GDX Options History — December 2019

In December 2019, GDX traded between $26.95 and $29.41. ATM implied volatility averaged 23.4%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 3.1% (HV 20d: 20.3%). Max pain ranged from $24.50 to $27.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.40.

Notable Days

  • 2019-12-11: Highest Volume — 247,064 contracts
  • 2019-12-24: Largest IV spike — 7.6% change
  • 2019-12-30: Highest IV Rank — 36.1%
  • 2019-12-03: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.80$26.95$29.41$27.14$29.40
Max Pain$25.81$24.50$27.00$27.00$27.00
ATM IV23.4%21.0%26.3%24.7%26.2%
Expected Move6.8%6.0%7.7%7.3%7.6%
HV 20d20.3%18.6%22.4%19.4%22.4%
HV 60d25.0%23.4%26.7%26.6%23.5%
IV Rank17.4%1.7%36.1%25.7%35.3%
IV Percentile27.9%0.4%58.7%43.3%56.7%
Term Structure0.7%-0.1%1.3%0.5%0.6%
VWIV24.3%21.7%27.2%26.1%26.7%
Skew 25d-1.4%-2.5%-0.6%-0.6%-2.0%
Skew 10d-2.9%-4.6%-1.7%-1.7%-4.0%
Call IV 25d24.4%22.6%27.8%24.7%27.7%
Put IV 25d23.0%20.5%25.9%24.1%25.7%
Bid-Ask Spread %1.601.251.971.521.56
Gamma HHI0.140.100.210.100.21
Net GEX47.5M19.7M72.7M30.7M72.7M
Net DEX-976.7M-1.36B-626.9M-729.8M-1.36B
Net VEX-5.7M-6.5M-5.2M-5.5M-6.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.160.690.250.22
Total Volume113,191.23845,352247,06474,125122,501
Total OI2,713,603.3812,259,7563,074,2172,696,7222,402,080

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-12-02$27.14$27.0024.7%7.3%19.4%25.7%26.1%-0.6%0.5%30.7M-729.8M-5.5M0.251.5259,47114,6541,624,2061,072,516
2019-12-03$27.70$27.0025.6%7.7%20.3%31.3%27.2%-1.2%0.5%53.8M-1.07B-5.8M0.661.7049,40032,8471,658,2611,084,971
2019-12-04$27.55$27.0023.9%7.2%19.3%20.7%25.4%-1.1%0.5%47.9M-986.9M-5.6M0.381.2736,17513,8651,672,7741,092,565
2019-12-05$27.68$24.5023.8%7.2%19.1%20.3%25.5%-1.2%0.6%51.0M-1.05B-5.6M0.501.4336,39218,3311,682,6911,099,973
2019-12-06$26.99$24.5022.8%6.8%19.3%13.2%24.5%-0.9%0.9%27.7M-677.1M-5.2M0.681.4954,65137,0261,691,5921,109,427
2019-12-09$26.95$25.0023.7%7.0%18.6%19.2%24.4%-1.2%0.6%19.7M-628.8M-5.2M0.401.6332,42512,9271,592,3461,113,884
2019-12-10$27.09$25.0023.0%6.8%18.7%14.7%24.2%-1.2%0.6%24.7M-701.2M-5.2M0.191.6541,3307,9251,601,8411,121,413
2019-12-11$27.71$25.0023.5%7.0%20.0%18.4%25.0%-1.5%1.0%46.1M-1.05B-5.2M0.201.63206,11240,9521,629,7991,124,776
2019-12-12$27.60$25.0023.5%7.0%19.9%18.4%24.9%-1.4%1.1%58.6M-1.09B-5.8M0.641.5372,41346,0071,773,4521,143,759
2019-12-13$27.76$25.0022.1%6.5%19.9%8.7%22.7%-1.4%1.0%60.3M-1.18B-5.6M0.301.9763,90418,8661,792,5531,173,840
2019-12-16$27.38$25.0021.1%6.0%20.5%2.6%22.1%-2.5%1.2%37.5M-930.1M-5.4M0.541.6879,22042,4181,781,5271,154,548
2019-12-17$27.16$25.0021.0%6.1%20.3%2.2%22.3%-2.2%0.7%34.6M-826.0M-5.4M0.361.6369,94425,0801,816,8581,171,702
2019-12-18$27.41$25.0021.5%6.2%20.6%5.1%22.0%-1.1%0.5%48.6M-995.0M-5.6M0.691.7234,47223,8151,847,7981,179,186
2019-12-19$27.47$25.0021.0%6.0%20.5%1.7%21.7%-1.8%1.3%51.6M-1.03B-5.6M0.581.2544,70326,0831,858,8521,192,204
2019-12-20$27.20$25.0021.9%6.3%20.1%7.5%22.6%-1.3%-0.1%34.7M-883.2M-5.5M0.451.65154,37369,8581,867,7941,206,423
2019-12-23$27.74$27.0022.2%6.2%21.0%9.6%21.9%-0.9%0.8%43.9M-626.9M-5.9M0.261.79113,90829,5061,318,451941,305
2019-12-24$28.56$27.0023.9%6.7%21.6%20.5%23.4%-1.2%0.6%58.9M-1.02B-6.2M0.361.86111,99939,8131,329,386957,738
2019-12-26$29.03$27.0025.0%7.2%21.4%27.9%25.7%-1.9%0.7%64.8M-1.22B-6.3M0.261.54193,59650,0601,338,581977,111
2019-12-27$28.82$27.0024.9%7.1%21.7%27.0%24.8%-1.6%0.6%60.0M-1.11B-6.4M0.351.4174,83125,8721,410,5051,008,331
2019-12-30$29.41$27.0026.3%7.5%22.3%36.1%27.1%-1.9%0.5%69.6M-1.35B-6.5M0.161.72128,56420,7271,391,608977,044
2019-12-31$29.40$27.0026.2%7.6%22.4%35.3%26.7%-2.0%0.6%72.7M-1.36B-6.5M0.221.56100,51621,9851,417,282984,798