GME Options History — September 2007

In September 2007, GME traded between $12.05 and $14.70. ATM implied volatility averaged 40.9%, placing in the 56.7% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded below realized volatility by 10.3% (HV 20d: 51.1%). Max pain ranged from $8.75 to $11.25. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.56.

Notable Days

  • 2007-09-26: Highest Volume — 57,836 contracts
  • 2007-09-13: Largest IV spike — 12.7% change
  • 2007-09-17: Highest IV Rank — 67.7%
  • 2007-09-07: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.18$12.05$14.70$12.78$14.09
Max Pain$9.93$8.75$11.25$11.25$11.25
ATM IV40.9%37.1%45.1%40.8%38.6%
Expected Move12.0%10.6%13.1%11.7%11.1%
HV 20d51.1%34.8%62.4%62.4%34.8%
HV 60d45.0%44.4%45.6%44.4%45.5%
IV Rank56.7%46.9%67.7%56.6%50.7%
IV Percentile76.5%64.7%90.4%78.0%68.3%
Term Structure2.4%0.5%4.3%2.1%4.2%
VWIV42.7%38.0%47.1%40.4%39.7%
Skew 25d2.5%-0.9%6.8%6.8%5.3%
Skew 10d6.1%-1.0%15.1%14.0%9.1%
Call IV 25d41.9%35.9%45.5%39.5%35.9%
Put IV 25d44.4%39.5%48.9%46.3%41.2%
Bid-Ask Spread %8.464.8616.4716.475.44
Gamma HHI0.370.210.860.330.33
Net GEX2.1M1.0M10.0M1.0M1.7M
Net DEX-159.9M-215.7M-126.5M-154.9M-152.5M
Net VEX-299.3K-355.5K-260.2K-298.4K-348.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.171.380.170.31
Total Volume20,325.4745,45657,83629,27612,492
Total OI310,671.368230,580342,372306,128279,948

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-09-04$12.78$11.2540.8%11.7%62.4%56.6%40.4%6.8%2.1%1.0M-154.9M-298.4K0.1716.47N/AN/A25,0084,268162,412143,716
2007-09-05$12.42$11.2541.8%12.0%62.0%59.2%43.8%5.3%2.4%1.4M-142.8M-322.5K0.539.01N/AN/A8,1884,368177,008144,700
2007-09-06$12.51$11.2539.2%11.2%61.5%52.4%41.0%4.2%4.3%1.6M-148.8M-320.0K0.4411.08N/AN/A3,7761,680179,360146,324
2007-09-07$12.05$8.7541.3%13.1%56.5%57.8%46.5%3.8%0.5%1.2M-126.5M-338.8K0.706.94N/AN/A9,3326,576179,852146,744
2007-09-10$12.20$8.7541.8%13.1%55.0%59.0%47.1%2.5%0.8%1.3M-134.3M-324.1K0.668.93N/AN/A4,5562,996182,424148,248
2007-09-11$12.54$8.7537.7%12.5%55.3%48.4%44.4%1.7%1.9%1.6M-150.9M-309.9K0.5213.49N/AN/A6,1443,204182,284147,852
2007-09-12$12.59$8.7538.3%12.5%54.5%49.9%43.9%2.1%1.9%1.7M-154.5M-302.4K0.9011.06N/AN/A3,5763,228182,964149,200
2007-09-13$12.45$8.7543.1%12.4%54.4%62.6%44.0%1.8%2.3%1.6M-148.3M-306.7K0.3611.50N/AN/A4,1841,524184,216148,544
2007-09-14$12.96$8.7542.9%12.3%54.4%61.9%43.7%2.8%2.2%2.1M-173.2M-285.7K1.386.21N/AN/A18,12424,952184,396149,076
2007-09-17$12.85$10.0045.1%12.9%54.9%67.7%46.0%1.9%1.6%1.5M-163.8M-285.1K1.226.36N/AN/A6,8328,304182,748154,744
2007-09-18$13.05$10.0041.3%11.8%53.7%57.8%41.3%2.4%2.1%1.7M-172.9M-272.1K1.1012.86N/AN/A5,7086,276182,800153,880
2007-09-19$13.35$10.0041.7%12.0%53.4%58.8%42.3%-0.1%2.0%2.7M-186.0M-260.2K0.226.03N/AN/A16,8923,640182,128153,300
2007-09-20$13.62$10.0041.0%11.8%53.5%57.1%42.2%-0.7%3.1%4.4M-197.2M-271.9K0.204.87N/AN/A16,3323,224185,220154,064
2007-09-21$13.82$10.0041.1%11.8%45.1%57.3%41.8%-0.9%2.9%10.0M-215.7M-264.8K0.245.70N/AN/A21,4005,116187,324155,048
2007-09-24$14.04$10.0042.2%12.1%43.5%60.3%42.6%0.4%1.7%1.1M-145.7M-264.5K0.306.76N/AN/A20,9246,288133,49697,084
2007-09-25$14.26$10.0041.1%11.8%42.8%57.2%42.1%1.3%2.3%1.2M-152.2M-279.5K0.616.06N/AN/A14,5488,836140,02899,228
2007-09-26$14.70$10.0037.1%10.6%38.0%46.9%38.0%1.7%3.5%1.2M-162.3M-276.6K0.254.86N/AN/A46,37211,464141,164104,064
2007-09-27$14.20$11.2540.2%11.5%35.4%55.1%40.3%4.7%3.4%1.8M-155.0M-355.5K0.577.12N/AN/A22,89612,956166,432110,736
2007-09-28$14.09$11.2538.6%11.1%34.8%50.7%39.7%5.3%4.2%1.7M-152.5M-348.4K0.315.44N/AN/A9,5722,920166,852113,096