GME Options History — August 2007 In August 2007, GME traded between $9.74 and $12.54. ATM implied volatility averaged 46.5%, placing in the 79.3% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded below realized volatility by 1.2% (HV 20d: 47.7%). Max pain ranged from $10.00 to $11.25. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.69.
Notable Days 2007-08-23 : Highest Volume — 80,428 contracts2007-08-23 : Largest IV drop — 23.1% change2007-08-03 : Highest IV Rank — 100.0%2007-08-13 : Largest Expected Move — 16.5%Monthly Statistics Metric Avg Min Max Open Close Price $10.84 $9.74 $12.54 $10.03 $12.54 Max Pain $10.27 $10.00 $11.25 $10.00 $11.25 ATM IV 46.5% 38.1% 57.5% 46.3% 39.8% Expected Move 13.8% 10.9% 16.5% 13.3% 11.4% HV 20d 47.7% 26.8% 65.8% 26.8% 62.5% HV 60d 37.7% 30.3% 44.7% 30.3% 44.4% IV Rank 79.3% 49.4% 100.0% 92.5% 53.9% IV Percentile 91.3% 75.9% 100.0% 97.9% 76.0% Term Structure -1.8% -6.4% 2.3% -1.7% 2.3% VWIV 48.9% 38.6% 58.8% 47.1% 43.6% Skew 25d 2.8% -1.4% 5.8% -0.2% 5.8% Skew 10d 6.8% -4.1% 15.0% -2.0% 15.0% Call IV 25d 46.1% 36.7% 52.5% 48.9% 39.8% Put IV 25d 48.9% 40.3% 56.1% 48.7% 45.5% Bid-Ask Spread % 11.23 6.28 27.03 12.97 17.66 Gamma HHI 0.37 0.27 0.53 0.30 0.34 Net GEX 826.8K 415.8K 2.2M 785.3K 1.1M Net DEX -85.5M -145.9M -49.1M -58.9M -145.9M Net VEX -308.5K -341.7K -281.7K -284.9K -325.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.69 0.19 1.49 0.85 0.83 Total Volume 22,526.435 5,460 80,428 7,316 18,284 Total OI 247,342.957 207,476 307,892 207,476 307,892
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2007-08-01 $10.03 $10.00 46.3% 13.3% 26.8% 92.5% 47.1% -0.2% -1.7% 785.3K -58.9M -284.9K 0.85 12.97 N/A N/A 3,944 3,372 122,156 85,320 2007-08-02 $10.38 $10.00 47.5% 13.6% 28.1% 96.7% 47.2% 1.3% -3.1% 890.5K -68.7M -283.4K 0.70 27.03 N/A N/A 3,204 2,256 122,492 86,260 2007-08-03 $9.89 $10.00 50.3% 14.4% 32.9% 100.0% 50.8% 0.4% -3.6% 691.0K -54.3M -287.7K 0.70 11.05 N/A N/A 11,900 8,324 122,028 86,340 2007-08-06 $10.15 $10.00 51.2% 14.1% 30.9% 100.0% 49.7% 3.7% -2.5% 724.5K -62.3M -299.6K 0.51 8.91 N/A N/A 6,244 3,160 126,540 92,056 2007-08-07 $10.69 $10.00 45.0% 13.8% 35.2% 80.8% 50.6% 4.0% -3.6% 926.7K -80.1M -288.8K 1.49 7.92 N/A N/A 10,272 15,312 126,244 93,704 2007-08-08 $11.01 $10.00 42.4% 13.1% 36.5% 72.6% 46.9% -1.4% -1.7% 887.7K -87.0M -288.2K 0.24 9.58 N/A N/A 10,156 2,472 125,528 102,636 2007-08-09 $10.24 $10.00 47.0% 15.2% 44.8% 87.1% 51.0% 4.5% -2.6% 563.0K -62.2M -309.7K 0.43 10.56 N/A N/A 6,768 2,892 128,260 100,868 2007-08-10 $9.97 $10.00 47.5% 15.7% 45.6% 88.6% 54.3% -0.5% -3.7% 471.2K -53.8M -312.8K 0.58 8.54 N/A N/A 7,452 4,316 130,748 100,604 2007-08-13 $10.17 $10.00 51.1% 16.5% 46.3% 99.9% 55.4% 5.0% -6.4% 594.8K -60.8M -310.3K 1.00 8.06 N/A N/A 9,032 9,064 133,012 101,212 2007-08-14 $10.02 $10.00 50.7% 16.3% 46.4% 98.6% 55.8% 4.9% -5.4% 415.8K -53.0M -320.0K 0.24 6.28 N/A N/A 6,284 1,536 136,156 107,572 2007-08-15 $9.88 $10.00 50.5% 16.0% 46.3% 97.9% 56.9% 3.5% -4.0% 476.6K -49.1M -322.9K 0.19 9.21 N/A N/A 19,396 3,644 140,180 105,408 2007-08-16 $9.74 $10.00 57.5% 16.5% 46.4% 100.0% 58.8% 3.6% -3.9% 637.6K -50.2M -334.2K 0.47 12.66 N/A N/A 6,492 3,036 152,232 106,284 2007-08-17 $9.97 $10.00 53.5% 15.3% 47.3% 89.6% 53.7% 2.6% -2.6% 2.2M -57.9M -326.1K 0.51 10.33 N/A N/A 7,928 4,020 152,804 104,876 2007-08-20 $10.42 $10.00 48.4% 13.9% 49.5% 76.4% 49.3% 4.0% 0.6% 728.0K -73.0M -311.6K 0.70 8.70 N/A N/A 8,204 5,768 128,412 91,452 2007-08-21 $10.74 $10.00 46.5% 13.3% 50.4% 71.3% 49.0% 3.5% -1.4% 840.3K -82.9M -311.5K 0.48 8.84 N/A N/A 16,488 7,956 131,432 94,156 2007-08-22 $10.86 $10.00 50.5% 14.5% 50.4% 81.8% 53.3% 3.8% -4.2% 932.9K -88.5M -313.3K 1.18 9.51 N/A N/A 27,004 31,804 135,688 96,364 2007-08-23 $11.86 $10.00 38.8% 11.1% 58.2% 51.4% 38.6% 3.6% 1.9% 1.1M -126.1M -281.7K 0.63 12.03 N/A N/A 49,264 31,164 143,416 114,316 2007-08-24 $12.36 $10.00 38.1% 10.9% 58.7% 49.4% 40.5% 4.1% 1.0% 709.5K -139.1M -285.9K 0.46 15.55 N/A N/A 28,824 13,308 147,404 130,604 2007-08-27 $12.18 $11.25 40.7% 11.7% 59.3% 56.3% 41.6% 1.8% -0.5% 731.8K -130.6M -308.8K 0.48 8.81 N/A N/A 17,068 8,172 150,356 136,740 2007-08-28 $11.61 $11.25 41.9% 12.0% 62.5% 59.4% 42.3% 1.4% 1.5% 753.6K -110.7M -334.8K 1.47 7.34 N/A N/A 7,788 11,480 155,416 136,428 2007-08-29 $12.41 $11.25 41.4% 11.9% 65.7% 58.0% 42.3% 2.3% 1.1% 970.1K -142.8M -311.9K 0.67 15.54 N/A N/A 18,900 12,644 157,608 136,380 2007-08-30 $12.21 $11.25 42.5% 12.2% 65.8% 61.0% 45.8% 3.0% 0.5% 866.0K -129.8M -341.7K 1.00 11.23 N/A N/A 15,740 15,772 160,700 142,604 2007-08-31 $12.54 $11.25 39.8% 11.4% 62.5% 53.9% 43.6% 5.8% 2.3% 1.1M -145.9M -325.8K 0.83 17.66 N/A N/A 10,004 8,280 164,428 143,464
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