GME Options History — December 2009 In December 2009, GME traded between $5.21 and $5.96. ATM implied volatility averaged 40.2%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 3.6% (HV 20d: 43.9%). Max pain ranged from $5.63 to $6.25. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.56.
Notable Days 2009-12-02 : Highest Volume — 111,476 contracts2009-12-02 : Largest IV spike — 11.4% change2009-12-10 : Highest IV Rank — 19.3%2009-12-08 : Largest Expected Move — 13.2%Monthly Statistics Metric Avg Min Max Open Close Price $5.51 $5.21 $5.96 $5.96 $5.49 Max Pain $5.70 $5.63 $6.25 $6.25 $5.63 ATM IV 40.2% 34.7% 45.2% 37.6% 35.2% Expected Move 11.6% 9.9% 13.2% 10.8% 10.1% HV 20d 43.9% 26.1% 48.1% 36.7% 26.1% HV 60d 40.4% 37.2% 41.2% 37.2% 39.7% IV Rank 10.9% 1.9% 19.3% 6.1% 2.8% IV Percentile 8.8% 0.4% 25.0% 1.6% 1.2% Term Structure 2.1% -1.2% 5.4% 2.1% 3.4% VWIV 41.0% 35.1% 45.9% 38.6% 37.2% Skew 25d 2.9% 1.3% 5.2% 2.4% 1.8% Skew 10d 4.8% -1.9% 8.0% 1.6% -1.9% Call IV 25d 40.0% 34.2% 44.8% 37.7% 36.6% Put IV 25d 42.9% 37.8% 48.1% 40.1% 38.4% Bid-Ask Spread % 7.57 5.12 10.82 8.24 5.85 Gamma HHI 0.33 0.18 0.87 0.24 0.46 Net GEX 628.7K -13.1M 2.6M 1.3M 2.5M Net DEX 3.9M -18.5M 37.1M -18.5M -3.5M Net VEX -250.9K -292.5K -220.2K -292.5K -225.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.56 0.11 1.59 0.32 0.20 Total Volume 21,865.455 3,400 111,476 18,080 11,652 Total OI 526,640.545 457,564 601,648 472,080 491,872
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 2009-12-01 $5.96 $6.25 37.6% 10.8% 36.7% 6.1% 38.6% 2.4% 2.1% 1.3M -18.5M -292.5K 0.32 8.24 N/A N/A 13,736 4,344 308,296 163,784 2009-12-02 $5.47 $6.25 41.9% 12.0% 47.7% 13.2% 43.0% 3.6% 2.8% 517.4K 17.9M -246.0K 0.56 9.07 N/A N/A 71,400 40,076 312,144 165,048 2009-12-03 $5.34 $6.00 45.1% 12.9% 48.1% 18.6% 43.4% 5.2% -1.2% 596.0K 23.6M -254.3K 1.01 7.32 N/A N/A 12,992 13,128 345,736 182,404 2009-12-04 $5.33 $5.63 42.4% 12.8% 47.3% 14.2% 44.1% 3.5% 2.6% 444.5K 27.5M -247.9K 0.76 7.83 N/A N/A 15,648 11,908 346,184 187,620 2009-12-07 $5.48 $5.63 41.9% 12.6% 48.1% 13.4% 44.1% 3.5% 1.4% 635.9K 15.7M -267.4K 0.43 7.74 N/A N/A 8,540 3,656 354,012 193,376 2009-12-08 $5.34 $5.63 45.0% 13.2% 46.1% 18.4% 45.8% 2.9% 1.1% 524.1K 26.1M -247.2K 0.64 9.19 N/A N/A 12,396 7,964 356,632 193,624 2009-12-09 $5.21 $5.63 44.9% 12.9% 46.5% 18.2% 45.2% 2.2% 1.2% 449.5K 37.1M -222.5K 0.41 5.60 N/A N/A 15,560 6,356 362,544 194,700 2009-12-10 $5.29 $5.63 45.2% 13.0% 46.7% 19.3% 45.9% 3.5% 1.8% 551.6K 30.5M -235.0K 0.11 6.50 N/A N/A 36,784 4,164 370,148 195,368 2009-12-11 $5.43 $5.63 45.0% 12.9% 47.9% 19.0% 43.8% 3.3% 0.1% 901.8K 12.2M -284.1K 0.31 8.29 N/A N/A 24,568 7,736 397,732 197,704 2009-12-14 $5.57 $5.63 42.7% 12.2% 47.5% 15.2% 43.9% 1.9% 2.7% 1.0M -4.4M -284.5K 0.34 10.82 N/A N/A 10,752 3,672 403,548 198,100 2009-12-15 $5.58 $5.63 42.9% 12.3% 46.0% 15.5% 43.9% 2.5% 2.6% 818.8K -2.8M -277.2K 1.16 8.76 N/A N/A 5,988 6,916 399,404 196,688 2009-12-16 $5.61 $5.63 41.6% 11.9% 45.9% 13.4% 42.4% 2.0% 3.3% 505.2K -6.6M -278.6K 0.90 8.46 N/A N/A 5,168 4,676 399,468 199,380 2009-12-17 $5.66 $5.63 41.5% 11.9% 46.0% 13.3% 42.2% 3.4% 2.7% -46.5K -13.8M -276.0K 0.55 9.70 N/A N/A 12,688 6,936 399,672 198,028 2009-12-18 $5.62 $5.63 40.0% 11.5% 45.4% 10.8% 41.2% 2.4% 5.4% -13.1M -5.7M -268.1K 0.53 8.07 N/A N/A 16,904 8,976 402,760 196,540 2009-12-21 $5.66 $5.63 37.4% 10.7% 42.6% 6.4% 37.1% 4.5% 0.5% 2.3M -17.6M -250.9K 0.17 5.12 N/A N/A 11,516 1,976 323,300 137,192 2009-12-22 $5.55 $5.63 35.5% 10.2% 42.5% 3.3% 37.4% 3.4% 3.0% 2.2M -7.7M -234.7K 0.88 9.61 N/A N/A 5,816 5,092 320,388 137,176 2009-12-23 $5.50 $5.63 34.7% 9.9% 42.4% 1.9% 35.1% 3.6% 3.3% 2.1M -2.5M -227.9K 0.32 6.17 N/A N/A 6,028 1,900 322,216 140,144 2009-12-24 $5.50 $5.63 35.4% 10.1% 41.9% 3.1% 36.8% 2.8% 1.4% 2.2M -2.9M -229.0K 1.59 5.18 N/A N/A 1,312 2,088 324,864 141,124 2009-12-28 $5.56 $5.63 37.0% 10.6% 42.3% 5.8% 37.0% 3.0% 2.2% 2.4M -6.3M -220.7K 0.15 6.50 N/A N/A 8,092 1,200 325,324 142,380 2009-12-29 $5.54 $5.63 35.9% 10.3% 40.8% 4.0% 36.9% 1.6% 2.6% 2.4M -5.6M -220.2K 0.44 6.03 N/A N/A 14,160 6,224 328,300 142,724 2009-12-30 $5.54 $5.63 36.2% 10.4% 40.2% 4.5% 36.1% 1.3% 2.2% 2.6M -6.8M -230.2K 0.47 6.42 N/A N/A 7,060 3,292 340,052 148,392 2009-12-31 $5.49 $5.63 35.2% 10.1% 26.1% 2.8% 37.2% 1.8% 3.4% 2.5M -3.5M -225.8K 0.20 5.85 N/A N/A 9,684 1,968 342,708 149,164
« Nov 2009 | All History | Jan 2010 » Home GME History December 2009