GME Options History — February 2008

In February 2008, GME traded between $10.59 and $13.13. ATM implied volatility averaged 49.8%, placing in the 53.8% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 4.5% (HV 20d: 45.3%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.95.

Notable Days

  • 2008-02-06: Highest Volume — 57,684 contracts
  • 2008-02-04: Largest IV spike — 17.9% change
  • 2008-02-06: Highest IV Rank — 73.0%
  • 2008-02-06: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.94$10.59$13.13$13.13$10.59
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV49.8%42.4%60.7%45.3%46.8%
Expected Move14.0%12.2%15.6%13.0%13.4%
HV 20d45.3%40.1%49.4%49.4%43.4%
HV 60d42.1%39.6%44.3%44.2%42.0%
IV Rank53.8%40.8%73.0%46.0%48.5%
IV Percentile79.7%51.6%98.4%73.8%74.6%
Term Structure4.1%0.7%8.9%0.7%8.2%
VWIV48.2%41.7%53.5%47.5%48.0%
Skew 25d5.7%-2.7%9.9%5.9%-2.7%
Skew 10d11.2%-3.2%17.6%12.3%-3.2%
Call IV 25d46.3%40.3%52.4%44.9%49.6%
Put IV 25d52.1%43.8%59.2%50.8%46.9%
Bid-Ask Spread %11.826.8618.2111.399.49
Gamma HHI0.260.190.460.220.46
Net GEX326.5K-878.2K1.4M1.4M-878.2K
Net DEX4.8M-32.3M51.5M-32.3M51.5M
Net VEX-513.6K-573.9K-463.9K-573.9K-463.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.254.090.640.87
Total Volume19,8835,99257,6849,26428,080
Total OI268,796.8237,088297,200259,316293,032

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-02-01$13.13$12.5045.3%13.0%49.4%46.0%47.5%5.9%0.7%1.4M-32.3M-573.9K0.6411.39N/AN/A5,6563,608156,988102,328
2008-02-04$13.00$12.5053.4%14.9%46.4%60.2%48.7%9.9%2.0%1.4M-30.7M-568.2K0.6512.96N/AN/A6,8004,400159,068103,332
2008-02-05$12.34$12.5054.4%15.1%49.4%61.9%52.5%8.2%3.1%824.0K-5.1M-535.3K0.7414.53N/AN/A6,9445,152159,920105,260
2008-02-06$12.32$12.5060.7%15.6%49.4%73.0%53.5%6.8%2.1%760.0K-3.8M-539.5K0.3118.21N/AN/A44,08013,604160,824107,456
2008-02-07$12.29$12.5054.9%15.1%49.2%62.9%52.3%6.7%2.2%1.1M-4.5M-542.6K1.2813.33N/AN/A7,2569,324177,160108,296
2008-02-08$12.56$12.5051.3%14.6%46.8%56.6%49.4%5.7%3.0%801.2K-10.6M-556.5K0.4216.92N/AN/A15,8446,692163,820111,376
2008-02-11$12.56$12.5057.5%14.8%46.8%67.4%50.0%6.7%2.5%770.3K-8.4M-557.6K0.4612.97N/AN/A4,9722,272170,916112,320
2008-02-12$12.28$12.5054.5%14.4%45.8%62.0%50.0%6.6%2.7%419.9K2.6M-537.1K0.5213.48N/AN/A4,7362,476171,980112,356
2008-02-13$11.83$12.5051.6%15.3%43.5%57.1%50.8%8.6%2.8%85.7K19.6M-492.9K1.1714.53N/AN/A9,26810,828172,208111,920
2008-02-14$11.44$12.5050.4%14.5%44.4%55.0%49.8%7.6%4.8%-253.6K21.7M-471.2K1.0613.02N/AN/A16,94017,924173,580111,828
2008-02-15$11.91$12.5045.6%13.1%46.1%46.5%47.7%6.1%5.0%240.6K10.8M-499.9K0.5610.37N/AN/A17,9169,992178,800118,400
2008-02-19$11.71$12.5052.0%14.9%46.4%57.7%50.6%6.0%3.7%197.4K4.1M-493.9K1.3812.04N/AN/A8,54411,816139,45697,632
2008-02-20$11.44$12.5049.2%14.1%45.9%52.8%48.5%7.4%3.7%-45.5K14.5M-474.7K0.667.66N/AN/A8,9325,908142,868103,416
2008-02-21$11.50$12.5047.7%13.7%44.2%50.2%47.1%5.5%4.4%26.4K11.0M-492.2K0.976.89N/AN/A5,6845,532146,880105,476
2008-02-22$11.57$12.5045.5%13.0%44.1%46.2%44.6%5.2%5.8%-23.4K12.0M-496.9K0.789.79N/AN/A5,5164,320148,096107,352
2008-02-25$11.52$12.5045.4%13.0%40.1%46.1%44.7%5.5%5.4%-39.2K12.5M-488.6K0.7913.39N/AN/A4,3483,448149,608108,008
2008-02-26$11.78$12.5042.4%12.2%40.4%40.8%41.7%3.2%5.4%46.5K6.1M-502.9K1.438.56N/AN/A8,04011,524151,116109,416
2008-02-27$11.85$12.5042.6%12.2%40.2%41.2%41.7%3.6%5.5%-4.4K4.4M-511.4K0.256.86N/AN/A4,7761,216150,160111,692
2008-02-28$11.27$12.5044.1%12.6%43.7%43.8%44.3%2.3%8.9%-255.0K21.2M-472.9K4.0910.01N/AN/A10,48042,812150,012111,580
2008-02-29$10.59$12.5046.8%13.4%43.4%48.5%48.0%-2.7%8.2%-878.2K51.5M-463.9K0.879.49N/AN/A15,02013,060153,252139,780