GME Options History — February 2010

In February 2010, GME traded between $4.30 and $5.13. ATM implied volatility averaged 33.6%, placing in the 6.1% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 0.2% (HV 20d: 33.9%). 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 0.69.

Notable Days

  • 2010-02-25: Highest Volume — 199,804 contracts
  • 2010-02-04: Largest IV spike — 15.6% change
  • 2010-02-11: Highest IV Rank — 11.6%
  • 2010-02-09: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.81$4.30$5.13$4.98$4.30
Max Pain$5.01$5.00$5.25$5.00$5.00
ATM IV33.6%29.5%37.0%35.0%35.3%
Expected Move9.9%8.4%11.3%10.0%10.1%
HV 20d33.9%19.8%63.7%63.7%35.5%
HV 60d47.0%45.6%47.8%47.6%47.4%
IV Rank6.1%0.0%11.6%5.6%9.0%
IV Percentile5.2%0.0%11.1%5.2%10.7%
Term Structure4.0%2.4%5.5%2.4%3.2%
VWIV34.5%30.0%40.6%35.4%34.3%
Skew 25d2.9%-0.1%5.2%4.5%1.5%
Skew 10d5.7%-6.7%17.1%5.6%-3.3%
Call IV 25d33.7%29.7%38.7%32.6%35.0%
Put IV 25d36.6%31.8%42.8%37.0%36.5%
Bid-Ask Spread %16.8310.4124.4111.1111.93
Gamma HHI0.180.120.240.170.12
Net GEX657.4K2.4K1.7M824.1K58.3K
Net DEX4.7M-26.8M36.3M-7.0M36.3M
Net VEX-400.1K-431.0K-339.3K-396.7K-407.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.072.150.332.15
Total Volume39,826.10511,768199,80429,94059,084
Total OI591,659.368523,444683,652523,444683,652

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-02-01$4.98$5.0035.0%10.0%63.7%5.6%35.4%4.5%2.4%824.1K-7.0M-396.7K0.3311.11N/AN/A22,5447,396321,308202,136
2010-02-02$5.06$5.0031.7%9.1%61.6%0.3%31.6%3.2%4.2%1.4M-19.4M-408.1K0.2210.41N/AN/A22,6365,088338,332202,068
2010-02-03$5.13$5.0029.5%8.4%60.9%0.0%30.1%1.8%5.2%1.7M-26.8M-414.4K0.1712.79N/AN/A27,9484,800339,936204,360
2010-02-04$5.03$5.0034.1%9.8%60.1%7.1%34.1%2.7%2.6%1.5M-18.0M-413.8K0.3310.88N/AN/A13,1604,340351,656205,760
2010-02-05$5.04$5.2532.9%10.5%19.8%5.3%36.6%3.4%4.2%1.5M-17.9M-414.0K1.0120.24N/AN/A10,46010,564354,728206,844
2010-02-08$4.92$5.0031.9%10.7%21.2%3.8%37.3%3.8%4.0%1.1M-4.2M-392.4K0.8717.03N/AN/A9,8648,556359,560209,608
2010-02-09$4.71$5.0035.9%11.3%26.2%9.9%40.6%4.2%2.9%384.7K19.4M-356.5K1.1216.39N/AN/A31,18834,792361,236215,664
2010-02-10$4.79$5.0033.0%11.0%25.8%5.5%37.8%5.2%4.0%495.0K11.1M-386.6K0.2116.57N/AN/A37,1407,696370,296231,532
2010-02-11$4.84$5.0037.0%10.6%26.2%11.6%35.5%4.4%3.4%561.6K6.3M-405.5K0.3121.75N/AN/A12,8363,936385,076233,732
2010-02-12$4.79$5.0036.5%10.5%26.0%10.9%35.4%3.9%4.6%405.0K12.9M-393.4K0.8122.68N/AN/A9,4367,672389,572236,988
2010-02-16$4.75$5.0035.7%10.2%26.1%9.6%37.2%3.1%4.4%185.4K20.3M-366.7K0.3919.07N/AN/A38,85614,996386,468240,064
2010-02-17$4.82$5.0035.5%10.2%26.1%9.3%34.5%3.4%3.7%360.5K8.8M-416.3K0.3817.13N/AN/A19,7007,436410,080245,940
2010-02-18$4.86$5.0033.3%9.6%26.1%6.0%33.0%2.7%3.7%526.8K2.3M-431.0K1.5915.63N/AN/A4,5487,220422,420246,548
2010-02-19$4.83$5.0032.0%9.2%26.1%3.9%32.0%2.1%4.3%483.1K6.6M-422.1K0.4919.80N/AN/A32,71615,936424,176246,824
2010-02-22$4.77$5.0032.0%9.2%25.6%3.9%30.0%3.0%4.0%462.8K4.0M-416.3K1.2124.41N/AN/A9,36411,352337,984203,800
2010-02-23$4.72$5.0032.1%9.2%25.8%4.1%33.7%-0.1%5.1%330.3K9.1M-411.8K0.7018.24N/AN/A10,7567,516340,664208,088
2010-02-24$4.71$5.0030.7%8.8%25.4%1.9%30.5%2.2%5.5%339.4K10.9M-408.9K0.0718.61N/AN/A23,6121,748345,416211,352
2010-02-25$4.38$5.0034.8%10.0%35.3%8.3%36.0%0.8%4.4%2.4K33.9M-339.3K0.7415.17N/AN/A114,66485,140356,320211,340
2010-02-26$4.30$5.0035.3%10.1%35.5%9.0%34.3%1.5%3.2%58.3K36.3M-407.4K2.1511.93N/AN/A18,75640,328421,596262,056