GME Options History — January 2007

In January 2007, GME traded between $6.53 and $7.25. ATM implied volatility averaged 29.1%. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 0.3% (HV 20d: 28.8%). Max pain ranged from $6.25 to $6.88. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.09.

Notable Days

  • 2007-01-25: Highest Volume — 36,848 contracts
  • 2007-01-04: Largest IV drop — 13.2% change
  • 2007-01-05: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.92$6.53$7.25$6.86$6.68
Max Pain$6.81$6.25$6.88$6.25$6.88
ATM IV29.1%27.2%33.0%33.0%27.7%
Expected Move8.5%7.8%9.5%9.5%7.9%
HV 20d28.8%28.2%29.3%28.6%28.2%
Term Structure3.5%0.2%7.1%2.5%0.9%
VWIV30.2%27.6%33.9%33.9%28.4%
Skew 25d3.1%0.9%4.9%3.0%4.0%
Skew 10d9.4%1.1%66.8%4.7%8.8%
Call IV 25d30.7%21.4%34.7%32.6%32.8%
Put IV 25d33.8%26.3%37.5%35.6%36.9%
Bid-Ask Spread %12.606.1118.939.299.90
Gamma HHI0.440.310.650.370.46
Net GEX174.4K-621.0K1.1M-44.9K-441.5K
Net DEX-43.3M-77.1M-2.5M-43.0M-10.7M
Net VEX-300.1K-333.5K-280.7K-322.9K-305.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.092.771.302.77
Total Volume13,746.82,69636,84824,8488,000
Total OI340,370210,720415,704381,392265,880

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$6.86$6.2533.0%9.5%0.0%0.0%33.9%3.0%2.5%-44.9K-43.0M-322.9K1.309.29N/AN/A10,81614,032185,768195,624
2007-01-04$6.93$6.2528.7%8.2%0.0%0.0%29.3%1.2%4.4%259.1K-50.3M-313.3K0.478.08N/AN/A20,6409,736189,224197,976
2007-01-05$6.94$6.8829.4%9.5%0.0%0.0%33.3%2.5%3.3%266.5K-56.4M-333.5K0.166.83N/AN/A13,6402,232202,848206,496
2007-01-08$6.81$6.8830.2%9.2%0.0%0.0%33.1%0.9%4.3%30.0K-49.5M-325.8K0.856.11N/AN/A6,6325,640206,992206,880
2007-01-09$7.04$6.8829.6%8.9%0.0%0.0%30.6%3.0%5.4%532.1K-64.9M-317.8K0.739.09N/AN/A4,6963,408201,160209,496
2007-01-10$7.08$6.8827.2%8.6%0.0%0.0%30.3%1.5%6.2%594.5K-65.6M-309.4K2.2513.60N/AN/A1,8724,208198,472211,440
2007-01-11$7.25$6.8827.2%7.8%0.0%0.0%29.1%4.3%7.1%1.1M-77.1M-300.9K0.5113.18N/AN/A9,4324,792196,384213,280
2007-01-12$7.21$6.8827.5%7.9%0.0%0.0%29.1%4.9%6.6%1.0M-75.1M-300.3K1.1114.61N/AN/A4,0804,536199,112214,960
2007-01-16$7.21$6.8829.0%8.3%0.0%0.0%30.0%2.8%5.6%882.1K-74.0M-291.9K0.6010.72N/AN/A3,8722,328197,832217,600
2007-01-17$7.20$6.8829.0%8.3%0.0%0.0%29.4%3.0%4.9%308.3K-73.7M-284.6K0.3616.72N/AN/A2,448880197,688217,872
2007-01-18$7.11$6.8830.6%8.8%0.0%0.0%30.5%3.2%4.9%180.3K-69.1M-286.5K0.3616.20N/AN/A1,984712197,736217,968
2007-01-19$7.00$6.8831.2%9.0%0.0%0.0%31.9%3.1%4.3%107.7K-64.3M-285.0K1.3811.75N/AN/A3,9205,400196,848217,376
2007-01-22$6.88$6.8831.1%8.9%0.0%0.0%31.8%3.4%1.2%83.6K-20.2M-280.7K1.7115.74N/AN/A6,01610,272107,824102,896
2007-01-23$6.87$6.8829.6%8.5%0.0%0.0%30.2%3.7%2.4%25.2K-19.0M-284.1K1.7416.84N/AN/A1,5522,696110,296107,640
2007-01-24$6.97$6.8828.7%8.2%0.0%0.0%29.5%2.9%2.2%109.8K-23.7M-283.3K0.0918.93N/AN/A12,7441,160111,240108,960
2007-01-25$6.71$6.8828.2%8.1%28.6%0.0%29.4%3.8%0.3%35.6K-15.2M-286.3K2.3317.39N/AN/A11,08025,768119,168109,336
2007-01-26$6.53$6.8827.8%8.0%29.3%0.0%27.6%2.8%1.9%-475.1K-2.5M-291.8K1.7212.86N/AN/A10,24817,608120,896124,792
2007-01-29$6.63$6.8828.6%8.2%29.3%0.0%29.0%3.6%0.2%-502.6K-7.4M-299.6K0.3511.47N/AN/A5,4161,912125,480135,600
2007-01-30$6.59$6.8827.4%7.8%28.5%0.0%28.0%3.7%1.8%-621.0K-4.4M-297.6K1.0512.63N/AN/A9,0489,480124,784135,576
2007-01-31$6.68$6.8827.7%7.9%28.2%0.0%28.4%4.0%0.9%-441.5K-10.7M-305.9K2.779.90N/AN/A2,1205,880128,520137,360