GME Options History — December 2007

In December 2007, GME traded between $14.30 and $15.82. ATM implied volatility averaged 43.5%, placing in the 42.8% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 3.5% (HV 20d: 39.9%). Max pain ranged from $8.75 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.42.

Notable Days

  • 2007-12-06: Highest Volume — 60,124 contracts
  • 2007-12-05: Largest IV drop — 17.1% change
  • 2007-12-04: Highest IV Rank — 49.7%
  • 2007-12-04: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.03$14.30$15.82$14.40$15.53
Max Pain$10.19$8.75$12.50$12.50$10.00
ATM IV43.5%38.9%47.4%43.0%44.9%
Expected Move12.6%11.2%13.6%12.3%12.9%
HV 20d39.9%29.6%50.0%50.0%29.6%
HV 60d41.1%40.2%41.9%41.2%40.2%
IV Rank42.8%34.8%49.7%41.8%45.3%
IV Percentile72.8%57.3%87.5%71.4%78.4%
Term Structure4.3%1.1%7.1%4.0%2.1%
VWIV44.9%41.2%47.7%45.8%44.6%
Skew 25d5.0%2.6%9.4%6.9%5.0%
Skew 10d10.0%6.5%18.4%13.3%11.6%
Call IV 25d42.3%38.0%45.7%42.8%42.1%
Put IV 25d47.2%42.1%50.4%49.7%47.1%
Bid-Ask Spread %6.914.2316.458.824.23
Gamma HHI0.400.240.590.360.28
Net GEX5.0M2.7M7.7M5.1M2.7M
Net DEX-202.0M-256.2M-171.2M-193.6M-171.2M
Net VEX-499.5K-564.5K-449.6K-564.5K-452.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.110.930.110.53
Total Volume26,1969,40860,12427,1209,408
Total OI381,721.4281,292428,696413,800290,732

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$14.40$12.5043.0%12.3%50.0%41.8%45.8%6.9%4.0%5.1M-193.6M-564.5K0.118.82N/AN/A24,4682,652276,856136,944
2007-12-04$14.30$12.5047.4%13.6%50.0%49.7%47.4%9.1%1.1%4.8M-178.8M-550.9K0.559.81N/AN/A8,7244,772270,388136,556
2007-12-05$14.47$12.5039.3%11.3%49.0%35.4%42.7%9.4%5.5%5.1M-187.3M-530.8K0.2716.45N/AN/A8,8082,404268,056136,108
2007-12-06$14.91$12.5038.9%11.2%47.9%34.8%42.3%5.7%5.2%5.7M-218.5M-525.8K0.326.69N/AN/A45,58014,544265,800135,956
2007-12-07$15.20$8.7543.0%13.1%48.0%41.9%45.9%4.0%4.6%5.8M-239.2M-535.2K0.197.44N/AN/A42,9447,956267,868138,508
2007-12-10$15.00$8.7544.1%13.0%43.0%43.8%45.0%4.2%4.5%5.9M-221.3M-509.8K0.285.11N/AN/A23,6886,748265,744139,668
2007-12-11$14.53$8.7544.8%13.2%44.5%45.0%46.8%4.6%4.5%4.7M-184.1M-501.2K0.396.50N/AN/A19,9007,848260,224141,540
2007-12-12$14.65$8.7541.3%12.9%42.0%38.9%46.0%4.5%5.1%5.7M-185.5M-529.6K0.755.07N/AN/A18,10813,528263,600141,056
2007-12-13$14.39$8.7546.5%13.3%42.4%48.1%47.7%3.8%4.0%4.7M-172.2M-505.2K0.434.46N/AN/A19,7808,568272,648151,016
2007-12-14$14.55$10.0046.5%13.3%40.6%48.1%47.3%4.0%4.4%5.5M-188.4M-501.8K0.934.59N/AN/A24,91623,132273,832148,216
2007-12-17$14.54$10.0046.5%13.3%40.0%48.0%47.7%4.8%4.2%5.7M-187.6M-505.0K0.597.73N/AN/A16,9729,964275,836147,976
2007-12-18$15.24$10.0043.1%12.4%40.0%42.2%43.9%4.6%6.5%7.7M-247.4M-494.4K0.527.91N/AN/A32,24416,644274,252147,160
2007-12-19$15.24$10.0044.7%12.8%36.5%44.9%44.9%4.9%5.5%7.1M-240.5M-492.7K0.485.18N/AN/A11,4845,480271,696157,000
2007-12-20$15.53$10.0043.9%12.6%32.9%43.5%45.1%4.5%5.8%6.3M-256.2M-492.8K0.417.28N/AN/A14,0285,744268,296153,304
2007-12-21$15.36$10.0042.8%12.3%33.7%41.5%42.8%3.1%7.1%6.6M-254.6M-472.3K0.236.48N/AN/A17,8084,180266,124154,104
2007-12-24$15.82$10.0040.0%11.5%34.0%36.6%41.2%2.6%2.7%2.7M-185.6M-461.7K0.325.89N/AN/A10,7723,424184,42496,868
2007-12-26$15.72$10.0041.2%11.8%33.5%38.7%44.0%5.0%2.6%2.7M-180.3M-455.0K0.395.59N/AN/A9,6683,764184,82898,184
2007-12-27$15.55$10.0044.3%12.7%30.6%44.3%43.8%4.7%3.1%2.7M-173.4M-458.5K0.307.50N/AN/A9,0722,704186,500100,152
2007-12-28$15.57$10.0043.8%12.6%30.6%43.4%42.6%4.5%3.4%2.7M-174.6M-449.6K0.525.40N/AN/A7,5723,920185,232101,176
2007-12-31$15.53$10.0044.9%12.9%29.6%45.3%44.6%5.0%2.1%2.7M-171.2M-452.8K0.534.23N/AN/A6,1483,260187,260103,472