GME Options History — March 2008

In March 2008, GME traded between $10.67 and $13.50. ATM implied volatility averaged 52.9%, placing in the 59.3% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded below realized volatility by 1.7% (HV 20d: 54.6%). Max pain ranged from $11.25 to $12.50. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.96.

Notable Days

  • 2008-03-17: Highest Volume — 64,376 contracts
  • 2008-03-18: Largest IV drop — 25.2% change
  • 2008-03-17: Highest IV Rank — 80.1%
  • 2008-03-17: Largest Expected Move — 18.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.02$10.67$13.50$10.69$12.93
Max Pain$11.63$11.25$12.50$11.25$12.50
ATM IV52.9%45.1%64.8%48.1%50.5%
Expected Move14.9%12.9%18.6%13.8%14.5%
HV 20d54.6%42.7%65.3%42.7%59.0%
HV 60d47.0%42.1%52.2%42.1%51.9%
IV Rank59.3%45.7%80.1%50.9%55.0%
IV Percentile82.7%60.7%98.8%78.2%77.8%
Term Structure-0.8%-9.1%4.0%2.8%1.4%
VWIV52.5%47.4%62.6%48.9%47.4%
Skew 25d6.7%0.2%11.2%1.3%6.4%
Skew 10d12.8%2.7%21.8%4.6%11.9%
Call IV 25d49.4%43.4%58.5%48.9%46.1%
Put IV 25d56.0%50.1%68.2%50.2%52.5%
Bid-Ask Spread %12.067.5319.107.5410.37
Gamma HHI0.230.170.460.380.22
Net GEX304.5K-918.4K2.6M-918.4K345.1K
Net DEX-11.3M-58.5M48.5M48.5M-35.5M
Net VEX-580.5K-660.5K-484.4K-484.4K-624.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.305.125.120.36
Total Volume23,012.65,80064,37643,8566,792
Total OI319,285290,008358,192307,440308,672

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$10.69$11.2548.1%13.8%42.7%50.9%48.9%1.3%2.8%-918.4K48.5M-484.4K5.127.54N/AN/A7,16436,692161,524145,916
2008-03-04$10.90$11.2552.9%15.2%44.0%59.3%54.1%0.2%-2.1%-850.6K42.2M-516.3K0.7514.49N/AN/A18,32413,828165,388150,440
2008-03-05$11.31$11.2553.0%15.2%43.7%59.6%53.8%2.0%-1.7%-182.2K13.2M-543.3K0.4616.74N/AN/A16,5127,676175,492136,760
2008-03-06$10.84$11.2556.1%16.1%45.7%64.9%57.0%2.5%-3.9%-325.5K27.1M-509.9K0.4914.02N/AN/A4,4562,204177,204134,064
2008-03-07$10.67$11.2557.7%15.6%45.8%67.8%56.0%8.1%-2.9%-332.6K32.3M-496.9K0.877.53N/AN/A6,3525,512178,220133,772
2008-03-10$10.83$11.2562.8%16.2%45.3%76.7%56.4%8.8%-3.9%-247.9K25.3M-506.1K1.1610.22N/AN/A4,0484,696181,164135,272
2008-03-11$11.72$11.2560.8%16.1%54.7%73.1%54.7%11.2%-4.9%134.5K-3.4M-573.9K0.309.83N/AN/A17,4845,252183,172137,768
2008-03-12$11.56$11.2561.3%15.8%54.3%74.0%55.6%8.6%-3.9%133.7K-274.5K-565.8K0.797.64N/AN/A4,8003,772184,400138,544
2008-03-13$11.79$11.2555.6%15.9%53.3%64.0%54.0%9.7%-3.3%289.2K-7.8M-582.2K0.697.71N/AN/A5,2123,588184,200139,580
2008-03-14$12.26$11.2555.4%15.9%53.5%63.8%58.2%10.7%-2.8%802.4K-32.5M-615.0K0.5811.28N/AN/A16,8089,704185,876140,160
2008-03-17$11.75$11.2564.8%18.6%54.1%80.1%62.6%9.7%-9.1%452.4K-10.5M-584.5K1.3611.32N/AN/A27,32437,052189,820140,488
2008-03-18$12.14$11.2548.4%13.9%55.0%51.5%51.1%8.8%1.6%958.7K-21.3M-589.4K0.5810.79N/AN/A37,42821,808194,984154,728
2008-03-19$11.74$11.2552.6%15.1%55.6%58.8%50.8%7.3%0.3%156.5K-3.7M-575.0K0.4212.37N/AN/A10,4764,384198,096160,096
2008-03-20$12.54$11.2546.3%13.3%60.1%47.6%48.6%7.2%4.0%2.6M-44.4M-608.4K1.5710.38N/AN/A20,33231,856196,360160,224
2008-03-24$13.50$12.5046.2%13.3%64.9%47.6%47.8%6.9%2.0%715.2K-55.7M-643.7K0.8714.71N/AN/A21,26418,408154,764135,244
2008-03-25$13.46$12.5045.1%12.9%64.9%45.7%48.9%5.9%2.4%565.5K-54.3M-660.5K1.3014.39N/AN/A3,5004,560160,616146,164
2008-03-26$13.24$12.5045.2%13.0%65.2%45.8%47.4%7.4%3.0%568.0K-48.6M-645.9K0.6417.72N/AN/A3,5442,256160,892143,016
2008-03-27$13.50$12.5045.9%13.2%65.3%47.0%47.5%6.1%2.5%809.7K-58.5M-649.3K0.5019.10N/AN/A5,8562,936162,452142,904
2008-03-28$12.97$12.5049.1%14.1%64.2%52.6%48.3%4.5%2.0%388.8K-38.4M-635.7K0.3713.16N/AN/A4,6561,736163,032144,232
2008-03-31$12.93$12.5050.5%14.5%59.0%55.0%47.4%6.4%1.4%345.1K-35.5M-624.8K0.3610.37N/AN/A5,0121,780164,340144,332