GDX Options History — December 2017

In December 2017, GDX traded between $21.45 and $23.27. ATM implied volatility averaged 20.0%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 3.7% (HV 20d: 16.3%). Max pain ranged from $22.50 to $23.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.93.

Notable Days

  • 2017-12-13: Highest Volume — 206,691 contracts
  • 2017-12-29: Largest IV spike — 7.5% change
  • 2017-12-12: Highest IV Rank — 10.5%
  • 2017-12-07: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.30$21.45$23.27$22.47$23.27
Max Pain$22.98$22.50$23.00$22.50$23.00
ATM IV20.0%18.9%21.3%19.2%21.2%
Expected Move5.8%5.2%6.2%5.6%6.0%
HV 20d16.3%13.1%18.7%14.9%16.9%
HV 60d16.2%15.5%17.3%17.2%15.7%
IV Rank6.2%2.3%10.5%3.4%10.4%
IV Percentile5.8%1.2%16.3%1.6%16.3%
Term Structure0.8%-0.1%2.1%0.6%1.0%
VWIV20.5%19.0%21.9%19.7%21.2%
Skew 25d0.3%-0.5%1.7%1.0%-0.3%
Skew 10d0.5%-1.1%1.8%1.1%-0.5%
Call IV 25d20.2%18.5%22.1%18.5%21.5%
Put IV 25d20.6%19.5%21.9%19.5%21.3%
Bid-Ask Spread %1.931.552.601.942.16
Gamma HHI0.120.080.180.090.09
Net GEX-5.2M-31.5M14.0M-12.6M11.8M
Net DEX185.6M-343.6M667.8M244.2M-343.6M
Net VEX-6.4M-6.7M-6.0M-6.2M-6.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.232.251.160.23
Total Volume97,515.943,685206,691110,870145,174
Total OI2,582,568.72,359,2572,897,9012,579,5612,449,150

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-12-01$22.47$22.5019.2%5.6%14.9%3.4%19.7%1.0%0.6%-12.6M244.2M-6.2M1.161.9451,30359,5671,317,2931,262,268
2017-12-04$22.23$23.0019.4%5.9%15.2%4.0%21.1%0.7%1.2%-13.9M325.5M-6.1M2.251.6723,73453,3141,321,6351,251,100
2017-12-05$21.93$23.0019.4%6.0%13.6%4.2%21.4%0.9%0.8%-22.7M486.2M-6.0M1.411.6335,71650,3521,330,9721,275,620
2017-12-06$21.68$23.0019.6%5.9%13.9%4.7%21.2%1.2%1.0%-25.7M591.1M-6.0M1.431.6548,57169,3271,342,2911,287,369
2017-12-07$21.58$23.0021.0%6.2%13.6%9.6%21.8%0.7%0.5%-27.7M656.2M-6.2M1.871.6249,03191,5201,370,5711,307,943
2017-12-08$21.64$23.0020.1%6.0%13.7%6.3%21.4%0.8%0.8%-23.6M618.1M-6.3M0.851.6740,49334,4131,392,3791,346,432
2017-12-11$21.51$23.0020.5%6.0%13.2%7.8%21.3%0.3%0.2%-28.7M665.3M-6.1M1.222.0549,86060,6291,383,2891,334,956
2017-12-12$21.45$23.0021.3%6.1%13.1%10.5%21.6%0.3%-0.1%-31.5M667.8M-6.3M0.481.8190,50743,6111,418,3921,353,479
2017-12-13$22.16$23.0021.1%6.2%18.1%9.9%21.9%-0.3%0.4%-5.5M268.8M-6.6M0.541.83134,43572,2561,471,9571,370,928
2017-12-14$22.08$23.0020.4%5.9%18.1%7.5%20.9%-0.5%0.2%2.1M297.3M-6.5M0.651.5553,99135,1271,507,1851,377,336
2017-12-15$22.02$23.0019.4%5.5%18.1%4.1%20.2%-0.3%0.1%4.7M312.0M-6.3M0.621.9469,07242,9891,518,2001,379,701
2017-12-18$22.15$23.0019.9%5.7%17.9%5.7%20.2%0.1%1.0%-963.1K195.7M-6.7M0.671.9448,18532,3221,177,0911,182,166
2017-12-19$22.17$23.0018.9%5.4%17.4%2.3%19.6%1.7%2.1%3.1M103.3M-6.6M0.841.9232,07026,7981,201,5351,171,564
2017-12-20$22.53$23.0019.8%5.7%18.3%5.7%20.1%0.1%1.2%9.0M-59.0M-6.7M0.572.3538,68022,1061,215,2111,178,710
2017-12-21$22.65$23.0019.1%5.4%18.0%3.2%19.4%0.6%1.1%11.8M-118.5M-6.7M1.042.1737,45538,9061,226,8491,185,416
2017-12-22$22.89$23.0019.2%5.4%18.3%3.4%19.0%0.4%1.0%10.5M-213.3M-6.7M0.561.6642,57824,0161,232,4011,199,690
2017-12-26$23.21$23.0020.6%5.7%18.7%8.3%20.2%-0.4%0.6%14.0M-330.4M-6.7M0.702.6044,29931,1081,226,9151,216,197
2017-12-27$23.23$23.0020.3%5.6%18.6%7.4%19.7%0.1%0.8%12.1M-335.6M-6.5M1.032.2821,53822,1471,227,5731,200,193
2017-12-28$23.23$23.0019.7%5.2%17.1%5.2%19.0%-0.1%0.7%10.0M-319.8M-6.5M0.462.1656,96826,1501,231,1561,208,261
2017-12-29$23.27$23.0021.2%6.0%16.9%10.4%21.2%-0.3%1.0%11.8M-343.6M-6.5M0.232.16118,21326,9611,233,4931,215,657