GME Options History — November 2007

In November 2007, GME traded between $12.33 and $14.67. ATM implied volatility averaged 53.6%, placing in the 71.3% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded above realized volatility by 8.9% (HV 20d: 44.7%). Max pain ranged from $12.50 to $13.75. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.33.

Notable Days

  • 2007-11-20: Highest Volume — 137,980 contracts
  • 2007-11-12: Largest IV spike — 31.0% change
  • 2007-11-12: Highest IV Rank — 100.0%
  • 2007-11-19: Largest Expected Move — 21.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.61$12.33$14.67$14.46$14.36
Max Pain$13.33$12.50$13.75$13.75$12.50
ATM IV53.6%41.3%76.1%46.4%41.3%
Expected Move16.0%11.8%21.8%13.3%11.8%
HV 20d44.7%37.4%51.5%39.2%50.7%
HV 60d43.6%40.8%46.3%46.3%42.0%
IV Rank71.3%38.9%100.0%71.3%38.9%
IV Percentile92.6%65.2%100.0%90.5%65.2%
Term Structure0.1%-7.1%7.0%7.0%6.1%
VWIV55.6%40.6%76.7%47.8%40.6%
Skew 25d6.2%1.3%11.9%2.1%8.2%
Skew 10d11.5%3.6%22.4%4.1%17.6%
Call IV 25d53.3%36.3%72.7%47.3%36.3%
Put IV 25d59.4%44.6%78.5%49.4%44.6%
Bid-Ask Spread %10.406.3020.329.169.89
Gamma HHI0.290.230.400.280.37
Net GEX2.0M-773.8K5.3M1.4M5.3M
Net DEX-115.5M-194.9M-69.9M-122.3M-194.9M
Net VEX-491.4K-592.3K-423.7K-423.7K-576.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.170.710.460.44
Total Volume37,353.7148,580137,98019,58019,696
Total OI335,094.095263,344414,332263,344414,048

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$14.46$13.7546.4%13.3%39.2%71.3%47.8%2.1%7.0%1.4M-122.3M-423.7K0.469.16N/AN/A13,4006,180160,076103,268
2007-11-02$14.13$13.7547.5%13.6%38.0%74.1%47.9%2.1%6.7%1.2M-110.2M-429.3K0.3120.32N/AN/A13,8164,288164,384105,260
2007-11-05$14.24$13.7550.9%16.3%38.1%83.0%55.9%1.7%-1.2%1.5M-118.2M-441.4K0.247.83N/AN/A16,8004,056171,616106,656
2007-11-06$14.67$13.7544.0%15.3%37.4%64.8%53.5%1.3%-1.2%2.1M-142.6M-441.7K0.188.43N/AN/A18,7483,396178,992107,192
2007-11-07$14.11$13.7549.6%16.3%39.9%79.4%56.2%2.6%-1.9%1.5M-117.1M-441.6K0.199.31N/AN/A25,9724,916179,624107,572
2007-11-08$13.95$13.7552.1%17.1%38.4%86.2%60.1%2.5%-0.2%1.5M-111.9M-463.4K0.286.70N/AN/A22,7766,444186,676110,044
2007-11-09$13.20$13.7553.5%17.8%42.8%89.7%62.6%1.6%-1.9%1.0M-85.4M-456.7K0.458.81N/AN/A18,3608,204194,656111,172
2007-11-12$13.00$13.7570.1%18.3%42.6%100.0%63.4%2.9%-2.6%1.0M-76.7M-452.6K0.288.83N/AN/A21,9686,160201,828114,028
2007-11-13$13.61$13.7556.2%17.6%46.3%72.7%61.6%5.3%-2.7%1.5M-104.2M-462.1K0.288.07N/AN/A16,5844,672204,588114,016
2007-11-14$13.47$13.7551.2%17.2%46.2%63.0%59.0%5.1%-1.6%1.4M-100.5M-461.7K0.178.89N/AN/A12,7722,228207,504114,844
2007-11-15$13.98$13.7564.4%18.5%48.5%88.8%64.5%6.9%-1.8%1.8M-134.9M-495.5K0.536.94N/AN/A33,92017,904212,208115,304
2007-11-16$13.75$13.7566.9%19.2%47.8%93.8%67.2%8.1%-3.6%-773.8K-117.5M-508.9K0.526.30N/AN/A43,18422,420221,800121,368
2007-11-19$13.25$13.7576.1%21.8%49.5%100.0%76.7%5.7%-7.1%1.7M-112.1M-526.9K0.7110.39N/AN/A49,83635,624210,112106,548
2007-11-20$12.75$13.7553.4%15.3%45.5%60.1%51.1%11.7%0.1%1.7M-82.5M-505.3K0.3311.79N/AN/A103,42034,560230,248122,944
2007-11-21$12.33$12.5056.0%16.1%45.6%64.7%56.0%9.9%-1.0%1.5M-69.9M-507.5K0.4017.28N/AN/A22,5529,012241,656128,352
2007-11-23$12.54$12.5055.4%15.9%45.9%63.8%54.3%11.9%-0.6%1.8M-79.7M-500.3K0.317.33N/AN/A6,5402,040244,348127,368
2007-11-26$12.87$12.5056.9%16.3%46.8%66.2%52.1%11.9%-1.1%2.1M-95.8M-518.7K0.199.58N/AN/A41,9047,996246,116128,028
2007-11-27$13.29$12.5046.4%13.3%48.1%47.8%48.1%10.3%2.9%3.1M-116.7M-532.5K0.1714.97N/AN/A33,4965,648264,700131,396
2007-11-28$13.94$12.5045.3%13.0%51.5%46.0%46.3%8.0%2.2%4.4M-168.5M-592.3K0.2513.15N/AN/A29,2887,392281,256133,076
2007-11-29$13.96$12.5043.0%12.3%50.2%41.9%42.5%9.7%4.9%4.5M-163.9M-581.0K0.2414.45N/AN/A21,2445,012277,692134,412
2007-11-30$14.36$12.5041.3%11.8%50.7%38.9%40.6%8.2%6.1%5.3M-194.9M-576.1K0.449.89N/AN/A13,6886,008279,008135,040