GME Options History — September 2009 In September 2009, GME traded between $5.83 and $6.70. ATM implied volatility averaged 43.1%, placing in the 2.9% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 6.0% (HV 20d: 37.2%). Max pain ranged from $6.00 to $6.25. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.88.
Notable Days 2009-09-18 : Highest Volume — 158,036 contracts2009-09-03 : Largest IV drop — 5.9% change2009-09-02 : Highest IV Rank — 6.7%2009-09-02 : Largest Expected Move — 13.3%Monthly Statistics Metric Avg Min Max Open Close Price $6.37 $5.83 $6.70 $5.83 $6.62 Max Pain $6.21 $6.00 $6.25 $6.00 $6.25 ATM IV 43.1% 41.1% 46.4% 45.8% 41.1% Expected Move 12.5% 11.8% 13.3% 13.1% 11.8% HV 20d 37.2% 27.3% 47.2% 46.9% 27.9% HV 60d 42.2% 40.1% 43.0% 42.8% 40.1% IV Rank 2.9% 0.5% 6.7% 5.9% 0.5% IV Percentile 4.8% 0.4% 13.9% 11.1% 0.4% Term Structure 3.6% -0.3% 6.9% -0.3% 6.9% VWIV 44.1% 41.2% 47.9% 42.0% 41.2% Skew 25d 4.4% 2.5% 6.4% 4.2% 2.7% Skew 10d 8.6% 3.5% 13.5% 13.5% 6.0% Call IV 25d 41.6% 39.8% 43.3% 41.8% 39.8% Put IV 25d 46.0% 42.5% 49.5% 46.0% 42.5% Bid-Ask Spread % 12.79 9.92 16.36 10.90 11.57 Gamma HHI 0.22 0.09 0.54 0.11 0.27 Net GEX 2.0M -364.8K 5.3M -364.8K 2.9M Net DEX -54.9M -117.0M 183.1K 183.1K -71.3M Net VEX -358.9K -391.6K -317.7K -383.2K -337.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.88 0.09 2.62 0.20 2.46 Total Volume 31,528.952 5,232 158,036 17,404 12,524 Total OI 533,903.619 478,568 597,928 510,576 516,548
Daily Data (21 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 2009-09-01 $5.83 $6.00 45.8% 13.1% 46.9% 5.9% 42.0% 4.2% -0.3% -364.8K 183.1K -383.2K 0.20 10.90 N/A N/A 14,460 2,944 267,904 242,672 2009-09-02 $5.87 $6.00 46.4% 13.3% 46.9% 6.7% 45.4% 6.2% 0.0% -174.0K -4.4M -389.0K 0.16 12.30 N/A N/A 16,816 2,672 277,064 243,044 2009-09-03 $5.99 $6.00 43.6% 12.5% 47.2% 3.5% 45.3% 4.7% 2.2% 224.6K -17.0M -391.6K 1.85 12.31 N/A N/A 5,096 9,412 285,812 243,552 2009-09-04 $6.01 $6.25 42.4% 12.9% 46.2% 2.0% 44.9% 6.4% 3.3% 111.7K -17.4M -389.6K 1.02 11.95 N/A N/A 2,596 2,636 286,076 251,212 2009-09-08 $6.23 $6.25 41.1% 12.5% 45.7% 0.6% 46.8% 5.1% 3.7% 711.5K -41.7M -372.6K 1.35 15.02 N/A N/A 28,012 37,836 286,492 250,504 2009-09-09 $6.26 $6.25 41.5% 12.6% 45.1% 1.0% 47.8% 5.2% 4.1% 1.4M -48.0M -375.8K 1.80 15.01 N/A N/A 14,924 26,864 306,520 249,056 2009-09-10 $6.25 $6.25 43.3% 12.4% 42.9% 3.1% 43.1% 5.2% 4.0% 1.6M -47.0M -357.1K 0.45 15.88 N/A N/A 8,576 3,820 305,484 242,600 2009-09-11 $6.17 $6.25 42.8% 12.3% 41.8% 2.5% 43.9% 5.0% 3.7% 1.4M -38.9M -354.0K 1.44 16.02 N/A N/A 3,004 4,340 308,148 243,256 2009-09-14 $6.40 $6.25 43.3% 12.4% 44.0% 3.1% 43.1% 4.6% 3.3% 2.3M -67.0M -338.8K 0.09 15.33 N/A N/A 109,444 10,344 308,560 243,992 2009-09-15 $6.33 $6.25 45.2% 13.0% 39.9% 5.3% 45.8% 4.7% 1.8% 3.2M -62.7M -342.2K 0.35 10.34 N/A N/A 8,024 2,776 339,424 244,976 2009-09-16 $6.46 $6.25 43.5% 12.5% 39.4% 3.3% 45.1% 4.3% 3.1% 3.6M -75.4M -337.4K 0.20 16.36 N/A N/A 37,916 7,468 332,564 245,468 2009-09-17 $6.45 $6.25 42.5% 12.2% 38.5% 2.2% 47.9% 5.7% 4.1% 5.3M -84.2M -335.2K 0.62 13.22 N/A N/A 11,416 7,060 351,892 246,036 2009-09-18 $6.70 $6.25 44.5% 12.8% 29.1% 4.4% 44.8% 4.5% 1.9% 4.2M -117.0M -317.7K 0.22 10.73 N/A N/A 129,040 28,996 345,636 244,148 2009-09-21 $6.57 $6.25 44.3% 12.7% 29.8% 4.3% 44.2% 4.3% 4.2% 1.9M -62.3M -362.1K 0.69 10.30 N/A N/A 20,568 14,232 297,728 180,840 2009-09-22 $6.56 $6.25 42.9% 12.3% 27.6% 2.6% 42.9% 3.6% 4.8% 2.1M -63.0M -371.7K 0.34 12.25 N/A N/A 6,060 2,044 309,260 189,540 2009-09-23 $6.67 $6.25 42.5% 12.2% 27.3% 2.2% 42.5% 3.6% 4.4% 2.3M -73.4M -366.0K 0.72 12.24 N/A N/A 12,904 9,288 310,668 189,692 2009-09-24 $6.56 $6.25 42.9% 12.3% 28.7% 2.6% 43.7% 2.5% 5.2% 2.3M -64.2M -363.5K 2.62 10.23 N/A N/A 3,488 9,136 314,516 187,160 2009-09-25 $6.51 $6.25 41.2% 11.8% 28.7% 0.6% 42.0% 4.3% 6.6% 2.2M -58.0M -361.3K 0.34 12.48 N/A N/A 4,828 1,620 315,228 191,580 2009-09-28 $6.55 $6.25 43.0% 12.3% 28.3% 2.7% 42.6% 3.5% 5.0% 2.4M -62.1M -348.5K 1.25 14.28 N/A N/A 4,616 5,752 317,724 192,052 2009-09-29 $6.70 $6.25 41.8% 12.0% 28.8% 1.3% 41.5% 2.5% 4.5% 2.7M -77.5M -341.5K 0.32 9.92 N/A N/A 14,020 4,536 315,684 191,664 2009-09-30 $6.62 $6.25 41.1% 11.8% 27.9% 0.5% 41.2% 2.7% 6.9% 2.9M -71.3M -337.5K 2.46 11.57 N/A N/A 3,620 8,904 324,776 191,772
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