GME Options History — February 2009 In February 2009, GME traded between $6.22 and $7.08. ATM implied volatility averaged 71.7%, placing in the 40.3% IV rank vs the trailing year. The 30-day expected move averaged 20.9%. IV traded above realized volatility by 5.2% (HV 20d: 66.5%). Max pain ranged from $6.25 to $6.25. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 2.24.
Notable Days 2009-02-23 : Highest Volume — 66,544 contracts2009-02-09 : Largest IV spike — 23.9% change2009-02-24 : Highest IV Rank — 45.7%2009-02-10 : Largest Expected Move — 22.2%Monthly Statistics Metric Avg Min Max Open Close Price $6.65 $6.22 $7.08 $6.37 $6.73 Max Pain $6.25 $6.25 $6.25 $6.25 $6.25 ATM IV 71.7% 61.6% 76.7% 68.6% 69.4% Expected Move 20.9% 19.2% 22.2% 19.7% 19.9% HV 20d 66.5% 54.2% 80.6% 80.6% 54.2% HV 60d 90.6% 78.3% 99.9% 99.9% 78.3% IV Rank 40.3% 29.3% 45.7% 37.0% 37.7% IV Percentile 70.5% 61.9% 76.6% 68.7% 63.9% Term Structure 1.4% -3.5% 10.1% 10.1% 4.9% VWIV 72.5% 66.0% 81.9% 67.3% 69.6% Skew 25d 10.1% 6.6% 13.2% 9.2% 8.8% Skew 10d 23.0% 15.7% 39.6% 25.4% 17.4% Call IV 25d 66.4% 61.6% 71.3% 64.2% 62.8% Put IV 25d 76.4% 71.4% 81.7% 73.4% 71.6% Bid-Ask Spread % 11.53 7.49 20.26 12.21 12.88 Gamma HHI 0.27 0.18 0.42 0.18 0.25 Net GEX -53.5K -574.5K 491.9K 153.3K -506.7K Net DEX -3.3M -20.0M 17.9M -2.7M 5.7M Net VEX -234.9K -291.4K -187.6K -189.7K -291.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.24 0.27 7.05 0.58 3.81 Total Volume 25,102.526 4,804 66,544 18,188 13,096 Total OI 288,844.421 198,332 385,336 198,332 385,336
Daily Data (19 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 2009-02-02 $6.37 $6.25 68.6% 19.7% 80.6% 37.0% 67.3% 9.2% 10.1% 153.3K -2.7M -189.7K 0.58 12.21 N/A N/A 11,536 6,652 98,404 99,928 2009-02-03 $6.41 $6.25 67.3% 19.3% 80.2% 35.4% 68.9% 11.0% 8.9% 199.6K -3.6M -187.6K 0.81 12.83 N/A N/A 2,648 2,156 103,896 101,208 2009-02-04 $6.50 $6.25 73.4% 21.0% 80.0% 42.1% 68.3% 8.9% 5.3% 231.6K -6.1M -189.7K 0.27 9.24 N/A N/A 30,972 8,472 104,500 102,028 2009-02-05 $6.78 $6.25 74.1% 21.2% 79.2% 42.9% 72.8% 11.0% 4.5% 373.7K -12.8M -204.6K 1.17 14.87 N/A N/A 14,860 17,436 117,164 108,892 2009-02-06 $7.00 $6.25 61.6% 20.1% 67.6% 29.3% 71.1% 13.0% -3.5% 468.0K -20.0M -225.0K 1.36 10.40 N/A N/A 7,144 9,696 127,216 122,976 2009-02-09 $6.86 $6.25 76.3% 22.0% 67.9% 45.2% 73.5% 11.9% -2.6% 491.9K -17.9M -214.1K 1.45 8.57 N/A N/A 13,424 19,424 130,216 113,676 2009-02-10 $6.72 $6.25 73.4% 22.2% 67.5% 42.1% 78.9% 13.2% -2.6% 380.9K -13.3M -228.0K 5.15 9.60 N/A N/A 2,488 12,808 137,624 127,412 2009-02-11 $6.63 $6.25 69.7% 21.7% 66.5% 38.1% 76.5% 12.0% -1.7% 198.2K -7.8M -225.5K 5.45 9.00 N/A N/A 2,184 11,904 138,112 134,872 2009-02-12 $6.75 $6.25 75.0% 21.5% 63.5% 43.9% 70.7% 12.6% -1.7% 220.2K -10.0M -235.5K 0.61 11.20 N/A N/A 5,316 3,236 139,360 145,140 2009-02-13 $6.56 $6.25 70.0% 20.1% 64.6% 38.5% 69.6% 10.5% 1.4% 33.0K -4.7M -226.9K 4.28 9.40 N/A N/A 9,976 42,668 141,500 145,584 2009-02-17 $6.25 $6.25 75.1% 21.5% 66.2% 43.9% 77.2% 10.8% 0.6% -510.3K 16.1M -239.5K 2.50 20.26 N/A N/A 3,976 9,940 144,096 180,916 2009-02-18 $6.22 $6.25 72.5% 20.8% 61.0% 41.1% 73.5% 11.8% 1.6% -560.2K 17.9M -238.0K 2.35 7.96 N/A N/A 6,776 15,928 145,352 185,444 2009-02-19 $6.66 $6.25 72.8% 20.9% 62.3% 41.4% 70.6% 8.2% -0.3% -350.7K -6.4M -247.8K 0.54 8.13 N/A N/A 21,368 11,552 146,896 188,500 2009-02-20 $6.67 $6.25 73.8% 21.2% 62.3% 42.6% 74.2% 8.2% 0.3% -305.3K -7.0M -253.2K 0.86 7.49 N/A N/A 9,724 8,388 154,340 191,804 2009-02-23 $6.55 $6.25 76.2% 21.9% 59.2% 45.2% 81.9% 7.3% 0.4% -316.1K 7.6M -252.5K 7.05 14.18 N/A N/A 8,268 58,276 119,012 163,348 2009-02-24 $6.84 $6.25 76.7% 22.0% 60.3% 45.7% 75.3% 8.9% -2.3% -425.2K 3.0M -269.6K 0.54 8.51 N/A N/A 7,312 3,928 120,068 219,388 2009-02-25 $7.08 $6.25 67.1% 19.2% 61.3% 35.3% 72.4% 6.6% -0.7% -216.9K -6.9M -269.4K 3.26 15.33 N/A N/A 6,644 21,680 122,732 219,984 2009-02-26 $6.75 $6.25 70.0% 20.1% 59.3% 38.4% 66.0% 7.5% 3.9% -574.5K 5.5M -275.2K 0.57 16.89 N/A N/A 22,300 12,792 126,632 234,488 2009-02-27 $6.73 $6.25 69.4% 19.9% 54.2% 37.7% 69.6% 8.8% 4.9% -506.7K 5.7M -291.4K 3.81 12.88 N/A N/A 2,724 10,372 141,644 243,692
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