GME Options History — March 2007

In March 2007, GME traded between $6.39 and $8.15. ATM implied volatility averaged 29.8%. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 2.9% (HV 20d: 26.9%). Max pain ranged from $6.88 to $6.88. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.95.

Notable Days

  • 2007-03-27: Highest Volume — 46,668 contracts
  • 2007-03-15: Largest IV spike — 43.4% change
  • 2007-03-05: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.95$6.39$8.15$6.52$8.14
Max Pain$6.88$6.88$6.88$6.88$6.88
ATM IV29.8%22.4%38.8%27.8%24.5%
Expected Move9.5%7.0%11.7%8.0%7.0%
HV 20d26.9%19.2%45.4%19.2%44.3%
HV 60d26.5%23.8%33.8%24.5%33.3%
Term Structure-0.1%-6.0%9.2%9.2%3.6%
VWIV33.7%23.2%40.4%27.3%24.8%
Skew 25d4.9%0.4%8.8%4.2%6.1%
Skew 10d8.3%0.5%15.5%7.4%7.6%
Call IV 25d32.5%24.3%39.1%33.8%24.3%
Put IV 25d37.4%27.8%42.5%38.0%30.4%
Bid-Ask Spread %10.654.7016.5010.369.75
Gamma HHI0.350.250.510.330.34
Net GEX485.4K-643.2K1.9M-184.2K615.0K
Net DEX-29.1M-91.8M-87.3K-7.4M-88.4M
Net VEX-268.8K-307.8K-12.7K-304.3K-232.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.264.610.520.35
Total Volume13,912.5451,70446,66814,1687,328
Total OI269,685.6365,800306,848283,552285,196

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$6.52$6.8827.8%8.0%19.2%0.0%27.3%4.2%9.2%-184.2K-7.4M-304.3K0.5210.36N/AN/A9,3204,848146,080137,472
2007-03-02$6.41$6.8829.6%8.5%19.7%0.0%30.7%3.6%8.3%-643.2K-5.0M-307.8K4.619.29N/AN/A1,9288,880147,416139,608
2007-03-05$6.39$6.8832.1%11.7%19.6%0.0%40.4%3.9%-6.0%-556.3K-888.2K-302.8K1.3511.08N/AN/A3,3604,520147,904141,456
2007-03-06$6.47$6.8830.2%11.3%19.6%0.0%38.1%5.0%-4.9%-404.2K-3.7M-301.0K1.067.12N/AN/A3,9604,216148,208141,832
2007-03-07$6.47$6.8830.4%11.3%19.6%0.0%37.9%5.3%-5.1%-448.9K-3.0M-300.7K0.917.68N/AN/A2,0081,824150,144143,400
2007-03-08$6.72$6.8824.9%9.9%22.9%0.0%35.5%5.9%-1.9%591.0K-18.9M-304.4K0.6514.68N/AN/A10,4566,816151,024144,144
2007-03-09$6.78$6.8822.4%9.3%22.8%0.0%34.1%4.3%-0.9%838.2K-22.2M-306.7K0.4215.39N/AN/A3,8081,600152,928147,072
2007-03-12$6.85$6.8824.1%9.5%23.1%0.0%34.1%3.7%-1.5%1.5M-28.6M-297.1K0.797.36N/AN/A8,3046,528153,824147,136
2007-03-13$6.74$6.8823.2%9.6%23.7%0.0%34.4%4.5%-2.0%1.4M-19.3M-293.9K0.8410.73N/AN/A3,4642,920157,064146,560
2007-03-14$6.66$6.8823.2%9.7%23.8%0.0%35.6%5.7%-0.6%639.2K-12.4M-290.4K1.7310.98N/AN/A6,54411,328156,752148,056
2007-03-15$6.77$6.8833.3%9.5%24.5%0.0%34.2%5.7%-0.4%1.9M-19.3M-293.9K0.656.90N/AN/A1,032672155,384151,464
2007-03-16$6.68$6.8833.0%9.5%24.9%0.0%35.8%4.9%-0.1%757.6K-13.2M-288.9K0.8316.38N/AN/A6,1365,088155,272151,432
2007-03-19$6.80$0.0033.1%9.5%25.7%0.0%35.4%8.8%3.2%-7.7K-87.3K-12.7K0.8411.06N/AN/A2,5202,1282,6083,192
2007-03-20$6.91$6.8832.8%9.4%26.3%0.0%34.4%7.5%-1.7%592.9K-28.7M-282.8K1.167.91N/AN/A3,0123,504133,192118,428
2007-03-21$6.91$6.8835.6%10.2%24.6%0.0%35.6%8.2%-4.0%566.5K-28.9M-276.3K1.039.50N/AN/A4,8485,012128,736115,184
2007-03-22$6.83$6.8837.4%10.7%24.1%0.0%36.2%6.0%0.1%455.2K-23.2M-285.2K0.3416.50N/AN/A15,5605,340133,984121,340
2007-03-23$6.83$6.8838.8%11.1%23.8%0.0%39.1%2.1%-0.8%521.4K-25.5M-290.4K0.266.76N/AN/A5,2041,352139,012123,288
2007-03-26$6.99$6.8837.6%10.8%24.8%0.0%38.3%3.4%-4.0%467.9K-32.3M-278.9K0.2811.65N/AN/A28,0887,828129,660123,856
2007-03-27$7.79$6.8827.4%7.8%43.5%0.0%28.1%0.4%2.7%875.8K-78.2M-231.0K0.334.70N/AN/A35,18011,488138,900125,240
2007-03-28$8.15$6.8825.3%7.2%45.3%0.0%23.2%4.3%2.5%512.8K-91.8M-209.3K0.4115.60N/AN/A20,5168,468140,684129,692
2007-03-29$8.11$6.8828.9%8.3%45.4%0.0%27.5%3.2%2.9%722.8K-89.4M-223.1K1.6212.84N/AN/A7,31211,828147,112132,148
2007-03-30$8.14$6.8824.5%7.0%44.3%0.0%24.8%6.1%3.6%615.0K-88.4M-232.0K0.359.75N/AN/A5,4401,888147,260137,936