GME Options History — October 2007 In October 2007, GME traded between $13.66 and $15.01. ATM implied volatility averaged 43.3%, placing in the 63.1% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 6.5% (HV 20d: 36.8%). Max pain ranged from $11.25 to $13.75. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.38.
Notable Days 2007-10-29 : Highest Volume — 26,384 contracts2007-10-11 : Largest IV spike — 16.8% change2007-10-22 : Highest IV Rank — 76.2%2007-10-22 : Largest Expected Move — 13.9%Monthly Statistics Metric Avg Min Max Open Close Price $14.39 $13.66 $15.01 $14.04 $14.80 Max Pain $13.32 $11.25 $13.75 $11.25 $13.75 ATM IV 43.3% 37.8% 48.3% 38.9% 42.2% Expected Move 12.6% 10.8% 13.9% 11.2% 12.1% HV 20d 36.8% 33.3% 40.8% 34.2% 40.5% HV 60d 46.6% 44.9% 48.6% 45.5% 46.2% IV Rank 63.1% 48.6% 76.2% 51.7% 60.2% IV Percentile 82.5% 65.8% 95.0% 69.5% 75.6% Term Structure 3.1% -0.3% 8.3% 4.3% 8.3% VWIV 44.6% 38.9% 48.5% 40.0% 44.5% Skew 25d 2.3% -0.6% 4.5% 3.1% 3.3% Skew 10d 4.6% -0.3% 9.1% 3.0% 7.0% Call IV 25d 43.8% 38.0% 49.2% 38.0% 42.6% Put IV 25d 46.1% 40.3% 50.4% 41.1% 45.9% Bid-Ask Spread % 12.30 3.34 19.14 5.91 11.05 Gamma HHI 0.39 0.25 0.62 0.33 0.34 Net GEX 1.8M 943.3K 2.9M 1.8M 1.6M Net DEX -147.6M -181.5M -103.2M -151.1M -134.2M Net VEX -344.0K -393.5K -320.2K -341.8K -393.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.38 0.09 0.98 0.98 0.34 Total Volume 16,003.826 6,604 26,384 13,648 24,452 Total OI 271,933.913 205,200 310,968 281,432 254,004
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 2007-10-01 $14.04 $11.25 38.9% 11.2% 34.2% 51.7% 40.0% 3.1% 4.3% 1.8M -151.1M -341.8K 0.98 5.91 N/A N/A 6,900 6,748 167,668 113,764 2007-10-02 $14.40 $11.25 37.8% 10.8% 34.6% 48.6% 38.9% 2.3% 5.0% 1.9M -164.8M -341.3K 0.37 7.01 N/A N/A 12,560 4,596 167,932 115,376 2007-10-03 $14.15 $11.25 39.3% 11.3% 33.3% 52.5% 39.3% 2.4% 4.2% 1.8M -157.0M -344.6K 0.22 7.90 N/A N/A 5,428 1,176 170,856 116,596 2007-10-04 $13.66 $11.25 38.4% 11.0% 36.5% 50.2% 38.9% 1.2% 4.6% 1.4M -137.1M -337.0K 0.61 3.34 N/A N/A 7,184 4,372 171,332 116,756 2007-10-05 $14.18 $13.75 39.1% 11.8% 34.7% 52.1% 41.2% 4.5% 2.1% 1.9M -157.1M -342.6K 0.28 15.60 N/A N/A 9,184 2,556 172,560 117,444 2007-10-08 $14.16 $13.75 42.7% 12.7% 34.8% 61.4% 43.7% 4.3% 0.4% 1.9M -158.7M -334.9K 0.16 13.69 N/A N/A 10,176 1,644 173,376 118,152 2007-10-09 $14.68 $13.75 38.1% 12.0% 35.6% 49.4% 43.4% 2.4% 1.3% 2.4M -180.1M -327.7K 0.30 12.17 N/A N/A 14,816 4,456 174,832 119,020 2007-10-10 $14.74 $13.75 38.1% 12.2% 35.5% 49.6% 43.4% 1.8% 0.4% 2.4M -181.5M -324.4K 0.21 10.50 N/A N/A 9,116 1,916 173,560 120,180 2007-10-11 $14.26 $13.75 44.6% 12.8% 37.9% 66.4% 44.5% 1.9% -0.0% 1.9M -158.3M -353.1K 0.56 9.69 N/A N/A 10,760 5,996 175,688 120,524 2007-10-12 $14.35 $13.75 43.7% 12.5% 35.8% 64.2% 43.8% 1.9% 1.7% 2.0M -164.1M -331.9K 0.48 9.93 N/A N/A 5,524 2,652 176,520 122,180 2007-10-15 $14.51 $13.75 45.6% 13.1% 35.4% 69.2% 46.8% 2.5% -0.3% 2.4M -172.7M -328.6K 0.29 13.54 N/A N/A 16,020 4,664 178,056 123,168 2007-10-16 $14.53 $13.75 45.0% 12.9% 35.3% 67.6% 45.8% 2.6% 0.3% 2.6M -172.8M -326.5K 0.35 13.48 N/A N/A 5,568 1,924 177,712 124,608 2007-10-17 $14.63 $13.75 44.7% 12.8% 34.7% 66.8% 45.6% 3.0% 1.1% 2.9M -172.3M -320.2K 0.25 13.93 N/A N/A 13,980 3,444 178,208 124,620 2007-10-18 $14.60 $13.75 45.8% 13.1% 34.3% 69.6% 47.1% 3.0% 0.5% 2.9M -173.6M -327.3K 0.09 14.32 N/A N/A 20,628 1,888 178,152 125,720 2007-10-19 $14.19 $13.75 47.1% 13.5% 35.8% 72.9% 48.3% -0.6% 1.2% 943.3K -157.0M -321.7K 0.51 18.56 N/A N/A 12,564 6,444 184,556 126,412 2007-10-22 $14.19 $13.75 48.3% 13.9% 35.4% 76.2% 48.5% 0.9% 2.1% 1.0M -107.0M -328.5K 0.36 13.35 N/A N/A 11,788 4,208 125,304 79,896 2007-10-23 $15.01 $13.75 44.2% 12.7% 40.3% 65.5% 45.2% 1.3% 4.1% 1.2M -128.1M -330.7K 0.39 13.76 N/A N/A 16,764 6,500 127,500 81,732 2007-10-24 $14.53 $13.75 46.7% 13.4% 40.8% 72.0% 47.6% 2.9% 4.4% 1.1M -113.7M -356.7K 0.54 19.14 N/A N/A 12,396 6,728 131,908 86,508 2007-10-25 $14.15 $13.75 47.9% 13.7% 40.0% 75.1% 47.9% 3.0% 5.3% 955.2K -103.2M -366.8K 0.51 14.99 N/A N/A 8,156 4,172 135,796 90,348 2007-10-26 $14.36 $13.75 46.3% 13.3% 40.2% 71.0% 45.8% 2.8% 6.1% 1.1M -111.7M -376.1K 0.16 16.59 N/A N/A 16,328 2,628 140,204 93,232 2007-10-29 $14.57 $13.75 45.1% 12.9% 40.4% 67.8% 47.7% 2.7% 6.0% 1.2M -117.9M -366.7K 0.37 15.66 N/A N/A 19,304 7,080 140,240 93,304 2007-10-30 $14.38 $13.75 46.3% 13.3% 39.8% 71.0% 46.8% 0.2% 7.3% 1.3M -119.7M -389.3K 0.51 8.73 N/A N/A 8,416 4,284 152,172 96,804 2007-10-31 $14.80 $13.75 42.2% 12.1% 40.5% 60.2% 44.5% 3.3% 8.3% 1.6M -134.2M -393.5K 0.34 11.05 N/A N/A 18,180 6,272 154,920 99,084
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