GME Options History — May 2008

In May 2008, GME traded between $12.21 and $14.10. ATM implied volatility averaged 41.0%, placing in the 37.9% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 6.0% (HV 20d: 35.0%). Max pain ranged from $11.25 to $13.75. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2008-05-22: Highest Volume — 164,040 contracts
  • 2008-05-15: Largest IV spike — 31.2% change
  • 2008-05-20: Highest IV Rank — 53.2%
  • 2008-05-20: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.05$12.21$14.10$14.10$12.40
Max Pain$12.68$11.25$13.75$13.75$12.50
ATM IV41.0%34.4%49.7%39.4%34.4%
Expected Move12.7%9.9%14.2%11.3%9.9%
HV 20d35.0%24.5%40.2%24.5%39.0%
HV 60d47.6%45.6%49.0%46.7%45.6%
IV Rank37.9%26.2%53.2%35.0%26.2%
IV Percentile32.3%9.5%76.2%23.8%9.5%
Term Structure0.1%-4.8%9.4%6.9%4.5%
VWIV44.4%37.0%50.0%39.1%38.5%
Skew 25d3.5%-0.4%5.9%4.5%3.1%
Skew 10d6.1%-0.4%12.1%8.2%7.9%
Call IV 25d43.1%35.5%48.3%37.7%35.5%
Put IV 25d46.6%38.6%51.5%42.2%38.6%
Bid-Ask Spread %12.556.9020.347.739.71
Gamma HHI0.200.160.280.240.21
Net GEX703.7K-38.5K1.3M978.4K466.2K
Net DEX-31.5M-61.4M-1.0M-58.4M-22.6M
Net VEX-617.7K-758.6K-381.4K-603.9K-721.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.173.260.851.35
Total Volume32,221.3337,204164,0407,36453,524
Total OI285,355.048202,520377,304239,204377,304

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-05-01$14.10$13.7539.4%11.3%24.5%35.0%39.1%4.5%6.9%978.4K-58.4M-603.9K0.857.73N/AN/A3,9723,392134,488104,716
2008-05-02$13.50$13.7537.1%10.6%29.0%30.9%37.7%2.8%9.4%565.8K-35.5M-585.7K1.0010.32N/AN/A13,16813,152135,080106,420
2008-05-05$13.19$13.7540.8%13.7%29.9%37.5%50.0%5.1%-2.0%527.5K-25.4M-579.3K1.7912.37N/AN/A5,4049,652140,136110,576
2008-05-06$13.47$13.7539.9%13.5%30.9%35.9%46.5%5.9%-1.0%279.0K-31.4M-595.3K0.4916.74N/AN/A8,9604,372136,008115,868
2008-05-07$13.04$13.7544.0%14.1%31.1%43.1%47.4%5.2%-1.9%-8.9K-16.2M-573.8K0.4314.61N/AN/A7,2883,144137,464115,852
2008-05-08$12.77$13.7541.3%14.1%30.0%38.4%48.8%4.3%-1.6%-38.5K-8.2M-565.2K0.6915.42N/AN/A10,6807,400141,284116,672
2008-05-09$12.81$12.5039.1%14.1%29.9%34.5%48.0%4.7%-1.3%7.0K-10.1M-568.9K0.1715.81N/AN/A13,5922,332143,104119,872
2008-05-12$13.53$12.5038.2%13.7%36.2%32.9%47.1%5.5%-2.8%760.2K-34.7M-381.4K0.519.51N/AN/A22,70011,624118,58083,940
2008-05-13$13.65$12.5037.3%13.6%35.7%31.3%47.4%4.5%-2.7%1.0M-54.0M-621.7K0.5212.48N/AN/A6,3323,308158,468121,328
2008-05-14$13.74$12.5036.4%13.4%35.4%29.6%47.1%4.2%-2.2%1.1M-56.6M-612.6K0.7711.39N/AN/A7,7085,968157,372122,912
2008-05-15$13.86$12.5047.7%13.7%35.5%49.7%47.0%5.6%-3.3%1.1M-61.4M-619.1K0.3914.44N/AN/A5,1882,016157,484125,168
2008-05-16$13.47$13.7544.1%12.7%36.7%43.4%44.6%4.0%-0.8%841.1K-37.6M-598.1K0.3016.17N/AN/A27,5648,296158,340125,092
2008-05-19$13.05$12.5049.3%14.1%37.7%52.6%48.3%1.9%-4.8%958.6K-32.8M-597.9K0.499.87N/AN/A42,69221,004150,112111,064
2008-05-20$12.89$12.5049.7%14.2%37.7%53.2%49.0%2.8%-4.2%891.7K-29.5M-684.8K0.4814.94N/AN/A10,0564,868163,956124,712
2008-05-21$12.71$12.5049.4%14.2%37.7%52.7%49.1%2.7%-3.2%685.6K-22.7M-675.9K0.4811.81N/AN/A16,8528,132163,240127,352
2008-05-22$12.21$12.5040.2%11.5%39.1%36.4%41.3%-0.4%2.0%275.6K-1.0M-625.3K0.5313.10N/AN/A107,52456,516168,884129,760
2008-05-23$12.34$11.2539.2%11.2%39.5%34.6%39.7%1.4%2.0%1.2M-31.9M-758.6K0.5510.77N/AN/A17,0809,352213,464144,520
2008-05-27$12.38$11.2539.6%11.3%39.3%35.3%40.4%2.1%2.2%991.0K-27.1M-616.6K0.7320.34N/AN/A33,12024,120192,712132,764
2008-05-28$12.57$11.2538.9%11.2%40.0%34.2%38.9%2.0%2.5%1.3M-40.2M-710.4K0.419.06N/AN/A8,2723,372207,880144,856
2008-05-29$12.30$11.2535.9%10.3%40.2%28.7%37.0%2.1%4.4%850.9K-23.8M-676.4K3.266.90N/AN/A12,44440,508208,012145,640
2008-05-30$12.40$12.5034.4%9.9%39.0%26.2%38.5%3.1%4.5%466.2K-22.6M-721.3K1.359.71N/AN/A22,81630,708211,268166,036