GME Options History — November 2008

In November 2008, GME traded between $4.38 and $6.94. ATM implied volatility averaged 107.2%, placing in the 82.7% IV rank vs the trailing year. The 30-day expected move averaged 29.6%. IV traded below realized volatility by 1.7% (HV 20d: 108.9%). Max pain ranged from $5.63 to $7.50. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.96.

Notable Days

  • 2008-11-19: Highest Volume — 78,472 contracts
  • 2008-11-13: Largest IV drop — 22.9% change
  • 2008-11-10: Highest IV Rank — 100.0%
  • 2008-11-19: Largest Expected Move — 35.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.69$4.38$6.94$6.74$5.46
Max Pain$6.45$5.63$7.50$7.50$5.63
ATM IV107.2%82.0%127.0%106.5%83.6%
Expected Move29.6%23.5%35.8%30.5%24.0%
HV 20d108.9%97.5%120.8%117.5%111.3%
HV 60d84.6%75.2%95.7%75.3%95.7%
IV Rank82.7%51.4%100.0%90.4%53.1%
IV Percentile96.2%86.1%100.0%99.6%86.1%
Term Structure-6.1%-15.0%4.6%-12.6%0.9%
VWIV100.6%82.5%133.7%95.2%83.2%
Skew 25d18.5%6.3%24.4%17.1%19.4%
Skew 10d33.7%4.3%47.0%23.6%38.1%
Call IV 25d93.7%76.4%113.5%93.1%77.1%
Put IV 25d112.2%95.1%133.2%110.3%96.5%
Bid-Ask Spread %10.996.2718.157.519.76
Gamma HHI0.230.130.590.170.16
Net GEX-153.3K-525.4K21.5K2.1K-154.7K
Net DEX29.6M16.8M43.5M30.9M16.8M
Net VEX-150.9K-201.1K-103.1K-201.1K-138.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.960.1610.900.510.16
Total Volume20,019.1582,74078,4729,9122,740
Total OI284,129.053261,164328,648273,860275,512

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-11-03$6.74$7.50106.5%30.5%117.5%90.4%95.2%17.1%-12.6%2.1K30.9M-201.1K0.517.51N/AN/A6,5483,364163,640110,220
2008-11-04$6.94$7.5089.4%25.6%113.0%68.9%93.0%17.4%-8.6%21.5K29.8M-200.7K0.646.27N/AN/A3,4882,244167,552110,740
2008-11-05$6.32$7.50105.0%30.1%117.2%88.5%101.5%10.9%-10.0%-70.9K34.4M-171.9K0.436.99N/AN/A5,8642,508163,292111,204
2008-11-06$5.95$7.50111.4%31.9%118.2%96.5%110.0%6.3%-15.0%-60.8K33.0M-160.0K0.4210.41N/AN/A4,4561,864164,188107,460
2008-11-07$6.28$6.25108.8%26.9%120.3%93.2%89.6%21.2%-5.2%-42.0K28.4M-164.1K0.5913.08N/AN/A4,6522,748166,040100,828
2008-11-10$6.12$6.25115.6%28.2%106.7%100.0%94.5%20.1%-8.0%-35.2K27.7M-162.0K1.4713.98N/AN/A5,4047,952168,192101,600
2008-11-11$5.85$6.25122.9%29.5%102.8%100.0%95.2%19.4%-8.1%-71.1K30.2M-149.0K1.368.17N/AN/A4,6286,304169,576104,312
2008-11-12$5.51$6.25127.0%30.1%100.2%100.0%107.9%20.0%-8.0%-70.5K31.2M-136.8K0.9111.27N/AN/A9,5128,692172,376104,780
2008-11-13$6.21$6.2597.9%28.1%102.5%68.6%98.4%20.3%-5.7%-50.2K25.3M-171.4K0.6313.09N/AN/A16,37210,328175,844105,904
2008-11-14$5.82$6.25103.1%29.6%102.8%74.2%98.0%15.8%-4.7%-75.0K26.9M-163.0K0.749.24N/AN/A12,4089,220172,512110,568
2008-11-17$5.69$6.25109.0%31.3%100.6%80.6%104.5%17.8%-5.3%-94.6K29.6M-154.8K7.207.44N/AN/A4,68833,752172,972114,004
2008-11-18$5.55$6.25110.1%31.6%97.5%81.8%105.1%19.0%-6.5%-403.1K35.9M-154.6K1.2610.42N/AN/A5,7687,244173,120138,960
2008-11-19$5.14$6.25124.8%35.8%97.6%97.7%122.3%15.7%-9.5%-353.7K37.6M-147.1K4.4011.51N/AN/A14,52463,948175,272141,444
2008-11-20$4.38$6.25122.4%35.1%110.2%95.1%115.7%20.6%-7.1%-416.1K43.5M-103.1K1.4717.02N/AN/A9,61214,104181,688146,960
2008-11-21$4.50$6.25122.3%35.1%110.9%95.0%133.7%24.4%-7.4%-525.4K37.2M-103.4K10.9014.43N/AN/A4,62050,376183,852137,476
2008-11-24$5.05$6.2599.5%28.5%120.8%70.2%99.1%22.2%-0.8%-154.8K23.5M-118.3K2.1710.33N/AN/A7,50016,304147,944113,220
2008-11-25$5.17$6.2595.4%27.4%108.4%65.9%82.5%24.1%1.6%-192.1K23.1M-129.8K1.679.67N/AN/A2,7244,556152,848121,568
2008-11-26$5.50$5.6382.0%23.5%111.4%51.4%82.9%18.7%4.6%-166.5K17.8M-136.9K0.2418.15N/AN/A7,5161,832154,172116,612
2008-11-28$5.46$5.6383.6%24.0%111.3%53.1%83.2%19.4%0.9%-154.7K16.8M-138.6K0.169.76N/AN/A2,364376159,288116,224