GME Options History — June 2008

In June 2008, GME traded between $10.10 and $12.29. ATM implied volatility averaged 44.0%, placing in the 37.0% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 0.6% (HV 20d: 43.4%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.72.

Notable Days

  • 2008-06-09: Highest Volume — 102,676 contracts
  • 2008-06-09: Largest IV spike — 23.3% change
  • 2008-06-11: Highest IV Rank — 52.8%
  • 2008-06-30: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.39$10.10$12.29$12.29$10.10
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV44.0%35.9%49.7%37.6%49.7%
Expected Move12.6%10.3%14.3%10.8%14.3%
HV 20d43.4%32.5%55.8%36.5%55.8%
HV 60d42.3%38.7%44.9%44.8%41.6%
IV Rank37.0%28.7%52.8%31.8%42.3%
IV Percentile46.8%9.1%76.2%12.7%76.2%
Term Structure1.7%-1.0%4.2%2.8%-1.0%
VWIV44.2%37.1%49.1%40.7%49.1%
Skew 25d2.4%-1.4%5.3%2.8%2.1%
Skew 10d5.1%-1.8%9.3%9.3%1.5%
Call IV 25d43.6%36.5%49.1%38.6%49.1%
Put IV 25d46.0%38.1%51.1%41.4%51.1%
Bid-Ask Spread %9.095.3715.6610.835.41
Gamma HHI0.220.170.280.240.23
Net GEX-47.5K-619.6K895.5K-2.4K-466.9K
Net DEX20.5M-15.3M63.1M-15.3M46.3M
Net VEX-595.7K-712.9K-443.3K-712.9K-443.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.102.491.170.68
Total Volume29,800.9527,272102,67656,72436,964
Total OI384,377.333308,436430,056418,044323,420

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$12.29$12.5037.6%10.8%36.5%31.8%40.7%2.8%2.8%-2.4K-15.3M-712.9K1.1710.83N/AN/A26,16030,564230,980187,064
2008-06-03$12.11$12.5036.7%10.5%36.1%30.3%38.8%1.7%3.4%-361.2K-2.1M-703.9K1.598.90N/AN/A2,8284,484231,892186,756
2008-06-04$11.85$12.5039.1%11.2%35.2%34.5%39.2%2.9%3.2%-498.4K13.0M-645.9K0.8210.73N/AN/A4,5803,744215,588168,972
2008-06-05$11.89$12.5035.9%10.3%34.0%28.7%37.1%1.7%2.9%-416.9K11.2M-637.9K0.7815.66N/AN/A7,9566,204215,512168,224
2008-06-06$11.25$12.5038.4%12.1%38.1%33.2%41.5%3.7%4.2%-619.6K42.3M-610.3K0.6113.05N/AN/A7,6884,700219,648171,144
2008-06-09$11.46$12.5047.3%13.0%39.0%49.1%45.6%0.4%0.9%-394.8K28.6M-628.9K0.1011.09N/AN/A93,3889,288223,512171,184
2008-06-10$11.16$12.5048.1%13.3%32.5%50.3%46.9%-1.4%-0.5%169.6K36.6M-608.9K0.176.50N/AN/A29,6325,020245,300170,940
2008-06-11$10.63$12.5049.5%13.6%34.5%52.8%47.6%0.4%0.1%-218.4K60.4M-552.5K0.378.89N/AN/A32,98012,356253,772169,664
2008-06-12$10.73$12.5046.4%13.3%34.7%47.3%46.4%1.5%1.5%-178.2K63.1M-553.8K0.7312.51N/AN/A15,14010,988254,844175,212
2008-06-13$11.13$12.5045.4%13.0%38.1%36.4%45.7%1.9%1.7%-176.0K40.9M-587.0K0.545.73N/AN/A38,45620,884250,236172,376
2008-06-16$11.98$12.5045.2%13.0%48.0%36.0%46.1%2.7%0.9%765.1K-7.8M-664.3K0.466.37N/AN/A42,24419,468247,884179,868
2008-06-17$11.71$12.5045.9%13.1%47.5%36.8%45.5%2.3%2.5%133.7K9.0M-609.4K0.3714.13N/AN/A10,4083,820246,080171,268
2008-06-18$11.66$12.5045.2%13.0%47.4%35.5%43.4%4.4%3.3%220.8K12.8M-603.4K0.3610.01N/AN/A17,3846,188247,152167,132
2008-06-19$11.98$12.5043.6%12.5%48.6%32.1%43.3%4.6%2.9%895.5K-7.8M-630.4K0.1010.58N/AN/A26,0042,728252,048168,484
2008-06-20$11.36$12.5045.8%13.1%50.3%36.6%45.7%3.1%3.1%-271.6K19.7M-581.9K0.809.90N/AN/A5,6964,572254,176167,256
2008-06-23$11.44$12.5044.7%12.8%50.2%34.2%43.4%3.3%1.5%184.1K8.6M-571.0K0.185.86N/AN/A10,0921,772181,452126,984
2008-06-24$11.35$12.5044.8%12.9%50.1%31.9%44.2%4.0%0.8%242.4K9.7M-568.2K0.506.24N/AN/A4,8402,432186,404126,576
2008-06-25$11.51$12.5043.7%12.5%50.0%29.3%42.9%5.3%1.7%355.1K3.5M-574.0K0.585.80N/AN/A5,4683,180186,928125,424
2008-06-26$10.88$12.5045.7%13.1%52.9%33.8%47.1%2.8%0.1%-107.7K25.4M-520.0K2.495.37N/AN/A2,1845,436187,908127,376
2008-06-27$10.71$12.5045.9%13.1%52.7%34.1%46.9%0.8%-0.7%-250.8K33.0M-500.6K1.817.40N/AN/A17,03230,868187,908127,376
2008-06-30$10.10$12.5049.7%14.3%55.8%42.3%49.1%2.1%-1.0%-466.9K46.3M-443.3K0.685.41N/AN/A21,96015,004195,412128,008