GDX Options History — December 2016

In December 2016, GDX traded between $18.95 and $21.49. ATM implied volatility averaged 43.6%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 0.1% (HV 20d: 43.5%). Max pain ranged from $20.00 to $24.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.91.

Notable Days

2016-12-15: Highest Volume — 503,142 contracts
2016-12-29: Largest IV spike — 6.0% change
2016-12-15: Highest IV Rank — 45.5%
2016-12-01: Largest Expected Move — 13.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.30	$18.95	$21.49	$20.78	$20.94
Max Pain	$21.52	$20.00	$24.00	$24.00	$20.00
ATM IV	43.6%	40.5%	46.9%	45.6%	45.6%
Expected Move	12.5%	11.5%	13.8%	13.8%	12.8%
HV 20d	43.5%	35.2%	54.1%	53.6%	42.7%
HV 60d	46.5%	44.3%	49.0%	48.7%	44.6%
IV Rank	31.2%	17.9%	45.5%	39.7%	39.9%
IV Percentile	31.6%	6.0%	66.3%	52.0%	52.4%
Term Structure	0.3%	-1.0%	1.2%	-1.0%	0.7%
VWIV	44.2%	40.5%	48.4%	48.4%	45.3%
Skew 25d	1.6%	0.9%	2.5%	1.5%	0.9%
Skew 10d	2.3%	-4.1%	4.7%	1.8%	-0.1%
Call IV 25d	43.4%	40.2%	47.7%	45.2%	45.8%
Put IV 25d	44.9%	41.6%	49.0%	46.7%	46.7%
Bid-Ask Spread %	9.75	5.53	15.52	8.60	9.73
Gamma HHI	0.10	0.06	0.17	0.10	0.11
Net GEX	-4.6M	-16.9M	20.3M	-10.1M	5.9M
Net DEX	422.2M	-511.7M	1.07B	552.4M	-277.2M
Net VEX	-5.2M	-6.4M	-4.3M	-5.1M	-6.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.91	0.28	2.28	0.69	0.58
Total Volume	195,713.333	59,151	503,142	138,958	224,980
Total OI	2,779,989.286	2,541,006	3,208,393	2,672,765	2,955,448

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
2016-12-01	$20.78	$24.00	45.6%	13.8%	53.6%	39.7%	48.4%	1.5%	-1.0%	-10.1M	552.4M	-5.1M	0.69	8.60	82,074	56,884	1,538,654	1,134,111
2016-12-02	$21.37	$24.00	43.5%	13.2%	54.1%	31.0%	46.8%	1.4%	-0.4%	-567.4K	354.4M	-5.4M	0.74	5.53	82,161	60,901	1,573,189	1,146,291
2016-12-05	$21.28	$22.00	44.3%	12.6%	54.1%	34.5%	44.1%	1.6%	1.0%	-8.2M	413.1M	-5.2M	0.47	10.08	143,012	67,423	1,545,913	1,129,876
2016-12-06	$21.17	$22.00	43.5%	12.5%	52.8%	31.1%	43.4%	1.9%	0.2%	-8.0M	425.5M	-5.5M	1.79	11.84	68,865	123,375	1,638,278	1,155,383
2016-12-07	$21.41	$22.00	43.5%	12.5%	53.2%	31.0%	44.3%	1.8%	0.6%	-2.4M	327.5M	-5.5M	0.44	7.17	84,151	36,961	1,651,562	1,130,416
2016-12-08	$21.40	$22.00	42.8%	12.3%	52.3%	27.9%	43.1%	1.8%	0.6%	-1.9M	328.7M	-5.5M	1.02	7.98	29,250	29,901	1,678,789	1,141,324
2016-12-09	$20.65	$22.00	43.6%	12.6%	47.6%	31.5%	45.5%	1.9%	0.7%	-8.2M	582.7M	-5.1M	1.10	8.79	95,076	104,671	1,685,722	1,149,897
2016-12-12	$20.73	$22.00	44.8%	12.8%	37.2%	36.4%	45.9%	1.4%	-0.0%	-10.2M	537.3M	-5.1M	0.45	7.61	86,026	38,607	1,678,281	1,159,440
2016-12-13	$21.04	$22.00	45.4%	12.8%	37.3%	38.9%	45.5%	1.9%	-0.7%	-7.3M	428.9M	-5.2M	2.28	7.40	50,450	114,975	1,719,398	1,167,012
2016-12-14	$20.13	$22.00	45.5%	12.7%	37.0%	39.6%	45.0%	2.5%	-1.0%	-16.9M	798.5M	-4.9M	0.57	15.52	130,009	73,747	1,735,018	1,249,514
2016-12-15	$18.95	$22.00	46.9%	13.2%	41.9%	45.5%	47.0%	1.3%	-0.8%	-15.8M	1.07B	-4.3M	0.62	11.69	310,103	193,039	1,747,504	1,239,555
2016-12-16	$19.12	$21.00	45.6%	13.1%	41.1%	40.0%	46.3%	1.5%	0.6%	-13.1M	935.6M	-4.9M	1.69	7.57	91,537	155,041	1,916,950	1,291,443
2016-12-19	$19.05	$21.00	43.8%	12.5%	41.0%	32.0%	43.8%	1.2%	0.0%	-8.9M	584.8M	-4.9M	0.46	10.84	92,186	42,853	1,453,457	1,087,549
2016-12-20	$19.14	$21.00	42.2%	12.1%	40.5%	25.2%	43.1%	0.9%	1.2%	-6.9M	513.4M	-4.9M	1.19	11.02	82,058	97,697	1,502,910	1,081,296
2016-12-21	$19.09	$21.00	41.2%	11.8%	40.4%	21.2%	42.0%	1.0%	1.1%	-6.5M	511.2M	-4.9M	1.19	11.47	56,646	67,409	1,502,721	1,067,877
2016-12-22	$19.06	$21.00	41.2%	11.8%	36.5%	21.0%	41.9%	1.8%	0.8%	-6.2M	527.3M	-4.9M	0.86	11.33	70,696	60,608	1,522,798	1,106,257
2016-12-23	$19.38	$21.00	40.5%	11.5%	37.0%	17.9%	40.5%	1.4%	0.9%	-1.9M	439.9M	-5.1M	1.05	9.47	86,764	91,417	1,551,978	1,136,568
2016-12-27	$19.82	$20.00	40.9%	11.5%	35.2%	20.0%	40.5%	1.5%	0.7%	1.8M	262.6M	-5.3M	0.56	9.67	119,251	66,685	1,554,613	1,109,857
2016-12-28	$20.22	$20.00	41.1%	11.6%	36.2%	20.6%	41.0%	1.9%	0.9%	8.3M	65.1M	-5.8M	1.00	11.17	83,654	83,785	1,619,620	1,129,764
2016-12-29	$21.49	$20.00	43.5%	12.5%	41.6%	31.1%	44.0%	1.9%	0.9%	20.3M	-511.7M	-6.3M	0.28	10.21	371,255	103,797	1,648,040	1,145,502
2016-12-30	$20.94	$20.00	45.6%	12.8%	42.7%	39.9%	45.3%	0.9%	0.7%	5.9M	-277.2M	-6.4M	0.58	9.73	142,250	82,730	1,773,013	1,182,435