GME Options History — April 2009

In April 2009, GME traded between $7.05 and $8.11. ATM implied volatility averaged 60.6%, placing in the 28.2% IV rank vs the trailing year. The 30-day expected move averaged 17.6%. IV traded above realized volatility by 1.2% (HV 20d: 59.4%). Max pain ranged from $6.25 to $7.50. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.40.

Notable Days

  • 2009-04-16: Highest Volume — 85,016 contracts
  • 2009-04-03: Largest IV spike — 19.5% change
  • 2009-04-20: Highest IV Rank — 34.5%
  • 2009-04-03: Largest Expected Move — 19.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.54$7.05$8.11$7.05$7.54
Max Pain$7.38$6.25$7.50$6.25$7.50
ATM IV60.6%54.7%66.4%55.9%56.6%
Expected Move17.6%15.7%19.2%16.0%16.2%
HV 20d59.4%52.4%81.7%81.7%56.5%
HV 60d67.8%63.8%72.6%71.5%63.8%
IV Rank28.2%21.9%34.5%23.2%24.0%
IV Percentile46.7%39.3%51.6%45.2%39.3%
Term Structure1.6%-3.4%6.4%5.4%4.2%
VWIV62.1%55.3%67.6%63.5%57.1%
Skew 25d10.7%8.8%14.8%14.8%9.0%
Skew 10d22.9%16.4%36.7%36.7%21.6%
Call IV 25d56.8%51.3%61.9%51.3%52.7%
Put IV 25d67.6%61.7%74.3%66.1%61.7%
Bid-Ask Spread %10.544.9216.194.9214.59
Gamma HHI0.230.100.460.410.12
Net GEX491.3K-833.8K1.1M692.4K388.2K
Net DEX-24.2M-69.6M32.2M-19.0M-10.9M
Net VEX-275.4K-294.9K-247.3K-251.7K-276.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.400.404.230.610.95
Total Volume25,589.7143,75285,01616,5287,000
Total OI318,265.714213,300442,732322,316247,288

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-04-01$7.05$6.2555.9%16.0%81.7%23.2%63.5%14.8%5.4%692.4K-19.0M-251.7K0.614.92N/AN/A10,2766,252165,812156,504
2009-04-02$7.53$6.2554.7%15.7%61.5%21.9%55.3%10.8%6.4%1.1M-41.8M-264.8K0.508.05N/AN/A21,92811,020171,064158,404
2009-04-03$7.45$7.5065.4%19.2%58.1%33.4%67.6%13.4%-0.7%932.6K-37.8M-280.1K4.2310.20N/AN/A15,42465,200178,680162,868
2009-04-06$7.16$7.5063.0%18.8%61.1%30.8%67.3%12.4%-0.7%-123.1K-4.8M-289.2K3.109.95N/AN/A6,67620,692181,244209,388
2009-04-07$7.31$7.5061.1%19.1%52.4%28.8%66.8%11.8%-0.8%177.6K-18.4M-292.1K1.0214.37N/AN/A11,02011,260184,820204,720
2009-04-08$7.58$7.5057.3%18.6%53.4%24.7%63.3%12.2%-0.0%817.0K-39.8M-287.2K1.3711.24N/AN/A5,3087,252187,600192,184
2009-04-09$8.11$7.5061.0%17.5%57.1%28.7%61.9%10.8%1.1%1.1M-69.6M-281.6K1.167.75N/AN/A8,5889,936187,696191,764
2009-04-13$8.07$7.5062.2%17.8%57.4%30.0%65.8%10.1%0.1%947.5K-67.5M-273.0K3.547.60N/AN/A9,74834,500187,888197,644
2009-04-14$7.87$7.5063.2%18.1%54.4%31.1%61.7%10.6%-1.0%874.3K-56.6M-268.5K0.696.87N/AN/A19,20413,244190,588201,588
2009-04-15$7.97$7.5060.3%17.3%54.3%27.9%61.4%9.7%-0.7%870.3K-65.1M-294.9K0.918.25N/AN/A7,7807,044201,248210,200
2009-04-16$7.42$7.5064.0%18.4%61.7%31.9%63.5%10.6%-3.4%832.3K-22.7M-268.0K3.728.54N/AN/A18,02866,988194,208203,100
2009-04-17$7.21$7.5062.6%18.0%63.0%30.4%63.9%10.8%-2.2%-833.8K32.2M-248.1K1.6710.83N/AN/A24,74441,340200,624242,108
2009-04-20$7.10$7.5066.4%19.0%62.6%34.5%65.4%11.4%1.0%122.6K1.3M-247.3K0.6811.98N/AN/A12,4528,484110,496102,804
2009-04-21$7.45$7.5061.6%17.7%60.2%29.3%62.7%10.0%3.4%252.3K-8.1M-274.2K0.539.84N/AN/A10,7165,688119,092108,592
2009-04-22$7.46$7.5061.6%17.7%60.1%29.4%62.5%9.8%2.9%285.0K-10.2M-284.4K0.7310.00N/AN/A5,6364,136123,960112,140
2009-04-23$7.63$7.5060.7%17.4%60.2%28.4%60.9%9.1%3.4%357.1K-14.6M-286.2K0.409.22N/AN/A2,6841,068124,412110,812
2009-04-24$7.83$7.5058.5%16.8%59.5%26.0%58.5%8.8%3.1%423.9K-20.2M-290.1K0.4012.75N/AN/A4,7321,900125,552111,552
2009-04-27$7.62$7.5060.5%17.3%57.5%28.1%59.7%10.4%3.7%398.0K-15.0M-281.2K0.5613.45N/AN/A5,1402,860127,076112,200
2009-04-28$7.42$7.5058.3%16.7%57.5%25.8%59.8%9.5%4.4%345.6K-7.9M-272.5K1.2314.82N/AN/A2,1202,612128,860113,696
2009-04-29$7.52$7.5057.0%16.3%56.5%24.3%56.4%9.5%4.5%389.8K-10.6M-272.6K1.4216.19N/AN/A2,7683,936128,944114,160
2009-04-30$7.54$7.5056.6%16.2%56.5%24.0%57.1%9.0%4.2%388.2K-10.9M-276.9K0.9514.59N/AN/A3,5883,412130,564116,724