GME Options History — August 2009

In August 2009, GME traded between $5.61 and $6.61. ATM implied volatility averaged 51.7%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 2.4% (HV 20d: 49.3%). Max pain ranged from $5.63 to $6.25. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.17.

Notable Days

  • 2009-08-20: Highest Volume — 187,836 contracts
  • 2009-08-20: Largest IV drop — 20.3% change
  • 2009-08-10: Highest IV Rank — 25.7%
  • 2009-08-03: Largest Expected Move — 16.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.04$5.61$6.61$5.71$5.95
Max Pain$5.98$5.63$6.25$5.63$6.00
ATM IV51.7%42.6%61.6%58.4%43.5%
Expected Move14.3%12.2%16.7%16.7%12.5%
HV 20d49.3%39.1%57.5%39.1%52.2%
HV 60d50.7%42.6%57.9%55.2%42.7%
IV Rank14.4%4.1%25.7%22.0%4.5%
IV Percentile23.7%3.2%46.4%40.5%5.6%
Term Structure-2.0%-9.3%3.5%-8.6%1.8%
VWIV49.7%42.2%59.1%55.6%43.1%
Skew 25d6.3%4.2%9.0%9.0%4.4%
Skew 10d12.2%7.6%19.9%17.9%7.6%
Call IV 25d46.9%40.6%53.5%52.7%41.6%
Put IV 25d53.2%44.8%62.2%61.8%46.1%
Bid-Ask Spread %13.589.2616.5313.3214.65
Gamma HHI0.190.100.310.220.10
Net GEX1.1M-706.3K2.5M1.4M-203.5K
Net DEX-46.0M-124.6M21.3M-26.1M-9.4M
Net VEX-381.2K-422.6K-339.2K-387.6K-388.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.204.720.930.55
Total Volume42,532.57110,228187,83615,79616,720
Total OI564,797.905437,676720,844541,356504,608

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$5.71$5.6358.4%16.7%39.1%22.0%55.6%9.0%-8.6%1.4M-26.1M-387.6K0.9313.32N/AN/A8,2047,592345,168196,188
2009-08-04$6.11$5.6355.4%15.9%43.0%18.7%56.2%6.8%-5.9%1.9M-66.4M-408.1K0.8513.96N/AN/A54,41646,448347,644196,292
2009-08-05$6.04$5.6357.7%16.6%43.2%21.3%59.1%7.3%-9.3%2.2M-66.9M-422.6K0.8813.62N/AN/A8,3927,412375,088206,224
2009-08-06$6.13$5.6355.4%15.9%42.6%18.6%58.4%8.8%-8.2%1.9M-69.5M-415.7K0.4513.43N/AN/A7,3923,356354,060203,884
2009-08-07$6.29$6.0055.3%13.6%42.3%18.6%48.3%6.3%-1.3%2.1M-86.9M-403.6K0.6014.79N/AN/A11,8167,144354,012203,856
2009-08-10$6.04$6.0061.6%14.3%45.4%25.7%49.3%6.4%-1.8%1.8M-59.0M-390.6K0.6615.83N/AN/A8,3005,476357,700206,576
2009-08-11$6.17$6.0059.2%14.0%45.1%22.9%49.0%5.6%-2.1%2.1M-76.3M-387.6K0.2015.25N/AN/A22,3764,560360,344207,492
2009-08-12$6.41$6.0060.9%14.1%46.3%24.9%49.0%5.2%-1.7%2.4M-102.6M-384.7K0.289.87N/AN/A20,0045,564364,004208,980
2009-08-13$6.58$6.0050.2%14.4%46.4%12.8%50.7%6.6%-2.0%2.5M-124.6M-382.5K2.7413.92N/AN/A7,56820,724374,076210,872
2009-08-14$6.61$6.0050.7%14.5%46.0%13.4%50.8%6.7%-1.7%2.2M-122.6M-385.8K2.3113.59N/AN/A6,83615,764370,388226,156
2009-08-17$6.27$6.0053.7%15.4%50.8%16.7%53.9%6.3%-2.7%2.0M-82.8M-374.8K0.5112.29N/AN/A18,7009,452372,792231,380
2009-08-18$6.13$6.0055.2%15.8%51.2%18.4%56.6%6.8%-3.5%2.0M-66.6M-368.4K2.4516.53N/AN/A27,35667,064377,216231,208
2009-08-19$6.29$6.2557.4%16.5%50.9%20.9%58.2%8.3%-4.6%1.5M-79.1M-377.4K1.2315.57N/AN/A43,29653,164383,376275,844
2009-08-20$5.85$6.2545.7%13.1%57.5%7.7%44.6%5.8%0.2%977.7K-526.7K-342.6K1.419.26N/AN/A77,808110,028405,348297,940
2009-08-21$5.78$6.2543.8%12.6%57.4%5.5%43.6%6.7%2.7%-688.4K10.3M-346.4K4.7212.70N/AN/A9,02442,636405,420315,424
2009-08-24$5.64$6.2543.7%12.5%57.4%5.4%43.9%6.4%3.5%-590.0K17.0M-339.2K1.7115.50N/AN/A27,15646,364231,680205,996
2009-08-25$5.61$6.0045.2%13.0%56.3%7.1%43.5%5.6%0.1%-706.3K21.3M-357.3K0.5212.84N/AN/A11,0445,764243,860229,580
2009-08-26$5.64$6.0044.5%12.7%54.2%6.2%44.0%5.4%1.2%-608.0K17.3M-365.5K0.8813.82N/AN/A13,45611,860250,860230,784
2009-08-27$5.75$6.0045.6%13.1%54.1%7.5%44.3%4.7%1.1%-511.9K8.3M-385.0K0.2215.03N/AN/A10,4242,296257,228239,292
2009-08-28$5.87$6.0042.6%12.2%54.1%4.1%42.2%4.2%1.5%-349.7K-1.6M-391.2K0.399.48N/AN/A7,3722,856261,876240,040
2009-08-31$5.95$6.0043.5%12.5%52.2%4.5%43.1%4.4%1.8%-203.5K-9.4M-388.6K0.5514.65N/AN/A10,7725,948264,176240,432