GME Options History — July 2007

In July 2007, GME traded between $10.05 and $10.81. ATM implied volatility averaged 41.8%, placing in the 90.0% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 12.1% (HV 20d: 29.7%). Max pain ranged from $8.75 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.40.

Notable Days

  • 2007-07-09: Highest Volume — 93,984 contracts
  • 2007-07-09: Largest IV spike — 27.3% change
  • 2007-07-26: Highest IV Rank — 100.0%
  • 2007-07-30: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.38$10.05$10.81$10.05$10.09
Max Pain$9.82$8.75$10.00$8.75$10.00
ATM IV41.8%30.4%48.5%30.4%46.9%
Expected Move12.2%8.7%13.9%8.7%13.4%
HV 20d29.7%26.8%32.8%31.7%26.8%
HV 60d30.1%29.4%31.0%29.5%30.2%
IV Rank90.0%62.3%100.0%63.8%94.6%
IV Percentile96.1%89.0%100.0%90.5%99.3%
Term Structure-2.6%-6.6%7.0%7.0%-2.8%
VWIV42.7%30.4%48.7%30.4%48.2%
Skew 25d0.5%-2.5%2.9%0.8%-0.1%
Skew 10d1.2%-2.5%9.3%2.0%-2.4%
Call IV 25d43.2%33.2%48.8%33.2%48.8%
Put IV 25d43.7%34.0%50.8%34.0%48.7%
Bid-Ask Spread %12.575.1522.756.5322.75
Gamma HHI0.410.280.700.700.31
Net GEX1.3M742.6K2.1M1.5M816.2K
Net DEX-107.5M-139.7M-60.1M-105.8M-60.5M
Net VEX-262.2K-288.4K-219.2K-249.5K-284.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.071.150.670.30
Total Volume14,393.7144,75693,9844,7567,132
Total OI280,508194,792346,528288,568206,724

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$10.05$8.7530.4%8.7%31.7%0.0%30.4%0.8%7.0%1.5M-105.8M-249.5K0.676.53N/AN/A2,8441,912157,032131,536
2007-07-03$10.11$8.7531.8%9.1%31.7%0.0%31.7%2.0%6.5%1.4M-108.9M-245.4K0.416.69N/AN/A3,5281,452157,556132,468
2007-07-05$10.38$8.7535.7%10.2%31.5%63.8%35.5%2.3%3.5%1.4M-121.9M-236.6K0.555.15N/AN/A13,6607,468159,340132,704
2007-07-06$10.39$10.0035.3%11.4%29.3%62.3%39.5%2.9%-2.4%1.3M-121.9M-241.8K0.2813.58N/AN/A7,2762,020160,676137,932
2007-07-09$10.81$10.0044.9%12.6%31.1%99.5%44.5%1.3%-6.6%1.1M-139.7M-219.2K0.238.59N/AN/A76,28817,696162,276138,304
2007-07-10$10.53$10.0037.9%12.3%32.8%72.5%43.1%-2.5%-4.1%2.0M-136.5M-264.0K0.398.97N/AN/A18,7447,388187,772142,524
2007-07-11$10.44$10.0037.1%12.5%32.4%69.2%43.7%-0.0%-4.7%2.0M-130.2M-267.6K0.468.68N/AN/A8,2803,808188,784143,140
2007-07-12$10.61$10.0043.8%12.6%32.3%95.2%43.6%0.7%-4.9%2.1M-138.7M-261.3K0.249.12N/AN/A5,1561,224189,416143,780
2007-07-13$10.50$10.0043.7%12.5%32.8%94.7%43.3%0.8%-4.2%1.9M-133.3M-263.0K0.0710.91N/AN/A13,204900188,876144,156
2007-07-16$10.52$10.0044.5%12.7%28.2%97.7%44.4%0.8%-4.8%1.9M-133.9M-253.2K0.287.95N/AN/A4,9041,372188,100143,952
2007-07-17$10.40$10.0044.2%12.7%27.5%96.7%44.3%0.7%-5.2%1.8M-128.8M-250.2K0.3110.05N/AN/A5,0841,584186,836143,436
2007-07-18$10.53$10.0044.5%12.8%27.7%98.0%44.4%0.4%-5.5%1.6M-134.1M-246.3K1.1513.18N/AN/A18,10020,896185,360144,072
2007-07-19$10.42$10.0043.8%12.5%27.6%95.0%43.4%1.0%-4.7%1.5M-133.3M-279.6K0.2314.63N/AN/A4,5841,072192,316154,212
2007-07-20$10.48$10.0041.7%11.9%27.5%87.0%42.5%-1.2%-2.5%788.1K-137.8M-274.1K0.1913.61N/AN/A4,872928191,332153,540
2007-07-23$10.27$10.0044.2%12.7%28.6%96.6%45.0%-0.2%-3.2%742.6K-65.0M-275.5K0.3615.62N/AN/A3,5881,288113,20881,584
2007-07-24$10.40$10.0043.5%12.5%28.9%93.9%44.6%-1.1%-2.3%803.4K-68.3M-275.7K0.2015.20N/AN/A6,4081,284115,09682,868
2007-07-25$10.50$10.0043.5%12.5%28.5%94.1%43.7%-0.9%-2.8%850.1K-71.7M-269.8K0.3421.23N/AN/A4,6721,596115,32882,608
2007-07-26$10.27$10.0045.1%12.9%29.0%100.0%44.7%-0.5%-3.5%833.4K-65.2M-279.4K0.8218.78N/AN/A3,9043,220118,58084,156
2007-07-27$10.10$10.0046.6%13.4%29.3%100.0%47.2%0.8%-3.9%757.5K-60.1M-288.4K0.6014.11N/AN/A3,7202,220119,22085,504
2007-07-30$10.18$10.0048.5%13.9%28.3%100.0%48.7%2.1%-3.9%805.2K-63.0M-281.2K0.2818.56N/AN/A5,4841,508120,04484,320
2007-07-31$10.09$10.0046.9%13.4%26.8%94.6%48.2%-0.1%-2.8%816.2K-60.5M-284.3K0.3022.75N/AN/A5,4921,640121,99284,732