GDX Options History — November 2020

In November 2020, GDX traded between $33.36 and $41.48. ATM implied volatility averaged 39.0%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded below realized volatility by 6.9% (HV 20d: 45.8%). Max pain ranged from $37.00 to $40.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.54.

Notable Days

  • 2020-11-23: Highest Volume — 253,589 contracts
  • 2020-11-04: Largest IV drop — 12.9% change
  • 2020-11-02: Highest IV Rank — 26.1%
  • 2020-11-02: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.06$33.36$41.48$38.52$34.55
Max Pain$39.20$37.00$40.00$40.00$37.00
ATM IV39.0%36.1%44.8%44.8%37.8%
Expected Move11.4%10.3%13.7%13.7%11.3%
HV 20d45.8%34.7%51.1%35.7%47.5%
HV 60d39.5%37.0%41.7%40.2%39.9%
IV Rank19.8%16.6%26.1%26.1%18.5%
IV Percentile35.7%26.6%65.1%65.1%28.6%
Term Structure0.1%-1.4%1.1%0.3%0.6%
VWIV40.4%36.4%48.9%48.9%39.6%
Skew 25d-0.3%-3.2%3.2%3.2%-2.5%
Skew 10d0.2%-6.8%11.2%7.9%-5.1%
Call IV 25d39.5%37.3%43.4%43.4%39.2%
Put IV 25d39.2%35.8%46.6%46.6%36.7%
Bid-Ask Spread %2.481.635.523.342.42
Gamma HHI0.080.060.140.060.08
Net GEX8.7M-22.9M53.1M18.6M14.6M
Net DEX-542.1M-2.12B272.6M-967.2M-221.8M
Net VEX-11.1M-12.6M-9.7M-11.9M-10.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.300.830.660.40
Total Volume157,082.877,022253,589117,742178,360
Total OI2,636,163.852,371,8072,823,3712,371,8072,759,375

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$38.52$40.0044.8%13.7%35.7%26.1%48.9%3.2%0.3%18.6M-967.2M-11.9M0.663.3470,74446,9981,318,3161,053,491
2020-11-03$39.41$40.0044.2%13.6%34.7%25.5%48.2%3.1%0.5%26.4M-1.26B-12.0M0.795.5293,37274,0841,318,3161,053,491
2020-11-04$38.56$40.0038.5%11.4%35.6%19.3%39.5%1.1%1.1%19.1M-955.9M-11.6M0.495.1791,26045,1531,385,7111,117,579
2020-11-05$41.40$40.0040.1%11.8%43.2%21.0%41.1%1.0%0.6%51.9M-2.10B-12.3M0.522.81154,79780,1421,394,3741,106,565
2020-11-06$41.48$40.0038.8%11.6%40.6%19.5%40.2%1.2%0.9%53.1M-2.12B-12.6M0.462.06109,27850,7841,438,8751,162,970
2020-11-09$38.84$40.0039.4%11.5%47.0%20.2%40.3%0.7%0.0%15.4M-950.0M-11.9M0.482.44143,50268,8871,446,4521,131,316
2020-11-10$37.77$40.0039.9%11.6%47.9%20.8%40.7%0.9%0.5%3.6M-536.7M-11.8M0.582.15106,31261,4801,494,0421,153,457
2020-11-11$37.11$40.0039.0%11.3%47.6%19.7%40.2%0.7%0.6%-2.9M-297.9M-11.5M0.831.9762,10451,4861,528,0771,166,083
2020-11-12$37.45$40.0039.9%11.6%47.6%20.8%41.1%0.3%0.6%1.8M-478.2M-11.7M0.651.7646,72330,5021,549,5651,165,514
2020-11-13$38.06$40.0038.5%11.1%48.1%19.2%39.7%0.4%0.6%2.9M-709.1M-11.7M0.531.8874,24339,2701,550,3571,171,688
2020-11-16$37.82$40.0036.6%10.5%47.9%17.1%37.5%0.1%-0.1%5.3M-598.6M-11.1M0.501.7651,48925,5331,499,8931,134,182
2020-11-17$37.11$40.0036.7%10.5%48.2%17.2%37.0%-0.6%-0.3%-6.4M-326.2M-10.8M0.351.8475,01825,9161,518,2881,140,676
2020-11-18$35.89$39.0037.0%10.6%49.2%17.6%38.6%-1.1%0.0%-16.3M111.6M-10.1M0.581.9191,53153,0131,535,3151,148,770
2020-11-19$35.44$39.0036.9%10.6%49.1%17.5%38.6%-2.5%0.1%-22.9M272.6M-10.0M0.491.63140,53169,1911,566,6671,173,026
2020-11-20$35.82$39.0036.1%10.3%49.4%16.6%36.4%-1.8%0.0%-21.7M94.2M-10.4M0.641.63102,42265,5681,632,2391,191,132
2020-11-23$34.45$38.0037.3%10.8%50.8%17.9%37.9%-1.4%-0.9%2.2M55.4M-9.7M0.612.31157,96295,6271,528,9841,019,171
2020-11-24$33.36$38.0039.5%11.5%51.1%20.4%41.4%-2.9%-1.0%-2.7M250.3M-9.8M0.492.75158,79277,3081,589,6941,047,801
2020-11-25$33.95$37.0039.3%11.5%47.9%20.1%40.6%-2.9%-1.1%11.6M5.0M-10.4M0.302.10138,91241,8281,667,8871,056,546
2020-11-27$34.16$37.0039.2%11.7%47.6%20.0%41.6%-3.2%-1.4%21.2M-106.8M-10.7M0.502.0761,11530,4191,728,2781,079,114
2020-11-30$34.55$37.0037.8%11.3%47.5%18.5%39.6%-2.5%0.6%14.6M-221.8M-10.5M0.402.42127,81450,5461,697,3861,061,989