GME Options History — January 2010

In January 2010, GME traded between $4.91 and $6.01. ATM implied volatility averaged 36.3%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 21.8% (HV 20d: 58.1%). Max pain ranged from $5.00 to $5.25. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.68.

Notable Days

  • 2010-01-07: Highest Volume — 260,120 contracts
  • 2010-01-19: Largest IV drop — 10.9% change
  • 2010-01-06: Highest IV Rank — 18.8%
  • 2010-01-07: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.20$4.91$6.01$5.72$4.94
Max Pain$5.05$5.00$5.25$5.25$5.00
ATM IV36.3%31.5%44.9%40.8%34.2%
Expected Move10.4%9.0%12.5%11.4%9.8%
HV 20d58.1%28.5%65.0%28.5%63.5%
HV 60d47.8%40.2%51.9%40.8%47.6%
IV Rank6.2%0.0%18.8%12.0%4.3%
IV Percentile6.0%0.0%28.2%7.5%3.6%
Term Structure3.5%0.9%6.0%3.5%3.7%
VWIV36.3%31.7%43.6%40.2%34.0%
Skew 25d3.1%1.4%4.7%3.9%4.7%
Skew 10d5.6%-1.7%13.2%7.8%-1.7%
Call IV 25d35.3%31.4%42.5%38.6%32.1%
Put IV 25d38.4%33.5%44.6%42.6%36.8%
Bid-Ask Spread %14.469.9821.9610.8114.54
Gamma HHI0.190.110.400.400.16
Net GEX1.3M406.2K4.1M3.2M708.0K
Net DEX-7.0M-75.7M27.2M-25.8M-3.3M
Net VEX-327.3K-412.8K-189.8K-233.6K-398.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.221.530.271.19
Total Volume56,448.42111,476260,12048,42012,740
Total OI576,219.368375,620794,900496,352518,848

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-01-04$5.72$5.2540.8%11.4%28.5%12.0%40.2%3.9%3.5%3.2M-25.8M-233.6K0.2710.81N/AN/A38,00410,416346,356149,996
2010-01-05$5.88$5.2543.7%11.7%29.6%16.9%41.5%4.2%2.6%3.6M-51.6M-251.4K0.2514.80N/AN/A61,80815,360369,544154,772
2010-01-06$6.01$5.2544.9%11.5%29.1%18.8%40.5%3.0%3.5%4.1M-75.7M-280.5K0.3010.42N/AN/A34,64010,232403,068159,280
2010-01-07$5.12$5.2542.7%12.5%65.0%15.3%43.6%2.1%0.9%1.2M27.2M-189.8K0.5819.31N/AN/A164,60895,512412,152159,944
2010-01-08$5.07$5.0038.6%11.6%64.5%8.5%40.5%2.0%2.7%924.1K23.4M-272.9K1.2415.89N/AN/A38,46847,684485,124208,352
2010-01-11$5.08$5.0038.4%11.9%64.1%8.0%41.0%3.6%2.3%406.2K24.4M-269.1K0.4511.67N/AN/A25,79611,604484,988227,356
2010-01-12$5.19$5.0037.2%10.6%63.9%6.1%37.4%1.4%3.8%1.1M9.8M-287.8K0.4715.49N/AN/A73,52834,580498,404231,596
2010-01-13$5.20$5.0034.6%10.5%63.1%1.8%36.7%1.6%5.2%1.3M-38.8K-348.6K0.2214.96N/AN/A19,1484,292547,624247,276
2010-01-14$5.13$5.0037.5%10.8%63.2%6.7%36.5%3.2%3.5%640.6K9.9M-336.4K0.4421.96N/AN/A30,89613,604543,016246,512
2010-01-15$5.13$5.0035.5%10.2%63.1%3.4%35.0%2.7%6.0%873.7K7.5M-331.1K0.5610.80N/AN/A17,6009,908547,984243,852
2010-01-19$5.20$5.0031.7%9.1%63.3%0.0%32.6%2.9%4.3%1.2M-23.4M-325.9K1.2516.85N/AN/A29,96837,528245,280130,340
2010-01-20$5.13$5.0031.5%9.0%63.4%0.0%31.7%2.0%3.4%1.1M-17.2M-354.7K1.5317.65N/AN/A23,19635,432266,192153,812
2010-01-21$5.11$5.0032.6%9.3%63.3%1.7%32.8%3.6%3.2%988.8K-16.6M-386.0K0.7311.44N/AN/A18,20413,340287,044177,756
2010-01-22$5.01$5.0033.3%9.5%63.3%2.8%32.6%3.5%2.6%725.6K-6.6M-385.9K1.459.98N/AN/A16,10023,368293,680184,604
2010-01-25$4.98$5.0033.5%9.6%63.3%3.1%33.6%4.2%2.7%638.8K-3.8M-372.5K0.3812.87N/AN/A17,7366,664291,512187,756
2010-01-26$4.91$5.0032.9%9.4%63.4%2.2%33.2%4.3%4.7%553.1K1.7M-377.7K0.4613.95N/AN/A33,05215,252306,900193,208
2010-01-27$4.99$5.0033.0%9.5%63.5%2.3%32.7%2.4%4.4%781.1K-7.4M-412.8K0.4018.00N/AN/A14,8845,892324,852200,716
2010-01-28$4.96$5.0033.7%9.7%63.5%3.4%34.1%2.9%3.9%741.9K-5.7M-403.9K0.8013.27N/AN/A6,3725,104318,452200,020
2010-01-29$4.94$5.0034.2%9.8%63.5%4.3%34.0%4.7%3.7%708.0K-3.3M-398.8K1.1914.54N/AN/A5,8286,912319,020199,828