GME Options History — March 2010 In March 2010, GME traded between $4.37 and $5.55. ATM implied volatility averaged 44.1%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 5.1% (HV 20d: 39.0%). Max pain ranged from $4.75 to $5.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 0.77.
Notable Days 2010-03-11 : Highest Volume — 414,732 contracts2010-03-18 : Largest IV drop — 23.6% change2010-03-10 : Highest IV Rank — 66.2%2010-03-11 : Largest Expected Move — 14.6%Monthly Statistics Metric Avg Min Max Open Close Price $4.98 $4.37 $5.55 $4.37 $5.48 Max Pain $4.77 $4.75 $5.00 $5.00 $4.75 ATM IV 44.1% 31.6% 64.0% 47.0% 31.6% Expected Move 12.0% 9.1% 14.6% 13.5% 9.1% HV 20d 39.0% 34.3% 47.0% 36.5% 35.0% HV 60d 46.0% 44.0% 47.8% 47.4% 47.0% IV Rank 26.3% 5.6% 66.2% 27.2% 5.6% IV Percentile 41.8% 1.2% 92.9% 54.8% 1.2% Term Structure -1.8% -9.1% 6.0% -6.7% 6.0% VWIV 42.6% 32.4% 51.6% 46.5% 35.7% Skew 25d 2.2% 0.2% 4.2% 2.3% 2.6% Skew 10d 4.9% -0.4% 11.1% 5.5% 11.0% Call IV 25d 41.6% 32.6% 50.7% 45.6% 32.6% Put IV 25d 43.8% 35.2% 53.3% 47.9% 35.2% Bid-Ask Spread % 11.90 7.32 16.67 9.88 7.44 Gamma HHI 0.18 0.12 0.30 0.12 0.19 Net GEX 3.0M 140.7K 5.9M 140.7K 5.1M Net DEX -94.1M -204.3M 31.8M 31.8M -183.0M Net VEX -706.2K -836.5K -456.7K -456.7K -740.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.77 0.20 1.85 1.05 1.02 Total Volume 81,539.826 10,480 414,732 53,504 11,184 Total OI 1,025,784.348 720,344 1,268,884 720,344 1,068,548
Daily Data (23 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 2010-03-01 $4.37 $5.00 47.0% 13.5% 36.5% 27.2% 46.5% 2.3% -6.7% 140.7K 31.8M -456.7K 1.05 9.88 N/A N/A 26,068 27,436 431,144 289,200 2010-03-02 $4.37 $4.75 46.3% 13.3% 36.2% 26.1% 45.6% 3.3% -6.5% 154.9K 30.2M -475.2K 0.30 9.62 N/A N/A 9,284 2,800 448,176 308,672 2010-03-03 $4.46 $4.75 46.8% 13.4% 36.7% 26.9% 48.1% 1.6% -6.0% 423.5K 18.0M -503.1K 0.40 13.53 N/A N/A 74,248 29,856 451,028 307,664 2010-03-04 $4.45 $4.75 49.0% 14.0% 35.9% 30.2% 49.8% 3.9% -7.3% 656.5K 16.1M -551.3K 1.85 11.71 N/A N/A 8,680 16,088 497,392 325,036 2010-03-05 $4.52 $5.00 48.7% 11.5% 36.5% 29.9% 39.3% 3.6% 0.3% 701.9K 8.1M -573.8K 0.20 14.79 N/A N/A 61,276 12,088 498,952 334,180 2010-03-08 $4.62 $4.75 50.7% 12.0% 37.6% 32.9% 41.7% 3.0% -2.1% 1.0M -7.3M -586.4K 1.05 13.33 N/A N/A 33,356 35,080 498,232 339,076 2010-03-09 $4.51 $4.75 62.0% 13.1% 37.6% 50.4% 45.2% 2.6% -4.4% 642.3K 7.4M -575.3K 0.49 10.30 N/A N/A 175,432 86,572 513,676 353,472 2010-03-10 $4.57 $4.75 64.0% 13.0% 34.7% 66.2% 46.3% 2.3% -5.5% 1.4M -12.8M -717.5K 1.11 13.36 N/A N/A 23,664 26,248 651,528 410,160 2010-03-11 $4.84 $4.75 51.1% 14.6% 39.9% 41.4% 51.5% 1.9% -9.1% 2.3M -70.7M -796.5K 0.65 16.67 N/A N/A 250,956 163,776 670,648 427,792 2010-03-12 $4.80 $4.75 48.5% 13.9% 39.8% 36.4% 49.2% 0.5% -5.3% 2.5M -67.6M -836.5K 0.75 15.06 N/A N/A 42,432 31,804 730,440 458,032 2010-03-15 $4.85 $4.75 49.5% 14.2% 39.8% 38.3% 50.4% 1.6% -7.3% 2.8M -79.1M -825.5K 0.78 11.84 N/A N/A 29,580 23,200 737,832 464,036 2010-03-16 $4.85 $4.75 49.0% 14.1% 39.6% 37.5% 49.8% 2.2% -7.0% 3.0M -80.6M -816.9K 1.07 15.68 N/A N/A 14,604 15,556 747,200 464,700 2010-03-17 $4.96 $4.75 50.1% 14.4% 40.1% 40.6% 51.6% 2.9% -8.2% 3.4M -108.8M -825.9K 1.47 13.79 N/A N/A 68,892 101,088 749,608 462,228 2010-03-18 $5.29 $4.75 38.3% 11.0% 45.7% 17.8% 38.7% 0.4% 0.4% 5.6M -204.3M -798.8K 0.46 15.95 N/A N/A 134,180 62,176 767,336 494,736 2010-03-19 $5.28 $4.75 37.4% 10.7% 45.7% 16.0% 39.3% 2.5% 1.6% 5.9M -196.3M -799.6K 1.03 11.39 N/A N/A 30,516 31,468 766,544 502,340 2010-03-22 $5.40 $4.75 36.0% 10.3% 45.7% 13.1% 36.3% 1.6% 2.8% 4.4M -168.8M -759.3K 0.37 8.13 N/A N/A 58,796 22,000 648,744 382,908 2010-03-23 $5.55 $4.75 35.6% 10.2% 45.8% 12.4% 36.5% 1.0% 3.6% 5.0M -200.0M -765.8K 0.45 9.32 N/A N/A 30,872 13,844 676,600 381,100 2010-03-24 $5.43 $4.75 36.0% 10.3% 47.0% 13.1% 37.1% 0.9% 2.9% 4.8M -176.9M -791.3K 1.30 7.32 N/A N/A 7,844 10,228 685,480 385,516 2010-03-25 $5.45 $4.75 35.1% 10.1% 35.9% 12.0% 32.4% 0.2% 4.4% 4.9M -178.8M -779.6K 0.20 9.80 N/A N/A 23,156 4,708 687,484 382,512 2010-03-26 $5.50 $4.75 33.0% 9.5% 34.3% 8.7% 36.2% 2.1% 4.4% 5.0M -186.3M -761.8K 0.86 10.44 N/A N/A 9,260 7,928 682,560 381,776 2010-03-29 $5.44 $4.75 34.2% 9.8% 35.2% 11.5% 36.1% 2.4% 4.6% 5.0M -177.4M -752.8K 0.46 12.03 N/A N/A 11,472 5,240 685,400 377,900 2010-03-30 $5.46 $4.75 33.9% 9.7% 35.1% 10.8% 35.3% 4.2% 4.3% 5.0M -178.0M -753.1K 0.48 12.23 N/A N/A 7,104 3,376 687,184 378,268 2010-03-31 $5.48 $4.75 31.6% 9.1% 35.0% 5.6% 35.7% 2.6% 6.0% 5.1M -183.0M -740.3K 1.02 7.44 N/A N/A 5,536 5,648 690,032 378,516
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