GDX Options History — October 2016

In October 2016, GDX traded between $22.64 and $25.96. ATM implied volatility averaged 44.3%, placing in the 34.5% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 4.4% (HV 20d: 48.8%). Max pain ranged from $25.00 to $26.50. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.83.

Notable Days

  • 2016-10-04: Highest Volume — 486,709 contracts
  • 2016-10-04: Largest IV spike — 11.8% change
  • 2016-10-06: Highest IV Rank — 50.5%
  • 2016-10-04: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.87$22.64$25.96$25.96$24.50
Max Pain$25.52$25.00$26.50$26.50$25.00
ATM IV44.3%41.6%48.1%41.6%43.8%
Expected Move12.8%11.8%13.7%11.8%13.3%
HV 20d48.8%44.7%54.5%47.3%47.8%
HV 60d45.4%43.7%47.6%43.7%44.6%
IV Rank34.5%22.9%50.5%22.9%32.0%
IV Percentile35.3%12.7%72.2%12.7%31.3%
Term Structure-0.3%-1.8%1.0%0.7%0.0%
VWIV45.1%41.3%47.9%41.3%46.7%
Skew 25d1.4%0.7%2.5%1.0%1.7%
Skew 10d2.7%0.1%5.3%3.0%4.8%
Call IV 25d44.0%41.4%47.5%41.4%43.0%
Put IV 25d45.5%42.3%49.3%42.4%44.8%
Bid-Ask Spread %6.784.189.384.965.86
Gamma HHI0.080.060.100.060.10
Net GEX6.3M-4.7M18.7M12.0M12.1M
Net DEX10.5M-413.9M432.7M-392.9M-272.9M
Net VEX-6.5M-7.1M-5.7M-6.6M-6.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.561.660.840.76
Total Volume169,371.33385,999486,70998,354122,997
Total OI2,505,743.9522,114,6042,774,1202,114,6042,484,238

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$25.96$26.5041.6%11.8%47.3%22.9%41.3%1.0%0.7%12.0M-392.9M-6.6M0.844.9653,53544,8191,248,685865,919
2016-10-04$23.62$26.5046.5%13.7%54.4%43.9%47.9%1.5%-0.3%-4.7M239.4M-5.7M0.567.15312,771173,9381,267,121876,644
2016-10-05$23.57$26.0046.6%13.5%54.3%44.1%47.1%1.5%0.1%-1.9M226.0M-6.3M0.696.06138,61895,5161,445,559956,214
2016-10-06$22.91$26.0048.1%13.6%54.5%50.5%47.8%1.8%0.1%-3.2M383.4M-6.2M0.625.71177,786110,9341,490,369985,419
2016-10-07$23.00$26.0046.2%13.2%52.0%42.5%46.2%1.2%1.0%11.6M339.8M-6.3M0.586.67120,46870,3101,595,2461,024,955
2016-10-10$23.12$26.0044.8%12.7%49.9%36.3%44.6%0.7%-0.8%412.3K295.4M-6.1M0.674.1851,40734,5921,489,424988,155
2016-10-11$22.64$26.0046.3%12.9%47.6%42.7%45.2%1.2%-1.8%-2.6M432.7M-5.8M0.597.5272,96143,1701,502,652993,816
2016-10-12$23.16$26.0044.7%12.9%48.6%35.9%45.0%1.2%0.6%4.6M255.8M-6.2M0.579.3857,99233,3451,541,4541,000,581
2016-10-13$23.66$26.0045.7%13.0%49.3%40.5%45.8%1.1%-0.4%13.7M61.9M-6.4M0.728.9889,67564,4231,561,2541,004,581
2016-10-14$23.01$26.0045.4%12.9%49.9%39.0%45.1%1.6%0.2%-86.9K320.7M-6.1M0.798.3588,65070,3511,591,9541,028,414
2016-10-17$23.33$25.0044.6%12.8%49.9%35.7%44.6%1.3%-1.3%1.1M196.7M-6.2M0.576.2158,80233,4271,533,0061,016,859
2016-10-18$24.15$25.0043.9%12.6%51.9%32.7%44.1%1.3%-1.5%5.7M-90.1M-6.6M0.847.4787,66374,0791,539,8781,031,227
2016-10-19$24.84$25.0044.7%12.8%45.8%35.9%45.8%1.4%-1.2%13.6M-397.1M-7.0M0.775.82196,001150,0351,567,6651,059,479
2016-10-20$24.80$25.0043.1%12.4%45.8%29.0%43.5%2.5%-1.3%9.8M-382.7M-7.1M0.926.4154,68850,4461,652,3861,113,168
2016-10-21$24.64$25.0042.8%12.3%44.7%27.8%44.0%2.1%-0.9%18.7M-298.2M-6.9M0.935.2856,09752,4331,652,5891,121,531
2016-10-24$24.08$25.0042.5%12.5%45.1%26.8%43.5%1.8%0.4%10.3M-167.3M-6.6M0.958.3199,20293,8241,403,862968,641
2016-10-25$24.74$25.0041.7%12.2%46.3%23.2%43.0%0.8%0.1%17.5M-413.9M-7.0M1.099.3166,14472,0081,440,6871,004,353
2016-10-26$24.11$25.0042.0%12.5%46.1%24.5%44.4%1.6%0.5%8.6M-152.2M-6.7M1.666.2839,93966,2281,456,9671,034,163
2016-10-27$23.70$25.0042.9%12.8%46.3%28.2%45.8%1.4%0.2%2.1M18.4M-6.5M1.646.1950,06582,0361,462,2261,056,596
2016-10-28$23.75$25.0043.1%12.8%46.3%29.4%45.2%1.4%0.1%2.5M17.0M-6.5M0.636.3589,26456,1591,473,6401,089,046
2016-10-31$24.50$25.0043.8%13.3%47.8%32.0%46.7%1.7%0.0%12.1M-272.9M-6.7M0.765.8669,92353,0741,438,7931,045,445