GME Options History — February 2007

In February 2007, GME traded between $6.52 and $6.92. ATM implied volatility averaged 26.5%. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 2.6% (HV 20d: 23.9%). Max pain ranged from $6.88 to $6.88. Net GEX was positive for 9 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.95.

Notable Days

  • 2007-02-21: Highest Volume — 38,088 contracts
  • 2007-02-27: Largest IV spike — 14.1% change
  • 2007-02-28: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.69$6.52$6.92$6.73$6.55
Max Pain$6.88$6.88$6.88$6.88$6.88
ATM IV26.5%23.4%30.4%26.2%30.4%
Expected Move7.8%7.2%8.7%7.5%8.7%
HV 20d23.9%18.7%27.9%27.7%19.8%
Term Structure5.5%1.4%6.6%1.4%5.5%
VWIV27.0%25.2%30.2%26.1%29.2%
Skew 25d3.4%1.9%4.6%3.3%4.6%
Skew 10d7.5%6.1%8.8%7.6%8.4%
Call IV 25d31.9%29.7%33.2%32.8%33.1%
Put IV 25d35.3%32.9%37.6%36.1%37.6%
Bid-Ask Spread %15.598.8227.7815.4310.74
Gamma HHI0.350.270.540.410.31
Net GEX-43.1K-819.5K907.8K-360.6K-61.5K
Net DEX-13.1M-28.2M-2.2M-13.2M-9.0M
Net VEX-293.9K-314.8K-262.6K-303.0K-310.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.064.911.021.65
Total Volume8,758.31671238,0886,37613,736
Total OI275,277.053218,376298,400267,248281,824

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-02-01$6.73$6.8826.2%7.5%27.7%0.0%26.1%3.3%1.4%-360.6K-13.2M-303.0K1.0215.43N/AN/A3,1603,216129,280137,968
2007-02-02$6.74$6.8825.2%8.1%27.4%0.0%28.2%3.1%5.1%-345.5K-13.0M-301.1K0.8117.29N/AN/A4,9364,016129,656140,016
2007-02-05$6.63$6.8827.0%8.0%27.9%0.0%27.8%3.1%4.7%-629.0K-4.9M-292.5K4.918.82N/AN/A1,6087,896131,072142,752
2007-02-06$6.59$6.8823.4%7.8%27.3%0.0%27.5%4.2%6.3%-819.5K-2.2M-293.3K1.5211.35N/AN/A3,5285,376131,440147,872
2007-02-07$6.71$6.8825.7%7.8%25.2%0.0%27.3%3.8%5.7%-505.1K-11.1M-297.3K0.3810.93N/AN/A8,0403,040132,632151,216
2007-02-08$6.66$6.8827.7%8.0%25.1%0.0%27.8%3.1%5.3%907.8K-20.4M-262.6K0.0613.06N/AN/A69640127,85690,520
2007-02-09$6.69$6.8827.0%7.7%23.3%0.0%27.0%3.3%5.9%-430.8K-9.0M-295.6K0.2910.57N/AN/A552160137,320152,472
2007-02-12$6.63$6.8827.4%7.9%23.3%0.0%27.3%3.6%5.6%-529.3K-4.7M-289.3K0.1213.00N/AN/A7,128888139,224154,520
2007-02-13$6.70$6.8826.2%7.5%23.9%0.0%26.2%3.4%6.6%-157.2K-10.9M-292.9K0.0811.32N/AN/A4,096312140,976154,376
2007-02-14$6.74$6.8826.5%7.6%24.1%0.0%26.7%3.1%5.8%968-14.2M-290.5K0.3613.95N/AN/A1,696616143,624154,304
2007-02-15$6.72$6.8827.0%7.7%23.8%0.0%27.4%3.0%5.7%42.1K-11.1M-286.4K1.0911.24N/AN/A1,6721,816144,272154,128
2007-02-16$6.72$6.8826.7%7.7%23.5%0.0%26.8%3.4%5.1%129.0K-8.7M-282.8K0.7415.83N/AN/A1,6401,208144,056152,976
2007-02-20$6.74$6.8825.9%7.4%22.8%0.0%26.2%1.9%5.3%233.2K-19.0M-272.5K0.2713.87N/AN/A2,888784126,872117,440
2007-02-21$6.92$6.8825.3%7.2%24.7%0.0%25.2%3.3%6.2%522.2K-28.2M-273.1K0.7225.60N/AN/A22,20815,880128,560117,624
2007-02-22$6.79$6.8825.2%7.2%24.9%0.0%25.2%4.1%6.4%458.8K-22.6M-314.8K0.4827.78N/AN/A8,0563,880140,536128,344
2007-02-23$6.73$6.8825.2%7.2%21.0%0.0%25.2%3.2%6.3%404.0K-20.3M-312.0K0.3325.88N/AN/A8,3682,800142,880128,448
2007-02-26$6.67$6.8826.3%7.5%18.7%0.0%26.3%3.2%5.6%346.4K-18.0M-308.1K0.7425.91N/AN/A2,3841,768145,896130,080
2007-02-27$6.52$6.8830.0%8.6%19.8%0.0%30.2%4.3%6.3%-24.3K-9.0M-305.0K2.4513.55N/AN/A4,73611,584146,568130,664
2007-02-28$6.55$6.8830.4%8.7%19.8%0.0%29.2%4.6%5.5%-61.5K-9.0M-310.4K1.6510.74N/AN/A5,1768,560146,568135,256