GME Options History — April 2010

In April 2010, GME traded between $5.60 and $6.37. ATM implied volatility averaged 36.9%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 12.3% (HV 20d: 24.6%). Max pain ranged from $4.75 to $6.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2010-04-15: Highest Volume — 137,420 contracts
  • 2010-04-15: Largest IV spike — 50.9% change
  • 2010-04-16: Highest IV Rank — 39.9%
  • 2010-04-16: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.04$5.60$6.37$5.60$6.08
Max Pain$5.71$4.75$6.00$4.75$6.00
ATM IV36.9%27.2%43.2%32.5%42.9%
Expected Move11.3%9.3%12.4%9.3%12.3%
HV 20d24.6%15.2%35.1%34.9%23.5%
HV 60d34.0%32.2%46.9%46.9%33.7%
IV Rank22.3%0.0%39.9%8.1%39.2%
IV Percentile20.3%0.0%44.0%4.0%44.0%
Term Structure-2.1%-4.8%5.4%5.4%-3.2%
VWIV39.8%32.0%45.5%32.0%43.8%
Skew 25d1.6%-1.1%4.3%2.8%1.6%
Skew 10d4.2%-1.6%12.6%12.6%3.8%
Call IV 25d39.4%32.0%46.4%32.0%43.8%
Put IV 25d41.0%34.7%45.4%34.7%45.4%
Bid-Ask Spread %13.998.2520.718.2515.69
Gamma HHI0.180.130.530.190.15
Net GEX4.2M2.2M8.4M5.2M2.4M
Net DEX-216.2M-301.1M-149.6M-212.1M-149.6M
Net VEX-645.8K-712.3K-602.3K-712.3K-666.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.102.630.342.63
Total Volume36,925.14311,868137,42019,73612,892
Total OI918,700.19692,2201,103,9601,069,880764,272

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$5.60$4.7532.5%9.3%34.9%8.1%32.0%2.8%5.4%5.2M-212.1M-712.3K0.348.25N/AN/A14,7804,956690,496379,384
2010-04-05$5.66$5.5035.0%10.9%34.8%14.7%38.1%3.1%-0.9%5.4M-223.4M-690.3K0.3010.65N/AN/A11,3283,404692,972378,404
2010-04-06$5.63$5.5032.4%10.6%35.1%7.7%38.5%2.9%-1.6%5.4M-216.9M-679.8K1.5613.60N/AN/A5,4688,548693,132380,072
2010-04-07$5.67$5.5033.5%10.8%33.0%10.6%37.9%2.7%-2.1%5.4M-228.2M-664.0K0.3016.07N/AN/A11,4763,468692,516381,432
2010-04-08$5.78$5.5032.6%11.0%33.1%8.2%38.3%2.9%-2.6%5.4M-247.0M-654.4K0.2816.04N/AN/A36,44810,380692,516381,432
2010-04-09$5.83$5.5029.8%11.3%28.5%0.8%39.6%3.1%-2.1%5.4M-259.9M-649.5K0.3216.47N/AN/A35,78811,360705,472385,976
2010-04-12$5.87$5.5033.7%11.4%27.8%11.2%39.5%3.1%-3.0%5.4M-269.9M-648.5K0.2310.56N/AN/A16,8643,860712,748389,268
2010-04-13$5.92$5.5032.1%10.9%27.8%6.9%39.2%4.3%-2.4%5.5M-274.3M-641.9K0.6815.01N/AN/A13,7169,344706,692389,800
2010-04-14$5.99$5.5027.2%10.8%27.6%0.0%38.1%3.2%-1.9%5.5M-284.9M-615.4K0.2718.13N/AN/A29,4447,864701,656395,356
2010-04-15$6.11$5.7541.1%11.8%27.4%34.6%41.3%1.5%-4.4%5.6M-301.1M-602.8K0.379.18N/AN/A100,51636,904693,904398,556
2010-04-16$6.20$5.7543.2%12.4%19.2%39.9%45.5%-1.1%-4.8%8.4M-292.7M-623.2K0.329.06N/AN/A68,51621,884685,772418,188
2010-04-19$6.33$5.7541.7%12.0%19.2%36.2%42.0%-0.3%-1.9%2.8M-188.6M-602.3K1.1110.65N/AN/A29,04032,264458,112234,108
2010-04-20$6.35$6.0040.0%11.5%18.6%31.8%40.1%0.8%-2.2%2.8M-186.8M-629.1K0.9813.35N/AN/A15,16014,788467,128249,144
2010-04-21$6.29$6.0038.5%11.0%18.2%28.2%39.1%-0.4%-1.9%2.8M-180.9M-637.8K0.7012.58N/AN/A11,3767,912472,176260,552
2010-04-22$6.26$6.0039.3%11.3%15.3%30.2%39.7%0.1%-2.1%2.6M-175.2M-646.9K1.0515.08N/AN/A5,7886,080469,344262,980
2010-04-23$6.30$6.0038.8%11.1%15.3%29.1%39.0%-0.2%-1.2%2.6M-178.8M-638.3K0.7412.74N/AN/A9,7207,164470,176267,784
2010-04-26$6.37$6.0039.0%11.2%15.2%29.3%39.1%-1.1%-3.0%2.7M-186.6M-630.3K1.5115.14N/AN/A10,18415,420470,484270,664
2010-04-27$6.13$6.0039.9%11.4%21.1%31.6%41.1%0.5%-1.8%2.4M-154.9M-655.1K0.7820.71N/AN/A14,62011,388468,148280,000
2010-04-28$6.18$6.0040.1%11.5%21.0%32.1%41.2%2.1%-3.7%2.3M-159.1M-650.1K1.6214.98N/AN/A23,59238,252462,000283,748
2010-04-29$6.25$6.0041.9%12.0%21.1%36.8%41.9%2.6%-3.1%2.2M-168.5M-623.0K0.1019.75N/AN/A39,6363,836455,784280,356
2010-04-30$6.08$6.0042.9%12.3%23.5%39.2%43.8%1.6%-3.2%2.4M-149.6M-666.5K2.6315.69N/AN/A3,5529,340477,160287,112