GME Options History — January 2009 In January 2009, GME traded between $5.65 and $7.04. ATM implied volatility averaged 71.3%, placing in the 39.8% IV rank vs the trailing year. The 30-day expected move averaged 20.1%. IV traded below realized volatility by 11.0% (HV 20d: 82.3%). Max pain ranged from $5.63 to $7.50. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.14.
Notable Days 2009-01-08 : Highest Volume — 32,628 contracts2009-01-29 : Largest IV spike — 20.6% change2009-01-14 : Highest IV Rank — 52.7%2009-01-14 : Largest Expected Move — 22.3%Monthly Statistics Metric Avg Min Max Open Close Price $6.21 $5.65 $7.04 $5.80 $6.20 Max Pain $6.19 $5.63 $7.50 $7.50 $6.25 ATM IV 71.3% 56.3% 83.2% 71.0% 66.6% Expected Move 20.1% 16.1% 22.3% 20.4% 19.1% HV 20d 82.3% 73.9% 100.2% 100.2% 83.4% HV 60d 103.7% 98.4% 109.6% 109.4% 100.0% IV Rank 39.8% 23.6% 52.7% 39.5% 34.7% IV Percentile 72.9% 60.3% 81.3% 75.4% 67.5% Term Structure 6.2% 0.2% 11.4% 0.2% 9.2% VWIV 69.9% 60.6% 76.6% 71.2% 68.1% Skew 25d 13.1% 9.3% 22.4% 14.1% 9.3% Skew 10d 32.4% 20.8% 45.7% 43.0% 22.3% Call IV 25d 62.9% 46.1% 69.2% 62.7% 62.9% Put IV 25d 75.9% 68.4% 81.4% 76.8% 72.2% Bid-Ask Spread % 12.87 5.89 18.11 5.89 18.11 Gamma HHI 0.20 0.14 0.38 0.19 0.17 Net GEX 111.7K -35.1K 349.0K -35.1K 128.9K Net DEX 1.7M -14.2M 13.6M 13.5M -460.5K Net VEX -168.3K -201.5K -128.0K -128.3K -190.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.14 0.17 3.55 0.87 0.73 Total Volume 11,353.8 4,844 32,628 7,364 5,224 Total OI 239,445.4 156,608 309,908 263,200 197,348
Daily Data (20 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2009-01-02 $5.80 $7.50 71.0% 20.4% 100.2% 39.5% 71.2% 14.1% 0.2% -35.1K 13.5M -128.3K 0.87 5.89 N/A N/A 3,928 3,436 163,512 99,688 2009-01-05 $5.96 $5.63 73.2% 19.7% 98.1% 41.9% 69.6% 14.1% 5.1% -5.3K 10.9M -134.7K 0.73 10.05 N/A N/A 3,036 2,204 165,496 101,132 2009-01-06 $5.88 $5.63 76.9% 20.8% 96.9% 45.9% 71.4% 15.0% 3.3% -9.8K 12.0M -132.7K 0.60 10.24 N/A N/A 3,080 1,852 166,652 101,600 2009-01-07 $5.65 $5.63 80.4% 20.6% 78.3% 49.6% 70.7% 13.4% 5.3% -31.5K 13.6M -128.0K 1.47 9.98 N/A N/A 8,176 12,000 167,508 101,484 2009-01-08 $6.39 $5.63 68.9% 19.3% 86.3% 37.2% 69.8% 12.1% 5.5% 152.1K 95.6K -144.7K 0.75 18.02 N/A N/A 18,684 13,944 173,016 102,856 2009-01-09 $6.53 $6.25 66.5% 20.3% 85.7% 34.6% 69.0% 13.7% 3.4% 191.0K -3.3M -156.1K 0.56 15.20 N/A N/A 14,124 7,840 177,872 109,404 2009-01-12 $6.37 $6.25 76.5% 20.8% 83.8% 45.5% 69.3% 12.3% 2.2% 119.2K -282.0K -165.7K 0.80 18.09 N/A N/A 8,456 6,796 183,812 113,012 2009-01-13 $6.16 $6.25 71.5% 20.5% 82.7% 40.1% 71.2% 10.8% 4.5% 72.1K 4.5M -173.9K 1.23 17.17 N/A N/A 2,860 3,520 187,968 117,956 2009-01-14 $5.86 $6.25 83.2% 22.3% 83.3% 52.7% 74.8% 12.6% 3.5% 26.2K 9.2M -166.6K 3.08 11.46 N/A N/A 2,524 7,772 187,996 117,504 2009-01-15 $5.96 $6.25 71.9% 20.6% 73.9% 40.4% 76.6% 13.6% 5.2% 16.6K 9.5M -168.0K 1.42 12.20 N/A N/A 3,592 5,092 188,068 120,844 2009-01-16 $6.17 $6.25 69.0% 19.8% 75.2% 37.3% 67.3% 12.5% 5.2% 349.0K 6.4M -175.3K 0.72 11.55 N/A N/A 2,920 2,088 188,076 121,832 2009-01-20 $5.76 $6.25 76.9% 22.1% 76.9% 45.9% 74.0% 12.2% 6.4% -3.0K 4.5M -161.0K 0.28 13.05 N/A N/A 11,012 3,104 76,768 79,840 2009-01-21 $6.11 $6.25 69.6% 19.9% 79.8% 38.0% 72.4% 14.0% 9.1% 112.5K -673.6K -174.8K 1.94 14.95 N/A N/A 4,544 8,836 85,536 81,432 2009-01-22 $6.08 $6.25 71.2% 20.4% 76.6% 39.7% 71.0% 11.9% 8.7% 95.2K -409.4K -181.0K 1.03 9.60 N/A N/A 6,512 6,720 86,236 87,464 2009-01-23 $6.45 $6.25 70.0% 20.1% 77.2% 38.5% 70.4% 10.8% 9.5% 154.2K -5.7M -194.2K 0.79 12.31 N/A N/A 6,960 5,508 89,060 91,996 2009-01-26 $6.64 $6.25 70.3% 20.1% 76.0% 38.7% 66.6% 11.1% 8.3% 223.4K -9.2M -197.6K 0.35 17.22 N/A N/A 4,672 1,636 92,924 95,224 2009-01-27 $6.59 $6.25 67.4% 19.3% 76.0% 35.6% 67.6% 13.5% 9.4% 222.6K -8.0M -195.0K 3.55 12.02 N/A N/A 1,708 6,068 92,756 91,872 2009-01-28 $7.04 $6.25 56.3% 16.1% 75.3% 23.6% 60.6% 22.4% 11.4% 234.6K -14.2M -201.5K 0.17 9.98 N/A N/A 10,128 1,676 92,828 95,912 2009-01-29 $6.58 $6.25 67.9% 19.5% 80.4% 36.1% 66.2% 12.5% 7.6% 222.0K -8.0M -196.6K 1.78 10.32 N/A N/A 1,740 3,104 97,644 96,780 2009-01-30 $6.20 $6.25 66.6% 19.1% 83.4% 34.7% 68.1% 9.3% 9.2% 128.9K -460.5K -190.6K 0.73 18.11 N/A N/A 3,028 2,196 98,456 98,892
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