GME Options History — April 2007

In April 2007, GME traded between $8.23 and $8.74. ATM implied volatility averaged 28.4%. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 11.5% (HV 20d: 39.9%). Max pain ranged from $6.88 to $7.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.59.

Notable Days

  • 2007-04-10: Highest Volume — 13,892 contracts
  • 2007-04-05: Largest IV spike — 23.1% change
  • 2007-04-30: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.42$8.23$8.74$8.23$8.29
Max Pain$7.38$6.88$7.50$6.88$7.50
ATM IV28.4%19.1%33.0%25.7%33.0%
Expected Move8.3%5.5%9.5%7.4%9.5%
HV 20d39.9%23.2%45.7%43.9%24.2%
HV 60d32.6%32.0%33.3%33.3%32.3%
Term Structure1.0%-1.8%5.3%2.3%-1.8%
VWIV29.9%22.0%35.0%25.2%33.4%
Skew 25d4.3%1.4%9.6%4.6%5.2%
Skew 10d6.0%-3.3%16.2%5.0%12.9%
Call IV 25d29.2%23.3%33.5%25.3%32.4%
Put IV 25d33.4%27.0%37.6%29.9%37.6%
Bid-Ask Spread %8.492.4317.1717.175.60
Gamma HHI0.590.420.690.420.55
Net GEX667.8K511.7K794.1K592.5K678.8K
Net DEX-83.7M-104.3M-47.6M-92.3M-47.6M
Net VEX-209.1K-221.4K-186.3K-214.4K-213.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.051.770.160.37
Total Volume4,646.61,28813,89211,9242,052
Total OI255,906.2163,856295,260285,996176,852

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$8.23$6.8825.7%7.4%43.9%0.0%25.2%4.6%2.3%592.5K-92.3M-214.4K0.1617.17N/AN/A10,2521,672147,700138,296
2007-04-03$8.30$6.8824.2%6.9%43.9%0.0%24.0%5.8%4.7%635.3K-95.3M-215.0K1.387.11N/AN/A4,0165,544150,696138,708
2007-04-04$8.24$6.8819.1%5.5%44.2%0.0%22.2%3.3%4.7%622.8K-92.1M-221.4K0.258.66N/AN/A1,028260149,936140,516
2007-04-05$8.33$6.8823.6%6.8%43.2%0.0%22.0%8.2%5.3%585.1K-95.1M-215.9K0.0511.52N/AN/A2,816132149,964140,652
2007-04-09$8.28$7.5024.4%8.6%43.7%0.0%30.5%1.4%1.5%579.9K-93.4M-213.5K0.676.34N/AN/A1,332892150,072140,736
2007-04-10$8.52$7.5024.7%8.4%44.2%0.0%30.3%1.6%1.3%651.4K-100.5M-210.0K0.6113.06N/AN/A8,6445,248150,216140,800
2007-04-11$8.59$7.5025.5%8.5%43.0%0.0%29.8%2.0%1.0%785.3K-104.3M-207.8K0.8716.90N/AN/A3,0122,612153,608138,928
2007-04-12$8.48$7.5030.1%8.6%43.0%0.0%30.3%2.6%0.4%740.9K-101.1M-211.0K1.157.11N/AN/A1,1361,312154,420139,584
2007-04-13$8.45$7.5029.3%8.4%43.3%0.0%29.9%2.1%1.6%718.8K-99.3M-211.4K0.117.85N/AN/A2,168244154,464140,276
2007-04-16$8.46$7.5031.0%8.9%42.6%0.0%31.4%2.4%-0.6%724.9K-99.5M-205.8K0.207.76N/AN/A2,220436154,028140,316
2007-04-17$8.49$7.5031.1%8.9%42.6%0.0%31.6%3.0%-0.0%794.1K-99.7M-206.4K0.087.87N/AN/A2,468208154,080140,400
2007-04-18$8.38$7.5031.4%9.0%43.4%0.0%32.1%7.8%0.5%576.7K-96.1M-211.5K0.357.76N/AN/A1,728612154,836140,424
2007-04-19$8.26$7.5031.1%8.9%44.1%0.0%33.9%6.2%0.8%511.7K-92.2M-212.0K0.997.09N/AN/A1,1001,084154,140140,288
2007-04-20$8.51$7.5030.5%8.8%44.0%0.0%31.5%1.7%-0.3%771.2K-100.2M-204.2K0.509.59N/AN/A3,0041,496154,020139,568
2007-04-23$8.74$7.5029.8%8.5%44.1%0.0%30.1%2.8%0.5%638.1K-58.1M-186.3K0.363.37N/AN/A5,9802,17693,17670,680
2007-04-24$8.54$7.5031.4%9.0%45.7%0.0%35.0%2.8%-0.7%663.3K-53.1M-201.7K1.778.84N/AN/A1,7683,13296,67271,964
2007-04-25$8.46$7.5030.2%8.7%27.8%0.0%30.7%3.8%-0.1%677.8K-50.7M-206.9K0.484.86N/AN/A1,03650097,20073,288
2007-04-26$8.51$7.5030.7%8.8%23.2%0.0%32.2%9.6%-0.6%659.1K-52.1M-201.7K0.068.90N/AN/A7,11243297,44873,420
2007-04-27$8.40$7.5030.8%8.8%23.6%0.0%33.0%8.2%-0.2%747.5K-51.3M-211.3K1.292.43N/AN/A9041,164102,28073,472
2007-04-30$8.29$7.5033.0%9.5%24.2%0.0%33.4%5.2%-1.8%678.8K-47.6M-213.5K0.375.60N/AN/A1,500552102,66074,192