GME Options History — May 2007

In May 2007, GME traded between $8.16 and $9.42. ATM implied volatility averaged 34.1%. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 7.4% (HV 20d: 26.6%). Max pain ranged from $7.50 to $8.75. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.77.

Notable Days

  • 2007-05-22: Highest Volume — 55,032 contracts
  • 2007-05-10: Largest IV spike — 31.3% change
  • 2007-05-21: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.69$8.16$9.42$8.38$9.24
Max Pain$8.07$7.50$8.75$7.50$8.75
ATM IV34.1%27.2%45.1%32.4%30.2%
Expected Move10.0%8.1%12.9%9.3%8.7%
HV 20d26.6%21.5%33.0%24.1%32.7%
HV 60d33.1%31.8%35.1%32.3%34.8%
Term Structure-1.9%-7.2%1.4%-0.8%1.1%
VWIV35.3%29.0%44.6%35.0%29.4%
Skew 25d3.5%-3.8%11.6%7.6%1.9%
Skew 10d6.3%-6.5%16.9%15.0%3.6%
Call IV 25d30.5%16.1%37.4%30.6%29.2%
Put IV 25d34.0%22.5%39.3%38.2%31.1%
Bid-Ask Spread %12.485.4125.489.5014.53
Gamma HHI0.530.320.820.590.56
Net GEX1.0M311.8K2.6M738.1K1.0M
Net DEX-59.3M-79.1M-28.4M-50.2M-79.1M
Net VEX-222.7K-273.5K-134.0K-210.4K-273.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.072.981.240.47
Total Volume16,693.2731,78455,0323,0206,740
Total OI208,193.636140,692284,296177,300284,296

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$8.38$7.5032.4%9.3%24.1%0.0%35.0%7.6%-0.8%738.1K-50.2M-210.4K1.249.50N/AN/A1,3481,672103,03674,264
2007-05-02$8.45$7.5032.6%9.3%24.2%0.0%33.4%9.4%-0.6%777.3K-52.7M-208.7K2.987.53N/AN/A1,6484,904103,52475,252
2007-05-03$8.40$7.5032.7%9.4%24.2%0.0%32.9%8.3%-0.8%761.7K-51.2M-210.6K0.206.36N/AN/A1,488296104,26476,628
2007-05-04$8.31$7.5032.7%9.3%24.2%0.0%32.9%7.8%-0.6%730.9K-46.2M-211.0K0.5222.64N/AN/A1,408732104,71676,748
2007-05-07$8.33$7.5028.9%9.5%24.1%0.0%34.2%8.8%-0.3%754.2K-47.6M-210.7K0.436.35N/AN/A4,0041,728104,94077,276
2007-05-08$8.37$7.5027.9%9.6%21.7%0.0%35.0%-2.8%-1.0%884.1K-48.8M-210.9K0.2514.75N/AN/A4,0841,016106,92877,896
2007-05-09$8.38$7.5027.2%10.3%21.5%0.0%36.2%-3.8%-2.1%866.6K-48.7M-211.4K1.7324.13N/AN/A1,9643,400107,07278,144
2007-05-10$8.23$7.5035.7%10.2%21.9%0.0%35.8%11.6%-2.0%503.3K-42.3M-216.4K0.338.89N/AN/A1,876612108,27680,568
2007-05-11$8.16$7.5037.1%10.6%22.0%0.0%38.0%6.3%-3.2%311.8K-40.8M-216.3K0.638.92N/AN/A5,8003,660109,30080,220
2007-05-14$8.24$7.5039.8%11.4%22.4%0.0%40.6%2.4%-5.2%360.8K-28.4M-134.0K0.0712.38N/AN/A6,90048883,31257,380
2007-05-15$8.57$7.5039.2%11.2%26.5%0.0%39.3%2.6%-5.2%1.6M-57.7M-215.7K0.1815.94N/AN/A26,8804,760117,88882,632
2007-05-16$8.81$7.5036.9%10.6%27.7%0.0%37.0%3.1%-2.9%2.6M-72.8M-217.2K0.3410.50N/AN/A18,8686,404126,56884,704
2007-05-17$8.90$8.7540.7%11.7%27.0%0.0%40.8%2.5%-4.3%2.0M-77.3M-221.6K0.9011.95N/AN/A16,49614,900129,70888,876
2007-05-18$8.90$8.7541.5%11.9%25.2%0.0%41.9%2.1%-4.5%1.5M-73.3M-237.3K0.5415.08N/AN/A10,7725,796133,028100,272
2007-05-21$9.28$8.7545.1%12.9%27.6%0.0%44.6%1.9%-6.0%659.7K-72.6M-218.6K0.415.41N/AN/A23,5249,544115,08889,048
2007-05-22$9.42$8.7541.7%12.0%26.1%0.0%41.8%1.4%-7.2%742.0K-76.5M-227.1K0.468.21N/AN/A37,70417,328123,00895,604
2007-05-23$8.96$8.7529.6%8.5%32.2%0.0%30.1%-0.2%0.1%1.1M-67.3M-245.5K0.5211.62N/AN/A25,78413,508140,12898,892
2007-05-24$8.80$8.7529.6%8.5%33.0%0.0%29.8%1.5%1.3%941.3K-59.1M-259.9K0.8125.48N/AN/A9,1847,452141,73299,972
2007-05-25$8.95$8.7528.4%8.1%33.0%0.0%29.0%1.1%1.4%1.1M-67.5M-250.5K1.5914.30N/AN/A4,5727,276142,84899,692
2007-05-29$9.01$8.7530.4%8.7%32.4%0.0%30.4%2.0%0.7%1.1M-69.4M-248.5K0.569.38N/AN/A3,7762,120143,544103,796
2007-05-30$9.11$8.7529.5%8.5%32.5%0.0%29.4%1.8%1.3%1.1M-74.2M-243.1K1.7710.65N/AN/A16,19628,640144,668104,524
2007-05-31$9.24$8.7530.2%8.7%32.7%0.0%29.4%1.9%1.1%1.0M-79.1M-273.5K0.4714.53N/AN/A4,5882,152155,684128,612