GME Options History — June 2007

In June 2007, GME traded between $9.09 and $10.10. ATM implied volatility averaged 29.2%. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 3.8% (HV 20d: 33.1%). Max pain ranged from $8.75 to $8.75. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.54.

Notable Days

  • 2007-06-15: Highest Volume — 19,184 contracts
  • 2007-06-14: Largest IV spike — 59.8% change
  • 2007-06-08: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.65$9.09$10.10$9.42$9.78
Max Pain$8.75$8.75$8.75$8.75$8.75
ATM IV29.2%19.7%33.1%27.9%31.2%
Expected Move8.8%8.0%9.4%8.0%8.9%
HV 20d33.1%28.5%37.8%32.8%30.7%
HV 60d33.1%28.3%36.4%34.9%29.1%
Term Structure4.3%-0.7%6.2%-0.7%6.1%
VWIV30.2%26.0%32.4%26.0%31.1%
Skew 25d1.9%0.1%3.3%2.4%0.9%
Skew 10d4.7%0.3%12.0%4.9%0.8%
Call IV 25d30.3%27.7%32.6%27.7%32.4%
Put IV 25d32.2%30.0%33.8%30.0%33.2%
Bid-Ask Spread %9.804.7214.709.267.08
Gamma HHI0.630.370.860.670.70
Net GEX1.1M453.9K2.4M1.2M1.3M
Net DEX-92.2M-109.8M-70.6M-86.8M-93.6M
Net VEX-249.2K-273.0K-215.1K-257.7K-263.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.111.600.301.28
Total Volume7,8482,40819,1845,7804,872
Total OI281,983.238252,576290,868284,500287,716

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$9.42$8.7527.9%8.0%32.8%0.0%26.0%2.4%-0.7%1.2M-86.8M-257.7K0.309.26N/AN/A4,4321,348155,644128,856
2007-06-04$9.56$8.7529.2%8.5%32.4%0.0%30.1%1.6%4.4%1.4M-93.6M-250.2K0.319.92N/AN/A10,6243,288155,816128,480
2007-06-05$9.54$8.7531.4%8.7%32.5%0.0%30.6%1.1%3.8%1.4M-93.9M-257.1K0.628.47N/AN/A3,9042,432158,292129,984
2007-06-06$9.35$8.7532.7%9.4%33.9%0.0%31.6%2.4%3.3%1.1M-83.8M-263.6K0.2514.53N/AN/A3,156788157,976130,272
2007-06-07$9.11$8.7530.4%9.4%35.7%0.0%31.8%2.7%3.5%742.7K-70.6M-273.0K0.2614.70N/AN/A3,9721,048158,296130,084
2007-06-08$9.32$8.7533.1%9.4%35.4%0.0%32.4%2.3%3.2%1.0M-83.2M-265.4K0.4112.71N/AN/A2,8321,152159,004130,516
2007-06-11$9.23$8.7526.9%9.3%35.4%0.0%31.3%2.6%2.9%746.3K-77.6M-256.7K0.507.11N/AN/A1,692848158,700131,104
2007-06-12$9.09$8.7523.9%9.1%36.2%0.0%30.9%2.2%3.7%596.9K-71.2M-261.4K0.6714.19N/AN/A2,0601,388159,112131,428
2007-06-13$9.26$8.7519.7%9.0%34.3%0.0%30.5%2.5%4.0%453.9K-81.9M-249.0K0.278.67N/AN/A1,892516159,588130,844
2007-06-14$9.31$8.7531.4%9.0%33.1%0.0%29.5%2.2%4.3%506.7K-84.6M-243.4K0.7610.53N/AN/A1,6161,236159,696130,892
2007-06-15$9.80$8.7527.9%8.0%37.3%0.0%29.6%2.1%5.9%2.4M-105.7M-223.1K0.318.23N/AN/A14,6684,516159,804131,064
2007-06-18$10.04$8.7529.7%8.5%37.8%0.0%29.5%1.6%4.2%990.2K-99.7M-215.1K0.309.91N/AN/A13,8964,236133,968118,608
2007-06-19$10.01$8.7529.5%8.5%35.5%0.0%29.7%3.3%4.1%1.1M-99.5M-225.2K0.487.40N/AN/A10,0244,788138,784120,368
2007-06-20$9.90$8.7529.8%8.5%35.6%0.0%30.3%2.1%4.1%1.1M-96.0M-236.8K1.2810.52N/AN/A3,7164,756142,788123,188
2007-06-21$10.01$8.7528.3%8.1%29.9%0.0%28.7%3.0%5.1%1.1M-99.6M-234.7K0.389.35N/AN/A5,3602,056143,920126,284
2007-06-22$10.02$8.7528.3%8.1%28.6%0.0%28.5%0.9%5.8%1.1M-100.4M-244.2K0.289.30N/AN/A2,388672147,272126,628
2007-06-25$9.99$8.7530.4%8.7%28.5%0.0%31.0%1.8%5.3%1.2M-101.8M-237.2K0.1111.89N/AN/A15,0561,584148,400126,784
2007-06-26$9.88$8.7531.0%8.9%29.2%0.0%31.0%1.2%5.6%1.3M-99.3M-259.7K0.2311.32N/AN/A8,0001,800157,152127,876
2007-06-27$10.10$8.7531.3%9.0%29.8%0.0%31.2%0.6%5.6%1.6M-109.8M-257.4K1.604.72N/AN/A3,2365,176160,068129,056
2007-06-28$9.98$8.7530.2%8.7%30.1%0.0%29.7%0.1%6.2%1.4M-103.2M-258.3K0.696.01N/AN/A2,2361,548156,792130,544
2007-06-29$9.78$8.7531.2%8.9%30.7%0.0%31.1%0.9%6.1%1.3M-93.6M-263.0K1.287.08N/AN/A2,1362,736156,724130,992