GME Options History — March 2009 In March 2009, GME traded between $5.59 and $7.00. ATM implied volatility averaged 76.7%, placing in the 45.6% IV rank vs the trailing year. The 30-day expected move averaged 22.1%. IV traded below realized volatility by 0.4% (HV 20d: 77.1%). Max pain ranged from $6.25 to $6.25. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.46.
Notable Days 2009-03-05 : Highest Volume — 125,180 contracts2009-03-30 : Largest IV spike — 24.8% change2009-03-09 : Highest IV Rank — 64.3%2009-03-05 : Largest Expected Move — 26.0%Monthly Statistics Metric Avg Min Max Open Close Price $6.41 $5.59 $7.00 $6.52 $7.00 Max Pain $6.25 $6.25 $6.25 $6.25 $6.25 ATM IV 76.7% 56.4% 94.0% 76.0% 57.6% Expected Move 22.1% 16.2% 26.0% 21.8% 16.5% HV 20d 77.1% 49.9% 84.1% 50.7% 83.4% HV 60d 75.1% 71.6% 83.7% 78.5% 71.7% IV Rank 45.6% 23.7% 64.3% 44.9% 25.0% IV Percentile 71.7% 47.2% 88.5% 75.0% 47.6% Term Structure -4.2% -11.1% 4.5% 0.8% 3.6% VWIV 76.4% 61.8% 90.8% 75.6% 62.5% Skew 25d 13.5% 8.8% 18.3% 11.4% 10.2% Skew 10d 27.1% 13.9% 40.7% 17.1% 20.2% Call IV 25d 69.7% 56.8% 82.3% 68.8% 58.0% Put IV 25d 83.2% 68.0% 97.5% 80.2% 68.2% Bid-Ask Spread % 9.45 5.62 15.26 10.06 10.05 Gamma HHI 0.29 0.18 0.73 0.25 0.29 Net GEX -894.2K -3.3M 266.3K -753.3K 266.3K Net DEX 13.3M -13.3M 53.9M 14.9M -13.3M Net VEX -255.3K -284.4K -231.7K -280.5K -242.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.46 0.47 3.12 1.25 0.58 Total Volume 33,496.182 8,336 125,180 10,540 40,060 Total OI 391,592.182 266,436 472,072 391,008 306,772
Daily Data (22 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 2009-03-02 $6.52 $6.25 76.0% 21.8% 50.7% 44.9% 75.6% 11.4% 0.8% -753.3K 14.9M -280.5K 1.25 10.06 N/A N/A 4,676 5,864 142,220 248,788 2009-03-03 $6.50 $6.25 74.7% 21.4% 49.9% 43.5% 73.0% 8.8% 0.9% -812.8K 15.9M -274.2K 0.66 10.81 N/A N/A 5,024 3,312 141,900 249,652 2009-03-04 $6.83 $6.25 72.9% 20.9% 52.8% 41.5% 68.3% 10.3% 4.5% -442.6K 3.1M -276.7K 1.59 15.26 N/A N/A 6,104 9,708 143,608 250,300 2009-03-05 $5.87 $6.25 90.7% 26.0% 75.9% 60.8% 86.9% 18.3% -5.0% -1.3M 43.8M -254.2K 1.83 7.84 N/A N/A 44,228 80,952 144,808 254,832 2009-03-06 $5.59 $6.25 90.9% 25.2% 75.1% 61.0% 84.4% 16.3% -8.9% -1.4M 53.9M -259.1K 2.26 11.20 N/A N/A 17,380 39,352 155,464 270,304 2009-03-09 $5.72 $6.25 94.0% 26.0% 74.5% 64.3% 90.8% 15.3% -11.1% -1.4M 49.1M -262.9K 0.96 9.73 N/A N/A 13,988 13,412 166,372 278,712 2009-03-10 $6.30 $6.25 76.0% 23.6% 83.3% 45.0% 79.9% 15.7% -6.7% -1.1M 18.1M -280.5K 0.89 11.24 N/A N/A 22,848 20,280 172,308 278,780 2009-03-11 $6.32 $6.25 74.3% 23.5% 83.1% 43.0% 81.3% 16.1% -7.3% -1.2M 16.2M -284.4K 3.09 7.51 N/A N/A 5,600 17,280 179,912 285,436 2009-03-12 $6.35 $6.25 80.5% 23.1% 83.1% 49.8% 82.1% 16.2% -7.6% -1.2M 14.6M -275.0K 2.89 8.61 N/A N/A 3,504 10,124 177,564 279,340 2009-03-13 $6.42 $6.25 80.2% 23.0% 82.8% 49.5% 80.5% 14.5% -7.1% -989.4K 8.8M -272.6K 1.70 8.22 N/A N/A 8,356 14,164 178,416 280,156 2009-03-16 $6.10 $6.25 81.6% 23.4% 84.1% 51.0% 83.8% 14.6% -8.0% -1.6M 27.6M -251.8K 2.27 8.74 N/A N/A 7,424 16,840 178,568 279,196 2009-03-17 $6.24 $6.25 80.3% 23.0% 82.9% 49.5% 87.0% 15.7% -8.1% -1.4M 18.0M -250.5K 3.12 8.42 N/A N/A 2,668 8,320 181,896 279,476 2009-03-18 $6.21 $6.25 78.6% 22.5% 82.9% 47.7% 76.9% 14.4% -7.1% -1.3M 18.4M -241.4K 1.19 10.12 N/A N/A 32,600 38,900 181,264 268,700 2009-03-19 $6.36 $6.25 78.0% 22.3% 79.4% 47.0% 79.2% 15.1% -7.4% -1.5M 6.7M -245.6K 1.26 9.80 N/A N/A 11,588 14,656 186,920 285,152 2009-03-20 $6.21 $6.25 75.0% 21.5% 79.7% 43.8% 74.3% 13.7% -4.8% -3.3M 14.8M -231.7K 1.30 10.02 N/A N/A 20,184 26,164 188,152 268,772 2009-03-23 $6.66 $6.25 75.9% 21.8% 83.5% 44.8% 72.3% 13.2% -5.1% -101.8K 73.5K -234.1K 0.63 7.35 N/A N/A 10,224 6,472 124,060 144,396 2009-03-24 $6.76 $6.25 79.0% 22.6% 82.3% 48.1% 74.4% 12.8% -6.6% -54.4K -4.1M -235.4K 1.17 5.62 N/A N/A 23,168 27,080 122,928 143,508 2009-03-25 $6.71 $6.25 76.0% 21.8% 81.3% 44.9% 73.1% 11.8% -5.1% -130.5K -755.7K -247.9K 1.11 11.08 N/A N/A 18,912 20,932 133,772 160,960 2009-03-26 $6.55 $6.25 67.7% 19.4% 80.0% 35.9% 65.1% 11.1% -0.7% -139.5K 2.9M -233.3K 1.15 6.83 N/A N/A 14,724 16,960 140,368 157,888 2009-03-27 $6.96 $6.25 56.4% 16.2% 82.9% 23.7% 61.8% 11.2% 3.9% 203.0K -11.4M -242.4K 0.47 11.26 N/A N/A 11,164 5,204 143,696 156,172 2009-03-30 $6.77 $6.25 70.4% 20.2% 82.7% 38.8% 67.2% 10.2% 0.1% 88.3K -5.5M -239.9K 0.78 8.03 N/A N/A 9,284 7,232 146,780 156,760 2009-03-31 $7.00 $6.25 57.6% 16.5% 83.4% 25.0% 62.5% 10.2% 3.6% 266.3K -13.3M -242.9K 0.58 10.05 N/A N/A 25,328 14,732 148,400 158,372
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