GDX Options History — April 2016

In April 2016, GDX traded between $19.58 and $25.75. ATM implied volatility averaged 45.9%, placing in the 46.7% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded below realized volatility by 3.3% (HV 20d: 49.2%). Max pain ranged from $19.50 to $22.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.52.

Notable Days

  • 2016-04-21: Highest Volume — 344,132 contracts
  • 2016-04-29: Largest IV spike — 6.3% change
  • 2016-04-29: Highest IV Rank — 53.7%
  • 2016-04-29: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.21$19.58$25.75$20.07$25.75
Max Pain$21.07$19.50$22.00$20.00$22.00
ATM IV45.9%44.2%48.7%44.3%48.7%
Expected Move13.1%12.2%13.9%12.2%13.9%
HV 20d49.2%42.4%53.6%52.0%47.5%
HV 60d53.4%52.6%54.0%53.3%53.7%
IV Rank46.7%42.4%53.7%42.7%53.7%
IV Percentile52.8%36.9%71.8%42.1%71.8%
Term Structure-0.1%-0.8%0.5%0.4%-0.7%
VWIV46.8%43.6%51.5%43.6%50.4%
Skew 25d1.1%0.0%1.7%1.2%0.4%
Skew 10d2.3%0.8%4.1%4.1%4.1%
Call IV 25d46.1%43.7%49.8%44.4%49.8%
Put IV 25d47.3%45.1%50.2%45.6%50.2%
Bid-Ask Spread %5.674.3310.4010.405.62
Gamma HHI0.070.050.080.080.07
Net GEX12.2M-219.8K21.2M2.4M17.3M
Net DEX-981.9M-1.74B-405.2M-549.5M-1.74B
Net VEX-5.3M-5.9M-5.0M-5.0M-5.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.478.161.591.14
Total Volume141,040.33356,435344,132116,914337,246
Total OI1,820,396.811,560,8672,137,9611,560,8672,137,961

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-04-01$20.07$20.0044.3%12.2%52.0%42.7%43.6%1.2%0.4%2.4M-549.5M-5.0M1.5910.4045,08271,832851,598709,269
2016-04-04$19.58$19.5044.7%12.8%52.7%43.5%44.8%1.6%0.4%-219.8K-405.2M-5.0M0.764.8340,13630,529840,319722,662
2016-04-05$20.18$19.5046.0%13.2%52.4%47.0%46.3%1.2%-0.1%4.4M-546.4M-5.0M0.684.5241,16528,099850,042734,371
2016-04-06$20.11$19.5045.5%12.9%50.0%45.7%45.8%1.7%0.1%3.6M-539.7M-5.0M0.925.2529,46626,969863,873745,668
2016-04-07$20.69$19.5044.8%12.9%50.9%44.0%45.5%1.5%0.1%10.5M-711.8M-5.0M1.475.0666,95398,449875,607754,118
2016-04-08$21.43$20.0044.6%12.8%50.6%43.5%45.6%1.0%-0.1%13.5M-894.1M-5.0M0.475.84101,41447,616896,748781,158
2016-04-11$22.76$20.0046.9%13.4%53.5%49.2%48.4%1.1%0.0%19.9M-1.20B-5.0M1.164.3397,514112,913921,873769,367
2016-04-12$22.83$21.0047.5%13.6%52.1%50.8%48.3%1.3%0.0%19.8M-1.21B-5.2M1.214.5163,88676,996953,959828,592
2016-04-13$22.21$21.5046.5%13.3%53.6%48.2%47.1%1.1%0.1%18.8M-1.06B-5.3M0.904.7658,11452,553976,253855,531
2016-04-14$21.53$21.5045.2%13.1%49.5%45.0%46.1%0.9%0.5%14.8M-866.2M-5.4M0.935.3658,87654,757979,791875,531
2016-04-15$22.19$21.5045.5%13.0%50.2%45.7%46.4%0.5%-0.2%11.9M-1.05B-5.4M0.936.5141,27838,411989,320891,721
2016-04-18$22.21$21.5044.2%12.6%48.7%42.4%44.5%1.4%0.4%12.8M-955.8M-5.3M1.654.9530,21749,921902,365749,988
2016-04-19$23.36$21.5044.4%12.7%51.0%42.8%45.9%1.1%-0.4%15.8M-1.21B-5.2M0.894.91139,442124,253915,446778,748
2016-04-20$22.80$22.0046.4%13.3%52.2%47.8%47.5%1.5%-0.5%13.7M-1.07B-5.7M1.405.6859,31282,908974,321857,674
2016-04-21$23.20$22.0047.7%13.7%44.5%51.2%51.5%1.5%-0.2%17.1M-1.17B-5.7M8.165.9937,573306,559988,056845,212
2016-04-22$22.61$22.0046.9%13.4%46.2%49.0%47.9%1.7%0.4%7.0M-951.4M-5.9M1.865.3633,10061,496989,1651,090,281
2016-04-25$22.49$22.0046.9%13.4%46.3%49.2%47.6%1.3%-0.2%5.9M-910.8M-5.8M1.005.2834,65834,668965,8511,081,915
2016-04-26$22.94$22.0045.5%13.0%43.1%45.6%46.4%1.0%-0.2%10.6M-1.05B-5.8M2.325.6621,71550,400981,9301,098,442
2016-04-27$23.20$22.0045.9%12.9%42.4%46.6%46.2%0.8%-0.8%14.6M-1.13B-5.7M1.767.5034,55760,696989,4031,104,828
2016-04-28$24.20$22.0045.8%13.2%43.9%46.4%46.8%0.0%-0.5%21.2M-1.40B-5.6M0.816.6599,70380,415991,1441,118,232
2016-04-29$25.75$22.0048.7%13.9%47.5%53.7%50.4%0.4%-0.7%17.3M-1.74B-5.4M1.145.62157,699179,547995,5891,142,372