GDX Options History — July 2016

In July 2016, GDX traded between $27.66 and $30.65. ATM implied volatility averaged 44.5%, placing in the 27.7% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 0.6% (HV 20d: 45.2%). Max pain ranged from $25.00 to $28.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.21.

Notable Days

  • 2016-07-05: Highest Volume — 240,588 contracts
  • 2016-07-05: Largest IV spike — 8.9% change
  • 2016-07-05: Highest IV Rank — 50.7%
  • 2016-07-06: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.58$27.66$30.65$29.14$30.65
Max Pain$27.35$25.00$28.00$25.00$28.00
ATM IV44.5%41.9%48.6%44.5%43.0%
Expected Move12.8%12.0%14.0%12.8%12.4%
HV 20d45.2%40.3%50.4%40.3%50.4%
HV 60d51.5%50.2%52.7%52.2%50.8%
IV Rank27.7%5.8%50.7%41.4%10.0%
IV Percentile21.4%5.2%59.1%19.4%9.5%
Term Structure0.1%-0.5%0.9%0.1%0.2%
VWIV45.2%42.7%49.4%44.5%44.0%
Skew 25d0.9%-0.4%1.8%-0.4%1.6%
Skew 10d1.8%-4.9%9.2%-0.2%3.2%
Call IV 25d44.5%41.9%48.9%45.0%42.5%
Put IV 25d45.4%43.1%49.5%44.6%44.1%
Bid-Ask Spread %5.133.2810.275.236.96
Gamma HHI0.080.070.110.090.07
Net GEX14.6M-8.2M28.6M28.6M18.7M
Net DEX-1.73B-2.29B-905.1M-1.99B-2.00B
Net VEX-7.4M-7.6M-6.8M-6.8M-7.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.741.940.741.00
Total Volume153,537.367,784240,588238,782236,623
Total OI2,241,291.32,015,0212,538,5952,181,1622,264,604

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-07-01$29.14$25.0044.5%12.8%40.3%41.4%44.5%-0.4%0.1%28.6M-1.99B-6.8M0.745.23137,421101,3611,137,3721,043,790
2016-07-05$29.62$26.0048.4%13.8%40.5%50.7%49.4%0.4%-0.1%28.5M-1.96B-6.9M1.213.73109,077131,5111,100,7061,038,886
2016-07-06$30.53$26.0048.6%14.0%40.4%49.7%49.0%0.5%-0.3%28.2M-2.23B-7.1M0.863.28108,42193,2061,148,3651,122,603
2016-07-07$29.66$26.0047.9%13.7%41.6%47.8%48.6%0.2%-0.1%24.6M-1.98B-7.5M1.704.6578,231132,6891,177,0761,168,716
2016-07-08$30.62$26.0046.6%13.3%42.5%44.4%46.9%0.6%-0.4%24.2M-2.29B-7.4M1.314.2872,82095,3771,199,7121,243,855
2016-07-11$30.62$27.0045.2%12.8%41.7%40.4%45.4%0.5%-0.3%25.1M-2.18B-7.3M1.293.7861,00678,4131,169,6841,200,842
2016-07-12$29.44$27.0045.7%13.2%44.9%41.8%46.2%-0.4%0.5%18.6M-1.80B-7.5M1.654.4466,862110,3041,181,9271,235,442
2016-07-13$30.44$28.0044.7%12.9%44.6%39.1%45.8%0.8%0.3%21.6M-2.13B-7.6M1.1410.2755,24563,2311,211,8391,275,692
2016-07-14$30.18$28.0044.2%12.7%44.0%37.6%44.9%1.1%0.1%16.2M-2.03B-7.6M1.174.3942,69949,7491,215,5831,304,821
2016-07-15$29.84$28.0043.5%12.6%42.6%35.9%44.9%1.5%0.9%9.4M-1.91B-7.5M0.784.1255,22542,8281,225,9191,312,676
2016-07-18$29.97$28.0042.7%12.2%42.6%29.7%43.4%0.5%0.2%10.1M-1.60B-7.4M1.174.9436,54742,6761,043,343971,678
2016-07-19$29.67$28.0041.9%12.0%42.8%5.8%42.8%1.1%0.2%7.0M-1.53B-7.4M1.944.3623,05944,7251,061,553987,456
2016-07-20$27.82$28.0043.7%12.5%48.4%12.5%44.0%1.6%-0.5%-8.2M-905.1M-7.5M1.615.3578,945126,8991,062,4461,006,167
2016-07-21$28.91$28.0042.5%12.2%49.7%8.1%42.7%1.8%0.4%-2.5M-1.28B-7.4M0.975.0753,27251,4761,074,6271,011,330
2016-07-22$28.84$28.0042.4%12.1%49.4%7.6%42.9%1.6%0.4%6.4M-1.26B-7.4M1.026.3545,99346,9151,086,8721,026,895
2016-07-25$27.66$28.0043.9%12.7%47.9%13.2%44.2%1.1%0.0%-1.0M-948.2M-7.3M0.884.9963,32055,6971,062,948990,938
2016-07-26$28.55$28.0043.5%12.7%49.1%11.6%44.9%1.0%-0.2%6.5M-1.24B-7.4M1.825.7440,16773,0921,093,4261,005,052
2016-07-27$29.72$28.0044.3%12.9%50.3%14.6%45.4%1.0%0.0%14.7M-1.61B-7.4M1.045.9497,074100,8721,103,3461,048,429
2016-07-28$29.78$28.0043.5%12.6%49.7%11.7%44.5%1.0%0.2%14.7M-1.65B-7.4M0.964.6485,63682,0821,133,5461,075,664
2016-07-29$30.65$28.0043.0%12.4%50.4%10.0%44.0%1.6%0.2%18.7M-2.00B-7.4M1.006.96118,483118,1401,159,3601,105,244