GDX Options History — November 2016

In November 2016, GDX traded between $20.45 and $25.27. ATM implied volatility averaged 45.9%, placing in the 40.9% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded below realized volatility by 1.7% (HV 20d: 47.6%). Max pain ranged from $24.50 to $26.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.85.

Notable Days

  • 2016-11-11: Highest Volume — 462,732 contracts
  • 2016-11-11: Largest IV spike — 12.4% change
  • 2016-11-11: Highest IV Rank — 62.9%
  • 2016-11-14: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.46$20.45$25.27$25.26$20.75
Max Pain$25.36$24.50$26.00$25.00$24.50
ATM IV45.9%43.6%51.0%45.6%44.1%
Expected Move13.3%12.4%14.5%13.6%13.5%
HV 20d47.6%34.6%56.8%34.9%53.7%
HV 60d48.6%45.1%51.6%45.1%48.7%
IV Rank40.9%31.5%62.9%40.0%33.4%
IV Percentile52.0%29.8%87.3%52.8%34.1%
Term Structure-0.2%-1.3%1.3%-1.2%-0.7%
VWIV46.9%43.8%51.4%48.7%47.1%
Skew 25d1.3%0.0%2.6%2.1%1.8%
Skew 10d2.2%-2.2%4.8%1.1%3.8%
Call IV 25d45.8%42.9%52.2%44.7%44.0%
Put IV 25d47.1%44.6%52.4%46.8%45.8%
Bid-Ask Spread %6.603.3211.127.887.36
Gamma HHI0.120.080.240.090.10
Net GEX-4.9M-31.2M28.0M21.7M-9.8M
Net DEX306.7M-640.7M998.9M-592.4M566.0M
Net VEX-5.7M-7.3M-4.7M-7.1M-4.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.311.970.331.15
Total Volume205,005.33364,804462,732298,957160,080
Total OI2,804,929.4292,511,1603,262,6582,511,1602,614,848

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$25.26$25.0045.6%13.6%34.9%40.0%48.7%2.1%-1.2%21.7M-592.4M-7.1M0.337.88224,35074,6071,448,7841,062,376
2016-11-02$24.72$25.0046.5%14.4%35.9%43.6%50.5%0.9%0.1%19.1M-406.8M-7.1M0.708.25104,91873,0891,552,4791,090,961
2016-11-03$25.27$26.0047.2%13.4%34.6%46.7%47.1%1.1%-0.4%28.0M-640.7M-7.3M0.313.32121,47138,1831,580,6711,115,401
2016-11-04$25.10$26.0048.0%13.5%34.9%49.9%47.5%0.6%-0.6%27.0M-593.4M-7.3M0.384.13168,90663,6581,629,7131,128,150
2016-11-07$24.11$26.0046.8%13.3%38.3%44.8%46.8%0.2%-0.3%11.1M-127.9M-6.5M0.724.58129,99893,0991,643,6141,094,281
2016-11-08$23.99$26.0045.9%13.0%37.4%41.1%45.8%1.0%-0.3%7.9M-48.8M-6.4M0.626.01197,801122,8331,675,0511,137,704
2016-11-09$24.49$26.0043.6%12.6%37.3%31.5%44.6%0.7%0.3%20.3M-276.6M-6.6M0.448.22193,69884,5501,784,2201,156,779
2016-11-10$22.78$26.0045.4%13.1%45.1%38.9%45.9%1.8%0.3%-19.9M493.6M-5.6M0.6910.96161,309110,5331,778,0741,178,644
2016-11-11$20.93$26.0051.0%14.4%53.2%62.9%51.4%0.2%-1.0%-18.4M998.9M-4.8M1.297.20202,196260,5361,816,1751,202,140
2016-11-14$21.21$26.0050.6%14.5%53.2%61.0%51.3%0.0%0.6%-23.1M865.4M-5.2M0.735.96181,633132,1031,809,7351,222,358
2016-11-15$22.10$25.0045.4%13.0%53.9%39.0%46.1%1.1%1.2%-24.7M548.7M-5.7M1.974.6081,696160,9661,878,7271,240,476
2016-11-16$21.86$25.0044.6%12.8%52.5%35.5%44.9%1.6%0.7%-31.2M688.2M-5.5M1.043.4047,33049,0921,891,9501,296,428
2016-11-17$21.14$25.0045.5%13.0%53.4%39.5%46.9%1.2%0.1%-28.1M956.7M-5.1M1.355.7879,504107,2941,898,6251,302,232
2016-11-18$21.14$25.0044.7%12.7%53.4%35.9%44.8%0.8%1.3%-27.5M977.8M-5.1M0.583.83115,01967,2471,924,7611,337,897
2016-11-21$21.47$25.0043.6%12.4%53.7%31.5%43.8%1.6%-0.6%-9.1M432.7M-5.2M1.056.5555,22658,1181,446,4651,066,174
2016-11-22$21.54$25.0044.0%12.6%52.5%32.9%45.0%1.9%-1.0%-9.5M423.2M-5.2M1.328.6539,02051,3841,460,5051,085,368
2016-11-23$20.45$25.0045.7%13.0%54.5%40.2%45.9%1.5%-0.8%-14.2M713.7M-4.7M0.5611.12110,28561,6411,471,3761,098,764
2016-11-25$20.61$25.0045.7%13.1%54.7%40.3%46.7%1.4%-1.3%-8.8M646.1M-4.9M0.935.7541,08238,0881,523,5401,107,986
2016-11-28$21.40$25.0044.8%13.2%56.8%36.3%47.1%2.6%-0.9%-6.9M403.7M-5.1M0.808.1998,85378,9121,471,0211,071,276
2016-11-29$21.27$25.0044.4%13.3%55.2%34.8%47.2%2.3%-0.6%-5.8M411.9M-5.1M0.856.8234,95629,8481,513,1921,094,597
2016-11-30$20.75$24.5044.1%13.5%53.7%33.4%47.1%1.8%-0.7%-9.8M566.0M-4.8M1.157.3674,54985,5311,521,7771,093,071