GME Options History — July 2009 In July 2009, GME traded between $5.11 and $6.04. ATM implied volatility averaged 48.4%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 11.6% (HV 20d: 36.8%). Max pain ranged from $5.25 to $6.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.27.
Notable Days 2009-07-17 : Highest Volume — 109,864 contracts2009-07-16 : Largest IV spike — 25.4% change2009-07-30 : Highest IV Rank — 21.7%2009-07-30 : Largest Expected Move — 16.6%Monthly Statistics Metric Avg Min Max Open Close Price $5.50 $5.11 $6.04 $5.62 $5.47 Max Pain $5.39 $5.25 $6.00 $6.00 $5.63 ATM IV 48.4% 40.6% 58.0% 40.6% 55.8% Expected Move 14.9% 11.7% 16.6% 11.7% 16.0% HV 20d 36.8% 29.4% 42.8% 29.4% 36.3% HV 60d 55.5% 54.4% 58.6% 57.6% 54.5% IV Rank 10.7% 1.9% 21.7% 1.9% 19.2% IV Percentile 17.5% 1.2% 39.3% 1.2% 33.3% Term Structure -1.7% -8.1% 10.4% 8.9% -6.1% VWIV 51.4% 40.6% 56.1% 40.6% 56.1% Skew 25d 6.6% 3.3% 9.0% 3.3% 7.7% Skew 10d 14.6% 8.7% 24.6% 10.1% 11.0% Call IV 25d 48.6% 39.5% 51.9% 39.5% 51.6% Put IV 25d 55.3% 42.8% 60.1% 42.8% 59.3% Bid-Ask Spread % 14.32 7.36 18.94 9.39 14.17 Gamma HHI 0.30 0.19 0.45 0.25 0.19 Net GEX 313.0K -1.6M 2.1M -454.4K 1.1M Net DEX 1.7M -65.3M 53.6M 16.5M -5.1M Net VEX -373.1K -430.0K -328.4K -401.9K -373.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.27 0.19 4.88 0.98 1.51 Total Volume 28,673.273 8,360 109,864 22,564 10,468 Total OI 560,078.909 437,048 639,172 592,412 539,252
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 2009-07-01 $5.62 $6.00 40.6% 11.7% 29.4% 1.9% 40.6% 3.3% 8.9% -454.4K 16.5M -401.9K 0.98 9.39 N/A N/A 11,396 11,168 336,276 256,136 2009-07-02 $5.27 $6.00 43.2% 12.4% 35.8% 4.8% 41.8% 3.3% 10.4% -973.5K 44.5M -365.0K 0.73 7.36 N/A N/A 8,604 6,268 341,880 259,476 2009-07-06 $5.26 $5.25 44.3% 15.0% 35.3% 6.1% 52.5% 7.2% -1.3% -1.0M 43.9M -362.3K 2.93 12.74 N/A N/A 4,184 12,248 347,224 263,724 2009-07-07 $5.12 $5.25 47.4% 15.7% 34.9% 9.5% 52.0% 7.3% -2.4% -1.1M 53.6M -338.5K 0.92 16.61 N/A N/A 4,348 4,012 348,744 262,736 2009-07-08 $5.24 $5.25 45.9% 15.3% 34.3% 7.9% 53.4% 7.6% -0.8% -1.1M 42.9M -355.4K 1.51 12.01 N/A N/A 3,616 5,448 348,952 260,904 2009-07-09 $5.17 $5.25 41.9% 15.3% 34.3% 3.3% 54.3% 8.0% -1.1% -1.3M 48.2M -342.8K 2.76 15.01 N/A N/A 16,192 44,752 350,124 260,056 2009-07-10 $5.11 $5.25 42.6% 15.7% 34.2% 4.1% 54.4% 6.5% -0.6% -1.3M 48.6M -328.4K 0.44 18.24 N/A N/A 8,304 3,664 361,036 252,724 2009-07-13 $5.26 $5.25 43.2% 15.4% 36.5% 4.8% 53.6% 6.4% -1.7% -1.6M 36.7M -337.8K 0.48 17.56 N/A N/A 11,412 5,480 365,360 251,816 2009-07-14 $5.41 $5.25 45.5% 15.5% 38.2% 7.4% 51.9% 6.9% -1.8% -999.1K 19.5M -349.4K 0.23 14.87 N/A N/A 29,704 6,748 370,232 250,672 2009-07-15 $5.41 $5.25 42.4% 15.2% 37.1% 3.9% 52.3% 5.3% -0.9% -673.0K 17.0M -347.2K 1.09 16.15 N/A N/A 5,284 5,736 384,896 250,036 2009-07-16 $5.54 $5.25 53.2% 15.2% 38.0% 16.1% 53.3% 5.2% -2.9% 616.1K 3.1M -352.2K 0.27 16.94 N/A N/A 45,804 12,140 377,748 247,920 2009-07-17 $5.49 $5.25 52.0% 14.9% 37.5% 14.8% 51.6% 6.3% -2.1% 1.1M 2.3M -344.7K 0.19 17.23 N/A N/A 92,008 17,856 399,360 239,812 2009-07-20 $5.58 $5.25 50.6% 14.5% 38.0% 13.2% 50.7% 6.2% 0.9% 1.5M -28.3M -385.0K 0.46 14.00 N/A N/A 13,556 6,260 295,864 141,184 2009-07-21 $5.73 $5.25 50.3% 14.4% 35.6% 12.9% 50.8% 6.7% -3.4% 1.7M -40.1M -400.0K 0.26 10.86 N/A N/A 21,140 5,516 305,112 144,760 2009-07-22 $5.91 $5.25 46.6% 13.4% 36.8% 8.7% 45.8% 5.5% -0.7% 1.8M -53.3M -410.5K 0.32 16.53 N/A N/A 22,784 7,208 309,240 146,984 2009-07-23 $5.97 $5.25 48.8% 14.0% 36.9% 11.2% 49.3% 8.0% -3.6% 2.0M -61.1M -420.9K 0.53 12.27 N/A N/A 27,168 14,480 326,648 147,924 2009-07-24 $6.04 $5.25 49.3% 14.1% 36.7% 11.8% 49.4% 6.5% -2.2% 2.1M -65.3M -430.0K 2.99 12.45 N/A N/A 3,156 9,452 338,856 156,760 2009-07-27 $5.88 $5.25 52.9% 15.2% 38.2% 15.8% 55.0% 6.5% -5.0% 1.9M -49.7M -417.1K 2.80 14.51 N/A N/A 5,240 14,672 338,900 162,860 2009-07-28 $5.70 $5.63 54.3% 15.6% 40.1% 17.4% 53.3% 8.1% -6.5% 1.6M -29.5M -400.3K 1.25 14.85 N/A N/A 18,720 23,312 338,432 172,148 2009-07-29 $5.47 $5.63 55.2% 15.8% 42.8% 18.4% 54.6% 8.2% -6.8% 1.3M -10.8M -378.4K 4.88 18.94 N/A N/A 5,024 24,496 347,092 179,372 2009-07-30 $5.37 $5.63 58.0% 16.6% 42.5% 21.7% 54.1% 9.0% -8.1% 940.9K 3.3M -365.8K 0.39 12.23 N/A N/A 15,644 6,140 347,036 195,468 2009-07-31 $5.47 $5.63 55.8% 16.0% 36.3% 19.2% 56.1% 7.7% -6.1% 1.1M -5.1M -373.5K 1.51 14.17 N/A N/A 4,176 6,292 344,156 195,096
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