GDX Options History — September 2017

In September 2017, GDX traded between $22.99 and $25.52. ATM implied volatility averaged 24.9%, placing in the 5.1% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 1.1% (HV 20d: 23.8%). Max pain ranged from $23.00 to $23.50. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.67.

Notable Days

2017-09-20: Highest Volume — 266,753 contracts
2017-09-05: Largest IV spike — 12.8% change
2017-09-05: Highest IV Rank — 15.9%
2017-09-05: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.08	$22.99	$25.52	$24.78	$22.99
Max Pain	$23.05	$23.00	$23.50	$23.00	$23.50
ATM IV	24.9%	22.9%	27.9%	24.8%	22.9%
Expected Move	7.1%	6.3%	8.1%	6.3%	6.3%
HV 20d	23.8%	18.9%	26.7%	18.9%	24.3%
HV 60d	22.2%	20.9%	23.1%	21.2%	22.5%
IV Rank	5.1%	0.0%	15.9%	4.3%	0.0%
IV Percentile	6.7%	0.0%	19.8%	4.8%	0.0%
Term Structure	0.4%	-0.2%	1.0%	0.7%	1.0%
VWIV	25.4%	22.1%	28.6%	22.1%	23.0%
Skew 25d	-0.2%	-0.8%	0.3%	-0.0%	0.0%
Skew 10d	-0.4%	-1.0%	0.3%	0.2%	-0.0%
Call IV 25d	25.5%	23.2%	28.7%	24.9%	23.2%
Put IV 25d	25.3%	23.2%	28.4%	24.9%	23.2%
Bid-Ask Spread %	2.39	1.94	3.04	1.94	2.43
Gamma HHI	0.08	0.06	0.09	0.08	0.09
Net GEX	22.2M	-6.0M	44.8M	40.7M	-6.0M
Net DEX	-581.4M	-1.42B	38.6M	-1.12B	38.6M
Net VEX	-8.8M	-9.3M	-8.3M	-9.3M	-8.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.67	0.26	1.85	0.62	0.58
Total Volume	126,022.4	76,771	266,753	120,891	79,543
Total OI	2,755,944.65	2,428,756	3,036,428	2,875,940	2,705,398

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
2017-09-01	$24.78	$23.00	24.8%	6.3%	18.9%	4.3%	22.1%	-0.0%	0.7%	40.7M	-1.12B	-9.3M	0.62	1.94	74,816	46,075	1,467,077	1,408,863
2017-09-05	$25.28	$23.00	27.9%	8.1%	19.3%	15.9%	28.6%	-0.4%	0.0%	43.6M	-1.30B	-9.1M	0.53	2.20	120,197	63,338	1,439,924	1,377,053
2017-09-06	$24.92	$23.00	26.6%	7.9%	20.4%	10.9%	27.7%	-0.1%	0.1%	41.5M	-1.13B	-9.1M	0.87	2.19	67,107	58,169	1,467,285	1,396,717
2017-09-07	$25.52	$23.00	27.2%	7.9%	20.8%	13.4%	27.8%	-0.3%	-0.1%	44.8M	-1.42B	-9.1M	0.52	2.22	97,399	51,021	1,470,824	1,422,675
2017-09-08	$25.28	$23.00	26.7%	7.7%	20.8%	11.4%	27.7%	-0.2%	-0.2%	40.6M	-1.29B	-9.2M	1.85	2.36	57,667	106,453	1,492,384	1,441,833
2017-09-11	$24.51	$23.00	25.6%	7.4%	24.3%	7.3%	26.3%	-0.2%	-0.0%	32.8M	-858.0M	-8.8M	0.71	2.23	77,211	55,064	1,484,858	1,416,039
2017-09-12	$24.68	$23.00	24.8%	7.2%	23.8%	4.5%	25.6%	-0.4%	0.2%	32.8M	-959.3M	-8.8M	0.67	2.20	45,998	30,773	1,503,916	1,439,857
2017-09-13	$24.20	$23.00	24.6%	7.2%	24.6%	3.6%	25.5%	-0.4%	0.5%	28.2M	-660.4M	-8.8M	0.79	3.04	64,836	51,138	1,512,049	1,449,325
2017-09-14	$24.33	$23.00	24.2%	7.0%	23.7%	2.2%	24.7%	-0.8%	0.4%	28.0M	-749.8M	-8.7M	0.52	2.29	66,415	34,370	1,537,952	1,465,891
2017-09-15	$24.17	$23.00	24.9%	7.3%	23.9%	5.0%	26.2%	-0.3%	0.8%	11.4M	-680.0M	-8.9M	0.26	2.18	147,929	38,846	1,560,626	1,475,802
2017-09-18	$23.70	$23.00	25.6%	7.4%	25.1%	7.3%	26.5%	-0.5%	0.0%	9.6M	-242.0M	-8.7M	0.40	2.39	89,065	36,002	1,296,957	1,131,799
2017-09-19	$23.88	$23.00	24.8%	7.1%	24.8%	4.6%	25.5%	0.0%	0.2%	15.0M	-331.7M	-8.8M	0.35	2.49	60,555	21,414	1,348,177	1,148,257
2017-09-20	$23.39	$23.00	24.7%	7.1%	25.9%	4.2%	25.5%	-0.1%	0.3%	7.6M	-111.3M	-8.7M	0.55	3.01	172,157	94,596	1,370,436	1,156,546
2017-09-21	$23.21	$23.00	23.4%	6.7%	26.0%	0.0%	24.2%	0.3%	0.6%	3.4M	-16.9M	-8.7M	0.71	2.59	58,469	41,481	1,444,957	1,184,257
2017-09-22	$23.42	$23.00	23.6%	6.7%	26.2%	0.8%	24.9%	-0.3%	0.6%	15.4M	-126.8M	-8.7M	0.41	2.37	91,001	37,377	1,460,378	1,186,039
2017-09-25	$23.80	$23.00	24.1%	6.8%	26.7%	2.5%	24.2%	-0.3%	0.8%	27.3M	-403.5M	-8.9M	0.73	2.66	69,060	50,325	1,441,695	1,139,281
2017-09-26	$23.32	$23.00	23.8%	6.8%	25.4%	1.5%	24.1%	-0.2%	0.4%	13.0M	-150.1M	-8.5M	0.74	2.58	48,304	35,654	1,448,095	1,152,411
2017-09-27	$23.03	$23.50	23.9%	6.7%	25.4%	1.7%	24.2%	0.2%	0.5%	4.5M	-6.8M	-8.3M	0.82	2.09	50,540	41,595	1,457,387	1,166,188
2017-09-28	$23.20	$23.00	23.2%	6.6%	25.7%	0.0%	23.9%	-0.2%	0.7%	8.7M	-103.0M	-8.4M	0.86	2.40	47,465	41,023	1,470,478	1,179,207
2017-09-29	$22.99	$23.50	22.9%	6.3%	24.3%	0.0%	23.0%	0.0%	1.0%	-6.0M	38.6M	-8.4M	0.58	2.43	50,397	29,146	1,494,518	1,210,880