GME Options History — May 2009

In May 2009, GME traded between $5.50 and $7.33. ATM implied volatility averaged 55.4%, placing in the 22.6% IV rank vs the trailing year. The 30-day expected move averaged 16.3%. IV traded above realized volatility by 2.5% (HV 20d: 52.8%). Max pain ranged from $6.00 to $7.50. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.69.

Notable Days

  • 2009-05-21: Highest Volume — 94,648 contracts
  • 2009-05-19: Largest IV drop — 10.2% change
  • 2009-05-13: Highest IV Rank — 30.5%
  • 2009-05-07: Largest Expected Move — 18.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.46$5.50$7.33$7.33$6.24
Max Pain$6.66$6.00$7.50$7.50$6.00
ATM IV55.4%46.4%62.7%56.0%50.1%
Expected Move16.3%13.3%18.2%16.0%14.4%
HV 20d52.8%34.7%79.0%52.5%79.0%
HV 60d65.7%61.8%72.6%64.1%72.6%
IV Rank22.6%12.9%30.5%23.2%16.9%
IV Percentile34.1%15.1%48.8%37.7%22.2%
Term Structure-2.1%-4.5%5.0%5.0%-1.5%
VWIV56.5%46.4%63.5%55.8%50.8%
Skew 25d7.5%2.3%11.4%8.9%3.3%
Skew 10d13.0%2.8%25.9%19.4%7.0%
Call IV 25d53.4%44.6%58.6%52.1%48.8%
Put IV 25d60.9%49.7%69.2%61.0%52.1%
Bid-Ask Spread %12.065.5816.3114.1810.68
Gamma HHI0.140.090.240.120.18
Net GEX195.5K-201.7K800.0K319.1K800.0K
Net DEX13.3M-9.2M34.6M-3.3M-9.2M
Net VEX-240.0K-317.6K-193.0K-269.4K-317.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.192.400.760.33
Total Volume30,765.25,70494,6485,70461,248
Total OI297,700.8221,864401,544251,988401,544

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$7.33$7.5056.0%16.0%52.5%23.2%55.8%8.9%5.0%319.1K-3.3M-269.4K0.7614.18N/AN/A3,2402,464132,724119,264
2009-05-04$7.33$7.0058.3%17.3%52.4%25.7%60.9%10.0%-3.2%336.0K-3.4M-263.6K0.635.58N/AN/A4,7242,964134,092121,016
2009-05-05$7.27$7.0055.8%17.3%50.4%23.1%59.1%9.0%-3.2%319.2K-511.0K-257.1K0.435.95N/AN/A5,7682,476135,020122,480
2009-05-06$6.88$7.0056.2%17.5%53.6%23.5%60.1%10.6%-4.0%72.2K12.2M-237.2K0.618.66N/AN/A6,4643,972137,804123,600
2009-05-07$6.73$7.0057.6%18.2%51.8%25.1%63.5%10.3%-4.3%-29.1K16.7M-226.0K0.808.39N/AN/A9,3047,468137,940125,392
2009-05-08$6.53$7.0056.6%18.1%44.8%24.0%61.6%11.4%-4.5%-174.6K22.6M-214.6K0.429.61N/AN/A10,3124,376141,308127,964
2009-05-11$6.67$7.0059.5%17.5%46.1%27.1%60.9%8.2%-3.3%15.9K17.4M-217.0K0.5510.74N/AN/A14,2167,776146,232128,112
2009-05-12$6.56$6.7558.8%17.9%45.7%26.3%61.5%9.8%-3.5%39.1K18.4M-224.9K1.5312.20N/AN/A5,7208,736156,288132,764
2009-05-13$6.42$6.7562.7%18.1%45.2%30.5%63.2%9.9%-3.7%-69.9K22.4M-217.4K0.3914.13N/AN/A9,8123,824159,280136,452
2009-05-14$6.49$6.7561.4%17.6%39.8%29.2%59.8%9.8%-3.6%238.4K17.3M-217.9K2.4014.82N/AN/A10,91626,232166,132135,656
2009-05-15$6.62$6.7560.6%17.4%39.8%28.3%57.3%8.4%-3.8%20.8K10.3M-235.4K0.2014.36N/AN/A17,2123,464172,984156,904
2009-05-18$6.57$6.7558.1%16.7%39.6%25.6%59.5%8.1%-3.7%148.4K8.2M-225.7K1.1714.96N/AN/A6,6687,832124,65297,212
2009-05-19$6.46$6.7552.2%15.0%34.7%19.2%52.3%5.8%-2.4%77.5K11.6M-224.5K0.2013.39N/AN/A23,9524,712128,892102,600
2009-05-20$6.62$6.5053.3%15.3%36.4%20.4%53.9%4.7%-3.2%378.7K2.0M-244.5K0.9715.77N/AN/A31,94430,892143,392103,640
2009-05-21$5.59$6.5053.5%15.3%66.8%20.6%52.8%4.7%-0.7%-201.7K34.6M-193.0K0.5613.84N/AN/A60,75633,892163,260127,872
2009-05-22$5.64$6.2550.3%14.4%65.6%17.2%48.2%5.5%0.5%-9.3K29.8M-231.3K0.1910.49N/AN/A47,5849,064193,580146,964
2009-05-26$5.84$6.0046.4%13.3%68.0%12.9%46.4%5.1%1.1%603.1K17.0M-262.2K0.6912.08N/AN/A24,22816,700228,132152,128
2009-05-27$5.50$6.0051.0%14.6%69.8%17.9%51.7%2.3%0.4%401.2K29.4M-243.7K0.4116.31N/AN/A40,66016,552238,844158,644
2009-05-28$5.88$6.0048.7%14.0%75.0%15.4%49.7%3.5%-0.2%625.5K11.7M-277.8K0.5315.00N/AN/A17,7609,420234,368158,884
2009-05-29$6.24$6.0050.1%14.4%79.0%16.9%50.8%3.3%-1.5%800.0K-9.2M-317.6K0.3310.68N/AN/A45,88815,360236,560164,984