4% (HV 20d: 55.3%). Max pain ranged from $15.00 to $20.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.92.

Notable Days

2016-03-04: Highest Volume — 226,030 contracts
2016-03-15: Largest IV drop — 4.8% change
2016-03-08: Highest IV Rank — 62.4%
2016-03-01: Largest Expected Move — 15.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.92	$18.61	$21.31	$18.61	$20.05
Max Pain	$19.36	$15.00	$20.50	$15.00	$20.00
ATM IV	48.0%	43.8%	52.1%	51.1%	44.7%
Expected Move	13.8%	12.3%	15.5%	15.5%	12.6%
HV 20d	55.3%	47.0%	63.5%	63.5%	53.9%
HV 60d	51.7%	50.5%	53.5%	51.4%	53.3%
IV Rank	51.9%	41.2%	62.4%	59.8%	43.7%
IV Percentile	67.1%	43.3%	86.1%	84.5%	44.0%
Term Structure	0.1%	-0.5%	0.8%	0.2%	0.1%
VWIV	48.8%	43.3%	54.6%	54.6%	44.2%
Skew 25d	1.1%	0.1%	2.0%	0.7%	2.0%
Skew 10d	2.0%	0.4%	3.9%	0.6%	2.9%
Call IV 25d	48.2%	43.6%	53.0%	51.7%	44.4%
Put IV 25d	49.4%	45.5%	53.6%	52.4%	46.4%
Bid-Ask Spread %	7.60	4.65	13.03	7.43	8.12
Gamma HHI	0.08	0.07	0.10	0.08	0.07
Net GEX	9.9M	2.4M	18.1M	8.9M	4.5M
Net DEX	-840.1M	-1.33B	-386.6M	-773.2M	-528.7M
Net VEX	-4.7M	-5.0M	-4.5M	-4.6M	-4.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.92	0.51	1.62	0.51	0.76
Total Volume	97,122.955	48,231	226,030	75,269	69,809
Total OI	1,578,941.091	1,337,108	1,785,922	1,558,522	1,533,723

Daily Data (22 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
2016-03-01	$18.61	$15.00	51.1%	15.5%	63.5%	59.8%	54.6%	0.7%	0.2%	8.9M	-773.2M	-4.6M	0.51	7.43	49,740	25,529	950,216	608,306
2016-03-02	$19.09	$15.00	49.4%	14.7%	62.6%	55.5%	52.0%	0.1%	0.1%	11.5M	-873.0M	-4.5M	0.53	6.90	31,513	16,718	959,037	610,184
2016-03-03	$19.87	$19.00	49.7%	14.3%	60.9%	56.2%	50.5%	0.7%	0.3%	14.7M	-1.04B	-4.5M	0.59	6.21	89,048	52,226	961,872	609,685
2016-03-04	$19.66	$19.00	50.9%	14.6%	59.5%	59.4%	51.5%	0.6%	-0.2%	12.9M	-994.6M	-4.6M	0.55	9.38	145,681	80,349	975,857	622,683
2016-03-07	$20.33	$19.50	52.0%	15.0%	58.1%	62.1%	53.0%	1.0%	0.5%	13.4M	-1.11B	-4.7M	1.14	6.47	36,988	42,153	994,275	638,051
2016-03-08	$19.48	$19.50	52.1%	14.9%	60.2%	62.4%	52.3%	0.5%	-0.2%	10.0M	-900.6M	-4.6M	1.39	5.85	33,997	47,341	986,175	662,758
2016-03-09	$19.58	$19.50	51.4%	14.7%	57.6%	60.6%	51.4%	0.7%	-0.4%	9.9M	-931.7M	-4.7M	0.70	5.97	61,156	42,911	999,399	680,466
2016-03-10	$20.34	$19.50	49.9%	14.2%	58.6%	56.8%	51.2%	0.9%	-0.1%	14.4M	-1.12B	-4.7M	0.52	4.89	74,088	38,405	1,022,704	690,772
2016-03-11	$19.85	$19.50	48.7%	14.0%	55.1%	53.8%	50.2%	1.2%	-0.0%	12.5M	-997.8M	-4.7M	0.78	4.65	56,089	43,911	1,028,123	699,805
2016-03-14	$19.35	$19.50	49.7%	14.3%	55.7%	56.3%	49.9%	1.6%	-0.2%	10.2M	-873.3M	-4.6M	0.77	5.79	27,332	21,029	1,019,252	668,909
2016-03-15	$19.51	$19.50	47.4%	13.6%	47.0%	50.3%	47.8%	1.1%	0.7%	11.8M	-916.6M	-4.6M	0.74	6.25	38,762	28,581	1,025,610	670,822
2016-03-16	$20.94	$19.50	47.5%	13.6%	51.4%	50.8%	49.8%	1.5%	0.4%	16.6M	-1.23B	-4.6M	1.22	13.03	72,419	88,010	1,021,763	677,852
2016-03-17	$21.31	$19.50	46.8%	13.4%	48.9%	48.9%	48.0%	0.8%	0.2%	18.1M	-1.33B	-4.7M	0.58	6.98	63,345	37,055	1,036,806	710,200
2016-03-18	$20.66	$20.00	46.0%	13.1%	49.3%	47.0%	46.7%	2.0%	0.8%	10.1M	-1.18B	-4.8M	1.62	9.81	46,131	74,882	1,052,708	733,214
2016-03-21	$20.42	$20.50	44.4%	12.5%	49.7%	42.8%	45.0%	0.7%	-0.1%	7.3M	-619.2M	-4.8M	0.91	8.05	32,931	29,822	771,689	565,419
2016-03-22	$20.56	$20.50	43.8%	12.3%	49.3%	41.2%	43.3%	2.0%	-0.2%	6.2M	-631.2M	-4.9M	1.45	7.49	23,316	33,888	791,498	611,150
2016-03-23	$19.20	$20.50	45.1%	13.1%	55.5%	44.8%	45.8%	1.1%	-0.0%	2.4M	-386.6M	-4.7M	1.23	9.29	49,118	60,645	798,541	586,134
2016-03-24	$19.43	$20.50	46.9%	13.4%	55.5%	49.3%	47.3%	1.1%	0.3%	3.9M	-427.0M	-4.8M	1.13	7.68	46,920	53,120	808,722	600,865
2016-03-28	$19.41	$20.50	47.0%	13.4%	54.2%	49.5%	47.0%	2.0%	-0.5%	3.0M	-416.7M	-4.8M	0.91	9.85	30,128	27,334	789,220	612,142
2016-03-29	$20.50	$20.00	45.1%	12.9%	56.3%	44.5%	46.4%	1.5%	0.2%	8.7M	-644.8M	-4.8M	1.33	9.74	69,776	92,910	804,653	623,977
2016-03-30	$20.18	$20.00	45.5%	13.1%	54.4%	45.6%	45.7%	1.6%	-0.3%	5.8M	-562.8M	-5.0M	0.92	7.46	26,874	24,725	829,477	691,990
2016-03-31	$20.05	$20.00	44.7%	12.6%	53.9%	43.7%	44.2%	2.0%	0.1%	4.5M	-528.7M	-4.9M	0.76	8.12	39,726	30,083	834,828	698,895