GME Options History — May 2010

In May 2010, GME traded between $5.16 and $6.29. ATM implied volatility averaged 51.9%, placing in the 61.8% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded above realized volatility by 15.3% (HV 20d: 36.6%). Max pain ranged from $5.25 to $6.25. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.81.

Notable Days

  • 2010-05-14: Highest Volume — 110,312 contracts
  • 2010-05-13: Largest IV drop — 24.3% change
  • 2010-05-12: Highest IV Rank — 88.6%
  • 2010-05-18: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.64$5.16$6.29$6.29$5.70
Max Pain$5.74$5.25$6.25$6.00$5.50
ATM IV51.9%38.8%62.6%46.2%39.1%
Expected Move14.1%11.1%16.4%13.3%11.2%
HV 20d36.6%25.6%46.4%25.6%45.6%
HV 60d35.4%33.8%37.5%33.9%36.5%
IV Rank61.8%28.8%88.6%47.5%29.6%
IV Percentile77.6%27.0%98.8%63.9%28.2%
Term Structure-3.8%-8.5%1.9%-5.8%1.9%
VWIV49.5%38.9%56.6%47.0%38.9%
Skew 25d7.1%1.8%11.6%1.8%5.4%
Skew 10d13.1%4.6%20.8%4.9%11.0%
Call IV 25d46.8%37.6%55.9%46.3%37.7%
Put IV 25d54.0%42.9%62.1%48.1%43.1%
Bid-Ask Spread %7.025.2310.905.235.68
Gamma HHI0.170.140.210.150.19
Net GEX2.3M1.5M2.8M2.6M2.5M
Net DEX-95.6M-176.2M-26.0M-176.2M-111.1M
Net VEX-645.9K-686.6K-594.4K-632.8K-594.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.161.930.570.71
Total Volume31,9264,556110,31214,1564,556
Total OI806,334.2725,648941,496759,092748,152

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$6.29$6.0046.2%13.3%25.6%47.5%47.0%1.8%-5.8%2.6M-176.2M-632.8K0.575.23N/AN/A8,9965,160476,892282,200
2010-05-04$6.18$6.0050.4%14.5%26.5%58.0%52.4%2.8%-7.7%2.5M-162.5M-662.7K1.936.33N/AN/A6,28812,164478,672281,256
2010-05-05$6.13$6.0052.7%15.1%26.9%63.8%53.0%3.3%-8.5%2.4M-153.4M-656.9K0.708.05N/AN/A9,2846,484479,400280,980
2010-05-06$5.79$6.0056.3%16.1%33.6%72.8%56.6%4.0%-8.5%2.2M-111.8M-680.3K1.1010.90N/AN/A18,30420,076480,776280,984
2010-05-07$5.64$6.2561.2%14.5%34.7%84.9%51.3%6.7%-3.7%1.9M-90.3M-686.6K1.007.62N/AN/A11,68011,624483,860291,160
2010-05-10$5.83$6.2560.5%13.8%36.5%83.2%46.4%7.3%-3.4%2.2M-112.5M-662.5K1.317.27N/AN/A10,80414,176485,400292,580
2010-05-11$5.74$6.2562.3%13.7%36.8%87.7%49.8%7.5%-3.8%2.2M-102.9M-660.1K1.455.59N/AN/A12,60818,328490,120291,320
2010-05-12$5.79$6.2562.6%13.8%36.6%88.6%47.1%5.5%-4.4%2.3M-111.8M-659.0K0.167.57N/AN/A48,7687,844493,840296,620
2010-05-13$5.67$5.5047.4%13.6%36.3%50.4%45.9%6.3%-4.3%2.5M-99.4M-663.4K0.237.12N/AN/A18,9564,404527,212296,880
2010-05-14$5.46$5.5053.4%15.3%37.4%65.4%55.7%9.7%-5.3%2.2M-71.0M-662.6K0.896.10N/AN/A58,40051,912536,388295,732
2010-05-17$5.51$5.5054.2%15.5%36.5%67.4%55.4%9.0%-6.0%2.8M-83.8M-678.5K0.746.35N/AN/A12,6689,312581,396328,404
2010-05-18$5.35$5.5057.2%16.4%37.0%74.9%54.9%9.2%-6.6%2.4M-60.9M-659.6K0.536.80N/AN/A12,9886,896577,720332,136
2010-05-19$5.32$5.5056.5%16.2%37.0%73.3%56.6%10.1%-6.2%2.3M-53.3M-650.2K0.797.46N/AN/A41,50432,888582,184330,684
2010-05-20$5.16$5.5053.7%15.4%37.9%66.1%53.3%11.6%-3.3%1.5M-26.0M-631.3K0.729.09N/AN/A45,77232,844591,464342,132
2010-05-21$5.33$5.2550.3%14.4%40.3%57.8%48.7%10.7%-1.6%2.0M-49.4M-636.5K1.115.76N/AN/A10,97212,208598,164343,332
2010-05-24$5.32$5.5048.4%13.9%39.9%53.0%49.0%10.1%-1.4%2.0M-63.1M-608.5K0.866.66N/AN/A11,1729,652445,892279,756
2010-05-25$5.48$5.5044.5%12.8%40.6%43.3%44.5%8.7%1.4%2.2M-81.5M-623.9K0.626.81N/AN/A7,4124,580454,916284,500
2010-05-26$5.42$5.5043.0%12.3%40.4%39.5%42.9%7.8%0.1%2.3M-75.6M-608.1K0.286.62N/AN/A6,5721,848456,408284,704
2010-05-27$5.75$5.5038.8%11.1%46.4%28.8%39.6%5.3%1.7%2.5M-116.4M-599.7K0.537.38N/AN/A12,0766,340458,476283,992
2010-05-28$5.70$5.5039.1%11.2%45.6%29.6%38.9%5.4%1.9%2.5M-111.1M-594.4K0.715.68N/AN/A2,6721,884462,872285,280