GME Options History — November 2009

In November 2009, GME traded between $5.92 and $6.42. ATM implied volatility averaged 44.2%, placing in the 6.7% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 5.3% (HV 20d: 39.0%). Max pain ranged from $6.00 to $6.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.42.

Notable Days

  • 2009-11-19: Highest Volume — 92,632 contracts
  • 2009-11-19: Largest IV drop — 11.9% change
  • 2009-11-09: Highest IV Rank — 12.6%
  • 2009-11-03: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.16$5.92$6.42$6.05$6.10
Max Pain$6.29$6.00$6.50$6.50$6.25
ATM IV44.2%33.5%50.9%50.0%40.2%
Expected Move12.5%9.6%14.5%14.3%11.5%
HV 20d39.0%32.4%45.4%44.7%35.8%
HV 60d37.4%35.5%40.4%40.4%36.8%
IV Rank6.7%0.0%12.6%11.6%9.9%
IV Percentile17.8%0.0%37.3%31.3%2.4%
Term Structure-0.6%-2.8%2.3%-2.7%1.5%
VWIV43.6%34.1%50.0%49.8%41.1%
Skew 25d3.0%1.9%4.3%2.8%1.9%
Skew 10d5.7%2.2%10.5%5.3%4.1%
Call IV 25d42.7%32.9%49.8%49.5%39.6%
Put IV 25d45.7%35.5%52.6%52.3%41.5%
Bid-Ask Spread %15.0710.4320.7420.7412.28
Gamma HHI0.160.120.200.140.18
Net GEX1.7M860.0K3.2M990.2K1.9M
Net DEX-27.2M-65.5M-1.2M-11.3M-30.4M
Net VEX-301.5K-337.2K-273.1K-317.0K-273.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.090.930.140.93
Total Volume32,279.84,02092,63221,90086,336
Total OI467,560.6403,784581,020436,144414,768

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$6.05$6.5050.0%14.3%44.7%11.6%49.8%2.8%-2.7%990.2K-11.3M-317.0K0.1420.74N/AN/A19,1482,752285,540150,604
2009-11-03$6.00$6.5050.6%14.5%43.6%12.2%50.0%3.5%-1.8%1.1M-9.4M-316.0K0.9316.84N/AN/A3,3723,140295,224150,600
2009-11-04$5.93$6.5049.6%14.2%43.5%11.1%48.1%2.8%-2.8%1.2M-8.0M-314.6K0.7219.08N/AN/A6,2964,520310,748151,328
2009-11-05$6.05$6.5049.5%14.2%40.9%11.0%48.9%3.0%-2.1%860.0K-9.1M-307.8K0.0916.89N/AN/A13,4321,220282,852152,844
2009-11-06$6.16$6.2548.0%13.7%41.6%9.3%48.2%4.2%-1.6%1.1M-19.2M-316.1K0.0915.49N/AN/A12,5481,172292,580153,568
2009-11-09$6.38$6.2550.9%13.7%43.9%12.6%47.0%3.7%-0.8%1.5M-39.6M-337.2K0.1510.69N/AN/A38,5605,932304,544153,912
2009-11-10$6.29$6.2548.0%13.1%43.3%9.3%45.6%2.1%-0.3%2.0M-35.9M-328.9K0.3318.12N/AN/A19,8486,580327,136151,908
2009-11-11$6.11$6.2549.0%12.9%42.4%10.4%45.2%3.4%-1.7%1.7M-19.3M-311.0K0.2912.19N/AN/A29,0128,440333,080154,412
2009-11-12$6.16$6.2545.0%12.9%42.6%5.8%45.0%4.1%-1.4%1.7M-22.1M-305.2K0.1916.56N/AN/A11,2642,184326,120156,640
2009-11-13$5.92$6.2544.6%12.8%44.1%5.5%45.0%2.0%-0.3%1.2M-1.2M-276.1K0.2215.27N/AN/A39,3568,552326,320157,368
2009-11-16$6.10$6.2545.4%13.0%45.4%6.4%43.6%4.3%-2.0%1.8M-19.6M-293.0K0.3517.07N/AN/A21,3407,532345,452160,620
2009-11-17$5.99$6.2545.0%12.9%32.4%6.0%45.2%2.7%-0.6%1.5M-9.1M-281.0K0.7615.32N/AN/A16,81212,732343,616161,108
2009-11-18$6.02$6.2546.9%13.5%32.4%8.2%46.3%3.7%-2.6%1.6M-13.6M-284.6K0.5716.32N/AN/A55,98831,828349,516166,708
2009-11-19$6.13$6.0041.3%11.9%33.1%1.6%41.1%2.1%-0.1%3.2M-26.4M-278.6K0.1616.61N/AN/A79,65612,976384,616184,904
2009-11-20$6.37$6.2538.5%11.0%35.5%0.0%38.7%2.5%1.1%2.9M-65.5M-309.3K0.3017.47N/AN/A30,9809,428395,776185,244
2009-11-23$6.42$6.2537.3%10.7%33.7%0.0%37.5%3.0%1.0%2.1M-55.6M-301.5K0.4110.48N/AN/A13,6245,644278,776125,008
2009-11-24$6.32$6.2535.0%10.0%33.6%0.0%35.7%2.6%2.2%2.1M-47.1M-293.5K0.6511.08N/AN/A6,2404,048282,364127,668
2009-11-25$6.40$6.2533.5%9.6%33.2%0.0%34.1%2.5%2.3%2.2M-53.0M-294.6K0.5910.43N/AN/A5,7243,360283,192130,292
2009-11-27$6.33$6.2536.1%10.4%33.3%3.9%36.1%2.2%1.6%2.2M-48.3M-291.2K0.4212.54N/AN/A2,8281,192284,216130,040
2009-11-30$6.10$6.2540.2%11.5%35.8%9.9%41.1%1.9%1.5%1.9M-30.4M-273.1K0.9312.28N/AN/A44,83641,500284,672130,096