GDX Options History — January 2017

In January 2017, GDX traded between $21.58 and $23.84. ATM implied volatility averaged 43.0%, placing in the 28.6% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 1.4% (HV 20d: 44.3%). Max pain ranged from $20.50 to $22.50. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.09.

Notable Days

2017-01-05: Highest Volume — 361,360 contracts
2017-01-30: Largest IV spike — 5.9% change
2017-01-03: Highest IV Rank — 43.4%
2017-01-03: Largest Expected Move — 13.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.91	$21.58	$23.84	$21.58	$23.84
Max Pain	$21.60	$20.50	$22.50	$21.00	$22.50
ATM IV	43.0%	38.9%	46.4%	46.4%	40.2%
Expected Move	12.3%	11.1%	13.3%	13.3%	11.3%
HV 20d	44.3%	37.7%	51.4%	42.9%	37.7%
HV 60d	46.2%	44.7%	47.4%	44.7%	45.5%
IV Rank	28.6%	11.3%	43.4%	43.4%	17.0%
IV Percentile	26.5%	3.2%	60.3%	60.3%	6.7%
Term Structure	-0.2%	-1.8%	0.7%	-0.2%	0.4%
VWIV	43.4%	39.3%	47.0%	47.0%	39.9%
Skew 25d	1.5%	0.7%	2.7%	0.9%	2.3%
Skew 10d	3.0%	0.5%	5.5%	2.5%	3.4%
Call IV 25d	42.8%	38.5%	46.5%	46.5%	39.9%
Put IV 25d	44.3%	39.9%	47.8%	47.4%	42.2%
Bid-Ask Spread %	10.27	4.66	14.33	4.66	10.81
Gamma HHI	0.13	0.07	0.50	0.10	0.07
Net GEX	21.9M	-6.1M	76.0M	25.0M	4.4M
Net DEX	-589.0M	-1.14B	-172.4M	-455.9M	-444.7M
Net VEX	-6.6M	-7.1M	-6.2M	-6.2M	-7.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.09	0.42	2.26	0.83	0.72
Total Volume	185,628.65	89,033	361,360	102,941	164,525
Total OI	2,547,528.7	1,823,167	3,126,330	2,783,298	1,920,997

Daily Data (20 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
2017-01-03	$21.58	$21.00	46.4%	13.3%	42.9%	43.4%	47.0%	0.9%	-0.2%	25.0M	-455.9M	-6.2M	0.83	4.66	56,153	46,788	1,670,596	1,112,702
2017-01-04	$21.82	$20.50	46.1%	12.7%	43.0%	41.9%	45.1%	1.3%	-0.7%	29.3M	-559.7M	-6.3M	0.79	9.13	151,079	119,296	1,691,403	1,123,967
2017-01-05	$23.30	$20.50	45.9%	13.0%	48.6%	41.2%	45.7%	1.9%	-0.5%	36.0M	-1.14B	-6.4M	0.42	12.52	254,184	107,176	1,644,507	1,112,965
2017-01-06	$22.32	$20.50	44.5%	12.7%	51.4%	35.3%	44.7%	1.6%	-0.4%	26.7M	-650.6M	-6.3M	0.44	10.83	199,753	87,126	1,632,088	1,152,281
2017-01-09	$22.53	$20.50	45.4%	12.9%	51.4%	39.1%	45.8%	1.2%	-0.6%	29.9M	-694.2M	-6.3M	1.03	9.90	62,083	63,849	1,612,068	1,142,343
2017-01-10	$22.60	$20.50	43.4%	12.4%	49.4%	30.5%	43.3%	0.9%	-0.1%	30.5M	-708.8M	-6.4M	2.25	11.45	44,130	99,211	1,627,889	1,167,102
2017-01-11	$22.48	$21.00	44.6%	12.9%	49.5%	35.7%	45.1%	0.7%	0.2%	26.8M	-606.7M	-6.6M	0.71	10.46	90,078	64,314	1,632,154	1,237,408
2017-01-12	$22.53	$21.50	43.8%	12.7%	49.4%	32.3%	44.6%	0.8%	0.5%	29.1M	-629.2M	-6.6M	0.81	11.13	117,321	94,927	1,647,755	1,253,280
2017-01-13	$22.76	$21.50	43.0%	12.4%	46.1%	28.5%	44.2%	1.1%	0.4%	26.9M	-735.2M	-6.7M	1.13	8.61	53,694	60,623	1,682,733	1,285,482
2017-01-17	$23.45	$22.00	44.5%	12.8%	39.4%	35.0%	45.1%	1.0%	-0.8%	31.1M	-1.01B	-6.5M	1.29	10.37	88,901	114,258	1,647,208	1,283,566
2017-01-18	$22.77	$22.00	43.6%	12.5%	41.9%	31.4%	44.2%	1.2%	-0.8%	27.3M	-683.3M	-6.4M	1.26	12.85	87,820	110,665	1,667,590	1,305,464
2017-01-19	$22.98	$22.00	43.6%	12.5%	41.7%	31.2%	44.8%	2.1%	-0.7%	29.0M	-780.6M	-6.7M	2.26	10.57	52,960	119,505	1,707,425	1,359,634
2017-01-20	$23.08	$22.00	43.3%	12.6%	41.7%	30.2%	45.1%	2.7%	-1.8%	76.0M	-843.4M	-6.7M	1.99	12.23	74,158	147,253	1,714,567	1,411,763
2017-01-23	$23.74	$22.00	41.2%	11.9%	41.9%	20.9%	41.9%	1.5%	-0.1%	6.2M	-437.1M	-6.7M	0.80	7.86	89,768	71,716	887,339	935,828
2017-01-24	$23.76	$22.50	40.1%	11.6%	41.9%	16.6%	40.9%	1.9%	0.1%	9.8M	-456.1M	-6.7M	1.04	12.99	89,310	93,072	928,689	967,722
2017-01-25	$23.42	$22.50	39.9%	11.5%	42.7%	15.7%	40.0%	2.1%	0.3%	4.1M	-308.3M	-6.8M	0.68	6.47	154,254	105,204	942,212	1,016,117
2017-01-26	$22.93	$22.00	39.4%	11.3%	43.8%	13.4%	40.0%	1.9%	0.3%	1.2M	-172.4M	-6.9M	1.29	7.44	75,522	97,457	972,209	1,001,638
2017-01-27	$23.18	$22.50	38.9%	11.1%	43.5%	11.3%	39.3%	1.3%	0.7%	-4.9M	-222.4M	-6.9M	1.13	14.33	54,229	61,178	929,515	1,027,336
2017-01-30	$23.21	$22.50	41.2%	11.6%	38.6%	21.1%	40.7%	2.1%	0.3%	-6.1M	-238.8M	-7.1M	0.86	10.75	47,871	41,162	910,507	984,525
2017-01-31	$23.84	$22.50	40.2%	11.3%	37.7%	17.0%	39.9%	2.3%	0.4%	4.4M	-444.7M	-7.1M	0.72	10.81	95,402	69,123	924,839	996,158