GME Options History — September 2008

In September 2008, GME traded between $8.55 and $11.35. ATM implied volatility averaged 54.1%, placing in the 46.4% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded above realized volatility by 14.7% (HV 20d: 39.5%). Max pain ranged from $10.00 to $11.25. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.87.

Notable Days

  • 2008-09-24: Highest Volume — 38,708 contracts
  • 2008-09-29: Largest IV spike — 27.4% change
  • 2008-09-29: Highest IV Rank — 100.0%
  • 2008-09-29: Largest Expected Move — 23.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.89$8.55$11.35$11.35$8.55
Max Pain$11.13$10.00$11.25$11.25$10.00
ATM IV54.1%42.0%80.8%42.6%66.2%
Expected Move15.6%12.0%23.2%12.2%19.0%
HV 20d39.5%27.6%49.3%47.6%46.5%
HV 60d46.8%44.5%49.0%48.7%47.0%
IV Rank46.4%18.2%100.0%19.7%68.5%
IV Percentile71.0%22.6%100.0%25.8%98.4%
Term Structure-1.1%-12.0%2.7%2.1%-2.0%
VWIV53.9%42.1%78.2%43.4%66.7%
Skew 25d5.3%3.6%11.6%4.6%4.4%
Skew 10d8.8%-9.0%18.9%7.6%-9.0%
Call IV 25d53.4%41.9%78.7%42.3%66.8%
Put IV 25d58.7%46.5%85.0%47.0%71.2%
Bid-Ask Spread %12.846.9719.138.2013.64
Gamma HHI0.280.190.390.390.25
Net GEX-142.7K-1.1M1.3M1.3M39.1K
Net DEX27.2M-24.2M54.0M-24.2M44.3M
Net VEX-402.1K-538.7K-301.7K-538.7K-301.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.083.460.170.55
Total Volume19,077.5244,67638,70838,1569,456
Total OI315,161.524267,016335,888319,804311,524

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$11.35$11.2542.6%12.2%47.6%19.7%43.4%4.6%2.1%1.3M-24.2M-538.7K0.178.20N/AN/A32,5565,600188,692131,112
2008-09-03$10.97$11.2542.0%12.0%39.9%18.2%42.1%4.9%2.0%671.5K-6.7M-512.6K0.219.76N/AN/A11,3362,412189,408132,104
2008-09-04$10.98$11.2543.0%12.3%39.9%20.6%43.9%3.6%1.6%555.9K-3.7M-495.4K0.689.90N/AN/A5,7283,900185,108132,724
2008-09-05$10.91$11.2542.0%12.7%38.0%18.2%44.7%4.9%2.6%281.7K2.7M-481.4K0.5513.10N/AN/A3,0161,660184,468133,592
2008-09-08$11.07$11.2542.9%12.6%30.4%20.3%44.1%4.3%2.7%480.2K-4.1M-483.8K3.4614.29N/AN/A5,90420,428183,768133,476
2008-09-09$10.89$11.2548.0%13.7%28.1%32.6%47.9%4.0%1.0%149.9K4.8M-484.1K2.7219.13N/AN/A4,38011,900185,320138,640
2008-09-10$10.69$11.2545.8%13.5%28.4%27.2%47.2%3.6%1.2%-367.6K18.5M-472.4K0.0813.79N/AN/A8,624728185,624146,048
2008-09-11$10.68$11.2546.3%13.3%27.6%28.5%46.0%5.1%1.7%-409.1K21.1M-462.1K0.6512.37N/AN/A3,0761,984187,080146,248
2008-09-12$10.30$11.2549.4%14.2%29.9%36.0%48.4%4.2%0.4%-836.4K34.6M-422.0K0.5615.61N/AN/A8,7044,868186,908145,484
2008-09-15$9.72$11.2553.5%15.4%34.6%45.9%53.9%3.6%-2.2%-1.0M50.3M-376.9K1.3312.07N/AN/A8,34011,052185,620145,496
2008-09-16$10.02$11.2553.4%15.3%35.5%45.6%53.5%4.8%-1.0%-1.1M42.9M-399.1K1.038.83N/AN/A4,7924,948189,096146,792
2008-09-17$9.40$11.2558.6%16.8%41.2%58.0%59.0%6.7%-4.4%-758.3K54.0M-361.8K1.5115.95N/AN/A12,32418,660190,068142,080
2008-09-18$9.62$11.2557.5%16.5%42.6%55.5%55.7%11.6%-5.4%-646.1K41.5M-364.1K0.4415.85N/AN/A24,54410,724191,952131,384
2008-09-19$9.43$11.2556.9%16.3%42.9%53.8%58.4%6.6%-5.6%-292.2K41.8M-346.8K0.9311.22N/AN/A6,1405,736198,748131,508
2008-09-22$9.07$11.2561.1%17.5%43.4%64.1%58.5%5.7%-0.3%-272.1K40.6M-313.3K0.7314.35N/AN/A21,54815,676150,740116,276
2008-09-23$8.73$11.2561.0%17.5%44.3%63.7%60.8%6.4%-0.2%-295.2K48.1M-318.1K0.2810.96N/AN/A11,9763,352159,072126,584
2008-09-24$8.65$11.2562.0%17.8%44.3%66.2%57.1%5.2%-1.0%-268.6K48.8M-313.7K0.9316.21N/AN/A20,06418,644164,776126,216
2008-09-25$9.01$11.2560.2%17.3%47.8%62.0%60.4%5.4%-1.3%-200.8K39.8M-331.3K0.126.97N/AN/A19,0362,332164,068121,336
2008-09-26$9.04$11.2563.4%18.2%46.6%69.6%62.2%5.3%-2.3%-82.6K36.7M-341.5K0.2413.36N/AN/A20,0244,828172,144121,776
2008-09-29$8.55$10.0080.8%23.2%49.3%100.0%78.2%6.2%-12.0%142.9K40.0M-323.3K1.0414.13N/AN/A4,7124,916190,672124,660
2008-09-30$8.55$10.0066.2%19.0%46.5%68.5%66.7%4.4%-2.0%39.1K44.3M-301.7K0.5513.64N/AN/A6,0883,368186,856124,668