GME Options History — January 2008

In January 2008, GME traded between $12.27 and $15.07. ATM implied volatility averaged 52.2%, placing in the 58.0% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 12.8% (HV 20d: 39.4%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.85.

Notable Days

  • 2008-01-10: Highest Volume — 77,400 contracts
  • 2008-01-04: Largest IV spike — 13.8% change
  • 2008-01-09: Highest IV Rank — 72.0%
  • 2008-01-23: Largest Expected Move — 16.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.21$12.27$15.07$15.07$12.89
Max Pain$12.92$10.00$15.00$10.00$12.50
ATM IV52.2%44.9%60.1%45.9%50.6%
Expected Move14.8%12.9%16.2%13.2%14.5%
HV 20d39.4%31.7%48.5%31.9%48.5%
HV 60d42.1%40.0%44.1%40.0%44.1%
IV Rank58.0%45.2%72.0%47.0%55.2%
IV Percentile91.7%77.8%98.4%82.5%86.9%
Term Structure1.0%-1.4%4.7%1.3%-1.2%
VWIV50.6%45.7%56.4%46.5%49.9%
Skew 25d7.8%4.2%10.7%5.2%7.4%
Skew 10d15.7%8.6%24.9%8.6%14.5%
Call IV 25d47.8%43.7%51.0%43.7%47.1%
Put IV 25d55.7%48.0%61.0%48.9%54.5%
Bid-Ask Spread %10.356.4917.446.4917.44
Gamma HHI0.260.190.390.270.21
Net GEX1.7M711.9K2.7M2.6M1.2M
Net DEX-66.8M-153.9M-1.4M-153.9M-23.3M
Net VEX-440.8K-560.3K-396.6K-442.5K-560.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.145.200.460.46
Total Volume27,420.5718,08877,40016,58012,908
Total OI303,702.667191,844408,468293,084256,352

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-01-02$15.07$10.0045.9%13.2%31.9%47.0%46.5%5.2%1.3%2.6M-153.9M-442.5K0.466.49N/AN/A11,3365,244189,104103,980
2008-01-03$15.03$10.0044.9%12.9%31.7%45.2%45.7%4.2%1.7%2.6M-150.0M-440.2K1.077.19N/AN/A8,7649,364189,948104,980
2008-01-04$14.26$15.0051.1%14.6%37.0%56.1%50.2%5.9%1.3%1.9M-116.6M-431.9K0.919.49N/AN/A10,9249,916190,640107,972
2008-01-07$14.13$15.0054.6%14.5%35.3%62.3%50.0%7.3%1.3%1.5M-105.8M-423.3K0.2614.19N/AN/A34,6808,868191,948113,160
2008-01-08$14.03$15.0053.6%14.5%34.4%60.6%49.4%6.5%1.9%2.3M-110.4M-437.3K0.1414.58N/AN/A36,2245,096208,304115,064
2008-01-09$13.78$13.7560.1%15.2%34.6%72.0%52.3%8.2%0.9%2.6M-104.3M-449.8K0.547.93N/AN/A37,26820,208227,192118,120
2008-01-10$13.07$13.7552.7%15.1%37.5%59.0%51.1%7.2%1.2%1.5M-67.7M-411.5K0.9612.30N/AN/A39,49637,904236,120128,864
2008-01-11$13.03$13.7553.4%15.3%37.2%60.2%50.6%8.5%1.2%2.1M-78.7M-489.4K0.557.27N/AN/A13,2647,276247,388141,864
2008-01-14$13.43$13.7548.7%14.0%38.9%52.0%48.6%7.1%2.9%2.7M-88.0M-425.2K0.4513.37N/AN/A12,3325,584248,180129,860
2008-01-15$12.70$13.7548.8%14.0%42.6%52.0%47.2%6.9%4.7%1.9M-74.4M-433.8K0.169.35N/AN/A38,9726,092247,720132,892
2008-01-16$12.83$12.5050.6%14.5%43.0%55.2%48.8%9.9%4.7%2.0M-72.5M-424.2K1.717.49N/AN/A7,57612,920274,096130,700
2008-01-17$12.43$12.5053.4%15.3%38.9%60.3%50.7%9.2%1.7%1.4M-53.3M-410.2K0.3213.88N/AN/A23,0687,312273,904133,664
2008-01-18$12.33$12.5052.0%14.9%38.7%57.7%51.3%8.7%3.0%1.6M-43.7M-399.8K0.817.19N/AN/A9,4447,632275,032133,436
2008-01-22$12.62$12.5055.6%15.9%39.2%64.1%56.4%10.7%-1.4%1.1M-22.9M-396.6K0.838.00N/AN/A20,74017,196129,86461,980
2008-01-23$13.01$12.5056.4%16.2%41.8%65.4%55.3%10.5%-1.2%1.3M-35.9M-446.9K0.5813.57N/AN/A8,1364,740137,36069,980
2008-01-24$13.11$12.5053.3%15.3%39.8%60.0%50.1%9.4%-0.6%1.4M-38.5M-451.2K0.488.43N/AN/A5,4802,608141,17671,296
2008-01-25$12.40$12.5053.5%15.3%43.0%60.3%52.7%7.7%-0.4%1.0M-17.7M-416.0K0.349.02N/AN/A13,4884,556142,09672,716
2008-01-28$12.64$12.5053.6%15.4%44.4%60.5%52.5%9.7%-1.2%1.2M-25.7M-433.8K1.128.82N/AN/A4,2764,768149,18074,056
2008-01-29$12.42$12.5052.8%15.1%44.2%59.2%53.6%7.9%-1.4%1.1M-18.1M-427.3K5.2013.53N/AN/A5,60029,092150,02476,984
2008-01-30$12.27$12.5050.0%14.3%44.1%54.2%50.5%6.9%0.5%711.9K-1.4M-505.3K0.647.82N/AN/A9,4646,016151,95698,604
2008-01-31$12.89$12.5050.6%14.5%48.5%55.2%49.9%7.4%-1.2%1.2M-23.3M-560.3K0.4617.44N/AN/A8,8644,044154,432101,920