GDX Options History — November 2017

In November 2017, GDX traded between $22.40 and $23.05. ATM implied volatility averaged 20.4%, placing in the 2.8% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 5.4% (HV 20d: 15.0%). Max pain ranged from $22.50 to $23.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.90.

Notable Days

  • 2017-11-17: Highest Volume — 149,872 contracts
  • 2017-11-27: Largest IV drop — 5.1% change
  • 2017-11-15: Highest IV Rank — 9.0%
  • 2017-11-10: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.69$22.40$23.05$22.52$22.40
Max Pain$22.52$22.50$23.00$23.00$22.50
ATM IV20.4%18.2%22.3%20.7%18.2%
Expected Move5.9%5.1%6.5%5.9%5.4%
HV 20d15.0%13.6%16.1%15.4%14.8%
HV 60d19.4%18.0%20.6%20.6%18.0%
IV Rank2.8%0.0%9.0%1.6%0.0%
IV Percentile3.2%0.0%9.5%2.0%0.0%
Term Structure0.6%-0.9%1.5%0.8%0.7%
VWIV20.9%18.2%22.9%20.6%19.0%
Skew 25d0.6%-0.3%1.2%0.4%0.7%
Skew 10d1.1%0.3%2.3%0.7%1.5%
Call IV 25d20.3%17.5%22.3%20.6%17.5%
Put IV 25d20.9%18.2%22.6%21.0%18.2%
Bid-Ask Spread %2.211.703.782.151.97
Gamma HHI0.080.070.110.070.09
Net GEX-6.6M-26.6M9.2M-8.3M-13.6M
Net DEX148.3M-40.6M302.4M220.2M282.8M
Net VEX-6.7M-7.1M-6.1M-7.1M-6.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.411.860.721.15
Total Volume76,908.09540,956149,87294,38869,205
Total OI2,571,889.4292,399,2622,666,7882,552,5222,558,409

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$22.52$23.0020.7%5.9%15.4%1.6%20.6%0.4%0.8%-8.3M220.2M-7.1M0.722.1554,73239,6561,327,7361,224,786
2017-11-02$22.55$22.5020.5%6.2%15.2%0.8%22.1%0.4%0.7%-13.4M220.0M-7.1M0.581.9450,12128,9731,332,7581,238,440
2017-11-03$22.41$22.5019.8%6.1%14.3%0.0%21.7%0.6%1.0%-8.2M302.4M-6.9M1.553.0936,16556,2371,345,4251,236,010
2017-11-06$22.89$22.5020.7%6.4%16.1%2.7%22.3%0.5%1.3%-6.0M43.0M-7.0M0.742.3445,00233,1411,329,4711,254,159
2017-11-07$22.75$22.5020.7%6.3%16.0%2.9%22.1%0.3%1.1%-8.8M123.5M-7.0M0.611.9531,08318,9821,336,8051,262,731
2017-11-08$22.88$22.5020.6%6.3%15.8%2.5%22.3%0.6%1.1%-4.1M56.3M-7.0M0.412.1049,56420,4381,346,2671,262,636
2017-11-09$22.86$22.5021.4%6.4%15.8%5.1%22.7%0.3%1.1%-6.9M79.3M-7.1M0.712.2738,91527,4551,350,9641,268,201
2017-11-10$22.55$22.5021.8%6.5%16.1%6.4%22.9%0.8%1.5%-26.6M242.7M-6.9M1.392.1635,93250,0741,356,2621,276,624
2017-11-13$22.56$22.5021.9%6.3%14.9%6.6%22.2%0.1%0.8%-16.2M252.2M-6.7M0.872.1635,57630,8041,335,6091,276,109
2017-11-14$22.57$22.5021.4%6.2%14.9%5.1%21.7%-0.3%1.1%-16.7M260.8M-6.7M1.092.0224,91827,0941,337,6291,281,521
2017-11-15$22.59$22.5022.3%6.4%14.9%9.0%22.4%0.2%0.2%-15.4M247.1M-6.8M0.662.8136,39024,0451,348,3021,300,042
2017-11-16$22.61$22.5021.6%6.2%14.6%6.6%21.8%1.1%0.7%-15.2M281.9M-6.8M0.522.0433,14617,2001,356,3281,302,928
2017-11-17$22.82$22.5020.9%5.9%14.6%3.9%20.2%1.2%0.7%-190.7K182.9M-6.7M0.632.1691,81058,0621,361,9141,304,874
2017-11-20$22.54$22.5020.8%5.8%15.2%3.7%20.2%0.8%-0.5%-1.4M114.7M-6.6M1.861.9839,91674,4001,227,6471,171,615
2017-11-21$22.69$22.5020.0%5.6%15.1%0.8%19.1%0.4%-0.4%-1.4M81.2M-6.6M1.561.8628,01843,6071,232,6871,220,453
2017-11-22$22.93$22.5019.6%5.5%15.3%0.0%19.5%0.7%-0.4%4.9M-23.0M-6.6M0.441.9694,17941,1911,241,5151,236,288
2017-11-24$22.83$22.5020.0%5.3%13.9%1.3%19.0%1.1%-0.9%9.2M25.0M-6.6M0.703.7824,05216,9041,308,3651,247,732
2017-11-27$23.05$22.5018.9%5.3%13.9%0.0%18.5%0.8%0.4%8.8M-40.6M-6.5M0.781.7037,80529,6531,291,6241,228,841
2017-11-28$22.97$22.5018.7%5.1%13.6%0.0%18.2%0.2%0.3%8.6M-35.2M-6.4M0.991.9825,38825,2361,305,2481,236,430
2017-11-29$22.54$22.5018.7%5.6%14.7%0.1%19.7%1.1%0.7%-8.1M197.3M-6.3M0.932.0436,35133,6501,308,4551,239,838
2017-11-30$22.40$22.5018.2%5.4%14.8%0.0%19.0%0.7%0.7%-13.6M282.8M-6.1M1.151.9732,26136,9441,311,5521,246,857