GME Options History — August 2008

In August 2008, GME traded between $9.86 and $11.44. ATM implied volatility averaged 47.9%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded below realized volatility by 2.3% (HV 20d: 50.2%). Max pain ranged from $10.00 to $11.25. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.50.

Notable Days

  • 2008-08-21: Highest Volume — 72,112 contracts
  • 2008-08-21: Largest IV drop — 18.1% change
  • 2008-08-20: Highest IV Rank — 50.2%
  • 2008-08-07: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.84$9.86$11.44$9.96$10.97
Max Pain$11.19$10.00$11.25$10.00$11.25
ATM IV47.9%39.0%55.4%48.3%39.6%
Expected Move14.5%11.2%16.6%13.9%11.3%
HV 20d50.2%42.6%55.8%42.8%46.9%
HV 60d48.9%45.3%50.2%45.4%49.4%
IV Rank32.3%10.9%50.2%33.3%12.3%
IV Percentile56.4%8.3%90.1%63.1%12.3%
Term Structure-1.0%-4.6%8.4%8.4%3.4%
VWIV50.6%39.0%56.8%48.7%39.8%
Skew 25d5.9%3.5%9.0%3.9%3.5%
Skew 10d12.1%7.7%19.0%7.7%9.0%
Call IV 25d48.7%38.5%55.3%48.7%38.9%
Put IV 25d54.6%42.4%60.8%52.5%42.4%
Bid-Ask Spread %12.656.8920.718.407.32
Gamma HHI0.250.140.340.220.31
Net GEX614.8K-83.1K1.6M-53.6K800.1K
Net DEX-5.3M-24.0M21.1M18.4M-9.0M
Net VEX-471.2K-560.0K-373.0K-387.7K-523.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.071.220.270.65
Total Volume17,017.9053,97672,1123,9768,408
Total OI272,280.19234,520319,644234,520319,644

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$9.96$10.0048.3%13.9%42.8%33.3%48.7%3.9%8.4%-53.6K18.4M-387.7K0.278.40N/AN/A3,132844126,900107,620
2008-08-04$9.86$11.2551.5%16.4%42.6%41.0%56.4%5.3%-3.4%-83.1K21.1M-373.0K1.1215.97N/AN/A6,6607,456127,856107,488
2008-08-05$10.72$11.2548.3%15.6%50.9%33.2%55.3%7.4%-3.6%344.1K-1.8M-427.0K0.2914.08N/AN/A9,2402,672129,800108,256
2008-08-06$10.70$11.2545.8%15.5%49.2%27.3%53.0%7.1%-3.4%333.2K-506.0K-421.6K0.2014.59N/AN/A3,908780129,840108,612
2008-08-07$10.36$11.2550.8%16.6%50.6%39.4%55.6%6.1%-4.6%189.3K8.0M-401.9K1.2211.20N/AN/A2,5803,144130,548108,676
2008-08-08$11.05$11.2544.2%15.6%55.2%23.5%54.9%6.2%-3.6%567.7K-10.8M-440.8K0.7413.32N/AN/A5,3003,948131,932108,916
2008-08-11$11.44$11.2550.3%16.1%55.8%38.2%55.3%6.9%-4.4%731.0K-24.0M-457.0K0.4416.26N/AN/A9,9924,420133,240109,896
2008-08-12$11.29$11.2549.5%15.9%55.8%36.3%55.1%7.4%-3.3%597.1K-18.2M-448.8K0.4613.66N/AN/A7,2963,368133,008110,828
2008-08-13$11.05$11.2550.0%15.9%55.2%37.4%53.3%7.3%-4.1%762.0K-12.2M-434.8K0.0914.28N/AN/A29,8682,696137,236110,800
2008-08-14$11.11$11.2555.2%15.8%55.0%49.8%53.6%7.2%-3.6%1.6M-20.6M-465.0K0.0716.97N/AN/A6,840452164,460112,284
2008-08-15$10.80$11.2554.2%15.5%53.6%47.4%55.5%6.2%-2.8%1.3M-8.9M-442.9K0.4520.71N/AN/A23,21610,508169,104112,072
2008-08-18$11.04$11.2554.9%15.7%51.1%49.2%56.8%7.3%-3.9%735.6K-10.7M-480.5K0.9212.76N/AN/A11,14410,220151,36898,608
2008-08-19$11.01$11.2554.7%15.7%51.1%48.7%56.3%9.0%-2.4%642.6K-7.1M-497.8K0.7011.14N/AN/A30,62821,480153,684106,360
2008-08-20$10.88$11.2555.4%15.9%50.8%50.2%56.3%7.3%-3.4%553.8K-4.9M-548.1K1.0815.13N/AN/A11,57612,540172,568124,020
2008-08-21$10.87$11.2545.3%13.0%48.9%26.2%46.5%4.8%0.1%505.0K-285.4K-499.4K0.516.89N/AN/A47,67224,440168,696122,072
2008-08-22$11.04$11.2542.9%12.3%48.2%20.4%43.1%4.2%1.3%884.7K-13.5M-560.0K0.216.89N/AN/A7,5641,584186,780129,904
2008-08-25$10.81$11.2544.0%12.6%48.0%23.0%44.0%3.6%1.8%608.2K-4.6M-530.9K0.249.42N/AN/A5,2721,252185,644129,980
2008-08-26$10.78$11.2542.1%12.1%47.5%18.3%42.1%4.8%3.1%557.8K-1.1M-522.7K0.2711.03N/AN/A3,9201,076186,928128,760
2008-08-27$10.78$11.2539.9%11.4%47.2%13.2%41.7%4.2%4.2%506.7K-541.5K-506.9K0.2116.61N/AN/A3,744804187,016129,040
2008-08-28$11.02$11.2539.0%11.2%47.4%10.9%39.0%5.1%4.0%821.7K-9.4M-524.9K0.299.05N/AN/A4,4441,288188,200129,240
2008-08-29$10.97$11.2539.6%11.3%46.9%12.3%39.8%3.5%3.4%800.1K-9.0M-523.9K0.657.32N/AN/A5,0843,324189,604130,040