GME Options History — June 2009 In June 2009, GME traded between $5.46 and $6.45. ATM implied volatility averaged 47.7%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded below realized volatility by 19.9% (HV 20d: 67.6%). Max pain ranged from $6.00 to $6.25. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.84.
Notable Days 2009-06-04 : Highest Volume — 156,420 contracts2009-06-25 : Largest IV drop — 8.5% change2009-06-02 : Highest IV Rank — 18.0%2009-06-02 : Largest Expected Move — 15.0%Monthly Statistics Metric Avg Min Max Open Close Price $5.86 $5.46 $6.45 $6.45 $5.50 Max Pain $6.16 $6.00 $6.25 $6.00 $6.00 ATM IV 47.7% 41.8% 52.3% 50.7% 41.8% Expected Move 13.6% 12.0% 15.0% 14.6% 12.0% HV 20d 67.6% 28.0% 82.2% 80.1% 28.0% HV 60d 62.1% 57.8% 66.3% 65.8% 57.8% IV Rank 10.7% 3.3% 18.0% 17.6% 3.3% IV Percentile 14.0% 1.2% 26.2% 24.2% 1.2% Term Structure 5.4% -2.1% 9.2% -2.1% 8.9% VWIV 47.0% 41.9% 52.6% 51.1% 41.9% Skew 25d 4.4% 1.1% 5.9% 3.9% 4.3% Skew 10d 8.1% 2.6% 12.0% 8.8% 8.2% Call IV 25d 45.6% 41.8% 52.7% 48.7% 41.8% Put IV 25d 49.9% 46.1% 54.0% 52.6% 46.1% Bid-Ask Spread % 11.55 5.87 16.61 12.51 10.96 Gamma HHI 0.21 0.11 0.50 0.16 0.27 Net GEX -411.0K -2.9M 923.2K 923.2K -574.3K Net DEX 17.2M -23.7M 43.6M -23.7M 24.8M Net VEX -424.6K -519.4K -313.0K -328.4K -394.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.84 0.33 4.87 1.26 2.00 Total Volume 40,987.818 6,236 156,420 63,220 6,236 Total OI 569,835.818 406,816 675,208 415,116 589,436
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 2009-06-01 $6.45 $6.00 50.7% 14.6% 80.1% 17.6% 51.1% 3.9% -2.1% 923.2K -23.7M -328.4K 1.26 12.51 N/A N/A 27,916 35,304 242,248 172,868 2009-06-02 $6.08 $6.25 52.3% 15.0% 82.2% 18.0% 52.6% 1.1% -1.0% 71.0K 15.0M -313.0K 1.55 12.45 N/A N/A 18,000 27,928 216,620 190,196 2009-06-03 $6.04 $6.25 51.1% 14.6% 82.2% 16.7% 50.4% 3.3% -2.1% -47.6K 18.9M -317.3K 4.41 16.61 N/A N/A 9,256 40,808 218,888 199,976 2009-06-04 $6.11 $6.25 48.0% 13.8% 80.6% 13.4% 48.1% 2.2% -0.9% -323.2K 22.5M -355.6K 0.33 15.87 N/A N/A 117,572 38,848 223,668 229,956 2009-06-05 $5.97 $6.25 50.2% 13.4% 80.6% 15.7% 47.2% 4.9% 5.9% -413.0K 16.8M -466.4K 3.53 11.71 N/A N/A 6,796 23,988 282,224 256,892 2009-06-08 $6.08 $6.25 51.7% 13.6% 80.6% 15.0% 47.7% 4.3% 5.3% 128.3K 3.4M -491.4K 2.07 12.94 N/A N/A 9,548 19,784 334,772 260,572 2009-06-09 $6.25 $6.25 49.1% 13.4% 80.9% 11.5% 46.6% 3.9% 5.6% 238.6K -10.5M -519.4K 0.69 13.54 N/A N/A 8,784 6,060 337,860 275,604 2009-06-10 $6.24 $6.25 46.9% 13.6% 80.8% 9.0% 47.6% 5.2% 5.3% 250.5K -10.2M -511.0K 0.60 12.91 N/A N/A 17,704 10,608 340,116 274,116 2009-06-11 $6.15 $6.25 45.8% 13.1% 80.5% 7.7% 46.2% 5.1% 6.3% 188.0K -3.8M -514.3K 0.49 14.26 N/A N/A 9,440 4,624 351,288 275,396 2009-06-12 $6.03 $6.25 45.6% 13.1% 80.6% 7.5% 44.9% 4.6% 6.9% 28.6K 7.7M -496.7K 0.62 12.18 N/A N/A 7,312 4,556 355,064 272,052 2009-06-15 $5.92 $6.25 46.1% 13.2% 80.3% 8.1% 45.4% 5.9% 5.7% -252.7K 21.7M -462.5K 0.95 11.93 N/A N/A 5,156 4,888 355,424 271,484 2009-06-16 $5.75 $6.25 46.3% 13.3% 80.7% 8.3% 44.9% 4.5% 7.4% -453.9K 39.2M -427.5K 3.64 11.76 N/A N/A 13,820 50,304 355,276 270,084 2009-06-17 $5.81 $6.25 46.2% 13.2% 80.8% 8.2% 44.3% 5.7% 7.4% -1.9M 35.3M -436.6K 0.93 10.49 N/A N/A 20,888 19,388 359,936 301,940 2009-06-18 $5.70 $6.25 48.1% 13.8% 80.2% 10.3% 46.0% 5.3% 5.6% -2.9M 43.6M -425.5K 4.87 9.89 N/A N/A 5,280 25,708 372,700 302,508 2009-06-19 $5.74 $6.25 45.4% 13.0% 53.3% 7.3% 44.2% 5.2% 8.0% -1.7M 27.8M -417.7K 0.77 8.24 N/A N/A 14,544 11,256 375,512 284,804 2009-06-22 $5.49 $6.00 48.8% 14.0% 55.6% 11.2% 48.8% 3.4% 9.2% -157.8K 25.6M -383.5K 4.33 5.87 N/A N/A 11,816 51,108 294,776 206,712 2009-06-23 $5.46 $6.00 51.2% 14.7% 53.9% 13.9% 51.8% 4.9% 8.1% -483.1K 27.5M -402.1K 1.11 9.51 N/A N/A 59,496 66,020 302,492 234,188 2009-06-24 $5.46 $6.00 49.6% 14.2% 49.6% 12.1% 49.8% 4.3% 8.0% -466.8K 28.1M -423.5K 1.56 12.17 N/A N/A 12,832 19,988 324,776 256,156 2009-06-25 $5.55 $6.00 45.4% 13.0% 43.5% 7.3% 45.7% 5.2% 7.8% -350.0K 21.5M -426.6K 1.14 9.70 N/A N/A 9,024 10,292 332,320 255,616 2009-06-26 $5.54 $6.00 44.0% 12.6% 36.9% 5.8% 44.4% 4.5% 7.6% -457.6K 23.3M -419.4K 1.43 8.68 N/A N/A 3,068 4,396 331,952 257,336 2009-06-29 $5.54 $6.00 44.9% 12.9% 34.0% 6.7% 45.3% 4.3% 5.2% -508.3K 23.3M -407.9K 2.27 9.93 N/A N/A 9,588 21,800 333,064 257,520 2009-06-30 $5.50 $6.00 41.8% 12.0% 28.0% 3.3% 41.9% 4.3% 8.9% -574.3K 24.8M -394.3K 2.00 10.96 N/A N/A 2,080 4,156 335,484 253,952
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