GDX Options History — September 2016

In September 2016, GDX traded between $25.85 and $28.56. ATM implied volatility averaged 43.4%, placing in the 30.4% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 5.8% (HV 20d: 49.2%). Max pain ranged from $26.00 to $27.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.68.

Notable Days

2016-09-16: Highest Volume — 327,532 contracts
2016-09-09: Largest IV spike — 11.5% change
2016-09-13: Highest IV Rank — 50.9%
2016-09-13: Largest Expected Move — 13.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.87	$25.85	$28.56	$26.31	$26.42
Max Pain	$26.60	$26.00	$27.00	$26.00	$26.50
ATM IV	43.4%	39.4%	48.2%	46.1%	39.4%
Expected Move	12.3%	10.7%	13.5%	12.7%	11.1%
HV 20d	49.2%	38.1%	58.0%	38.1%	49.2%
HV 60d	44.8%	42.1%	46.2%	42.1%	44.2%
IV Rank	30.4%	13.5%	50.9%	40.3%	13.5%
IV Percentile	26.5%	4.0%	66.3%	44.4%	4.0%
Term Structure	-0.3%	-1.3%	0.6%	-0.6%	0.6%
VWIV	43.3%	37.8%	47.3%	47.3%	39.0%
Skew 25d	0.8%	0.0%	1.9%	0.1%	0.7%
Skew 10d	1.2%	-2.2%	3.9%	1.5%	-0.2%
Call IV 25d	43.5%	39.4%	48.6%	47.0%	39.4%
Put IV 25d	44.3%	40.1%	48.9%	47.1%	40.1%
Bid-Ask Spread %	7.23	3.66	12.32	8.42	5.77
Gamma HHI	0.07	0.06	0.14	0.07	0.06
Net GEX	23.5M	1.2M	47.5M	6.8M	20.6M
Net DEX	-783.0M	-1.68B	-269.0M	-507.2M	-524.6M
Net VEX	-7.5M	-8.1M	-6.8M	-7.9M	-6.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.68	0.37	0.96	0.37	0.72
Total Volume	178,495.952	80,050	327,532	288,810	111,408
Total OI	2,569,287.048	2,196,967	2,988,463	2,710,900	2,300,568

Daily Data (21 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
2016-09-01	$26.31	$26.00	46.1%	12.7%	38.1%	40.3%	47.3%	0.1%	-0.6%	6.8M	-507.2M	-7.9M	0.37	8.42	210,886	77,924	1,516,570	1,194,330
2016-09-02	$27.35	$26.00	41.3%	10.7%	40.5%	21.0%	37.8%	0.0%	-0.2%	40.8M	-1.07B	-8.1M	0.48	6.28	146,187	70,613	1,630,358	1,206,692
2016-09-06	$28.55	$27.00	41.4%	11.7%	43.8%	21.9%	41.2%	0.5%	-0.2%	47.2M	-1.68B	-7.9M	0.87	4.59	114,352	99,550	1,568,646	1,148,624
2016-09-07	$28.56	$27.00	41.0%	11.7%	43.6%	20.1%	41.2%	0.9%	0.1%	47.5M	-1.67B	-7.9M	0.92	4.20	85,411	78,364	1,589,613	1,201,928
2016-09-08	$27.86	$27.00	41.1%	11.7%	43.4%	20.8%	41.2%	0.5%	-0.3%	33.5M	-1.28B	-7.8M	0.86	3.66	88,800	76,008	1,623,253	1,216,749
2016-09-09	$26.37	$27.00	45.9%	12.9%	46.8%	41.0%	45.4%	0.3%	-0.6%	1.2M	-468.5M	-7.6M	0.56	5.37	159,263	89,917	1,657,797	1,244,457
2016-09-12	$27.28	$27.00	46.5%	13.1%	49.1%	43.8%	46.4%	0.5%	-0.6%	20.0M	-1.00B	-7.8M	0.69	5.91	133,321	91,571	1,655,775	1,208,854
2016-09-13	$25.92	$27.00	48.2%	13.5%	51.6%	50.9%	47.1%	0.3%	-1.0%	4.7M	-368.4M	-7.3M	0.37	9.08	216,519	79,993	1,708,879	1,199,799
2016-09-14	$26.08	$26.50	47.3%	13.3%	51.8%	47.2%	46.5%	0.6%	-0.9%	4.9M	-447.9M	-7.4M	0.60	6.59	64,308	38,714	1,720,012	1,217,707
2016-09-15	$26.24	$26.50	46.6%	13.2%	51.9%	44.2%	46.5%	0.8%	-0.7%	7.9M	-534.2M	-7.3M	0.96	7.04	84,848	81,153	1,729,228	1,212,218
2016-09-16	$25.85	$26.50	46.9%	13.2%	51.5%	45.4%	46.1%	1.9%	-1.3%	4.2M	-269.0M	-7.1M	0.81	8.43	181,108	146,424	1,741,137	1,247,326
2016-09-19	$26.21	$26.50	44.6%	12.7%	51.7%	35.8%	44.6%	1.0%	0.3%	21.2M	-574.2M	-7.5M	0.75	6.42	50,171	37,801	1,316,052	880,915
2016-09-20	$26.05	$26.50	45.4%	13.0%	51.6%	39.0%	45.2%	1.4%	-0.0%	19.9M	-524.7M	-7.5M	0.87	4.61	42,891	37,159	1,332,467	889,472
2016-09-21	$27.94	$26.50	41.6%	11.9%	58.0%	23.0%	42.7%	0.4%	-0.2%	42.1M	-1.23B	-7.8M	0.83	12.32	153,931	127,275	1,348,479	896,366
2016-09-22	$27.78	$26.50	40.1%	11.5%	51.7%	16.4%	41.0%	0.9%	-0.3%	40.4M	-1.10B	-7.5M	0.52	11.07	134,051	69,677	1,340,625	965,908
2016-09-23	$26.88	$26.50	41.0%	11.8%	52.9%	20.5%	41.1%	1.3%	-0.0%	25.4M	-648.0M	-7.3M	0.46	9.66	121,664	56,042	1,328,330	969,426
2016-09-26	$26.78	$26.50	42.4%	12.2%	52.9%	26.5%	43.2%	1.1%	-0.0%	26.8M	-685.8M	-7.2M	0.76	8.93	45,515	34,606	1,305,231	903,213
2016-09-27	$26.29	$26.50	41.0%	11.8%	53.3%	20.1%	41.2%	0.8%	0.1%	18.4M	-491.0M	-6.9M	0.58	8.32	62,009	35,937	1,310,550	914,725
2016-09-28	$26.82	$26.50	41.8%	12.0%	50.2%	23.4%	42.2%	1.4%	0.3%	29.8M	-692.8M	-7.1M	0.52	11.21	80,134	41,377	1,323,495	920,600
2016-09-29	$26.76	$26.50	41.6%	11.9%	50.0%	22.8%	41.7%	1.0%	0.2%	30.0M	-673.7M	-7.0M	0.82	4.04	50,256	41,277	1,345,682	922,972
2016-09-30	$26.42	$26.50	39.4%	11.1%	49.2%	13.5%	39.0%	0.7%	0.6%	20.6M	-524.6M	-6.8M	0.72	5.77	64,714	46,694	1,365,955	934,613