GME Options History — July 2010

In July 2010, GME traded between $4.57 and $5.22. ATM implied volatility averaged 41.7%, placing in the 36.3% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 8.4% (HV 20d: 33.3%). Max pain ranged from $4.75 to $5.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.73.

Notable Days

  • 2010-07-14: Highest Volume — 81,652 contracts
  • 2010-07-14: Largest IV spike — 14.7% change
  • 2010-07-14: Highest IV Rank — 56.3%
  • 2010-07-06: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.88$4.57$5.22$4.77$5.01
Max Pain$4.80$4.75$5.00$5.00$5.00
ATM IV41.7%36.7%49.7%43.0%39.6%
Expected Move12.1%10.5%14.3%12.3%11.4%
HV 20d33.3%27.5%38.5%37.4%30.9%
HV 60d38.9%38.2%39.5%38.2%39.0%
IV Rank36.3%23.7%56.3%39.5%31.0%
IV Percentile45.6%21.8%81.7%52.8%34.5%
Term Structure-1.1%-3.6%6.5%5.9%-2.4%
VWIV42.7%36.3%52.4%43.7%39.8%
Skew 25d4.3%1.8%7.6%3.2%3.4%
Skew 10d8.2%0.3%14.8%9.7%5.0%
Call IV 25d41.1%35.3%46.9%43.4%38.8%
Put IV 25d45.4%38.7%53.5%46.7%42.2%
Bid-Ask Spread %5.524.376.384.375.67
Gamma HHI0.240.160.640.200.20
Net GEX1.4M-6.7M3.3M1.8M1.7M
Net DEX-11.7M-50.2M20.3M2.0M-29.6M
Net VEX-404.4K-456.2K-364.2K-456.2K-385.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.064.600.592.21
Total Volume21,699.4295,78881,65216,5406,284
Total OI686,555.81476,424867,452801,648541,172

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$4.77$5.0043.0%12.3%37.4%39.5%43.7%3.2%5.9%1.8M2.0M-456.2K0.594.37N/AN/A10,4206,120486,172315,476
2010-07-02$4.57$5.0044.4%12.7%37.7%42.9%52.4%1.8%6.5%808.1K20.3M-425.0K0.145.70N/AN/A35,5484,872487,148315,232
2010-07-06$4.60$4.7547.0%14.3%37.2%49.6%50.1%7.6%-2.9%946.8K19.0M-401.7K0.635.17N/AN/A24,34015,256493,228313,920
2010-07-07$4.69$4.7544.8%13.4%38.4%43.9%45.7%6.7%-2.1%1.5M9.6M-432.5K0.705.99N/AN/A4,1002,876507,104323,132
2010-07-08$4.71$4.7543.2%13.2%38.5%40.0%46.5%6.8%-2.2%1.6M6.3M-424.8K0.585.67N/AN/A6,1323,584507,520324,408
2010-07-09$4.76$4.7538.8%12.9%38.4%28.8%45.3%6.8%-1.7%1.8M6.5M-418.4K0.535.30N/AN/A8,8684,656510,060325,316
2010-07-12$4.83$4.7543.7%12.8%38.0%41.2%42.9%6.3%-2.0%2.7M-2.9M-405.2K0.625.18N/AN/A5,6443,480513,560325,228
2010-07-13$4.88$4.7543.4%12.2%38.0%40.3%41.6%6.5%-1.5%3.2M-7.0M-404.8K0.345.93N/AN/A11,2963,844511,880325,496
2010-07-14$4.88$4.7549.7%13.2%33.3%56.3%46.5%3.2%-3.6%3.3M-9.7M-410.7K0.144.69N/AN/A71,7329,920519,244325,484
2010-07-15$4.88$4.7544.5%12.8%27.5%43.3%46.3%3.5%-3.1%3.1M-7.6M-397.7K0.064.49N/AN/A40,1602,580524,380330,820
2010-07-16$4.74$4.7545.1%12.9%29.0%44.7%46.2%4.7%-2.5%-6.7M18.8M-378.3K1.135.80N/AN/A8,99210,184536,140331,312
2010-07-19$4.85$4.7541.6%11.9%30.2%35.9%40.8%3.9%-1.6%785.4K-11.9M-364.2K0.205.68N/AN/A42,5568,368273,064203,360
2010-07-20$4.95$4.7539.5%11.3%30.1%30.6%39.9%2.9%-1.8%1.3M-24.0M-393.2K0.265.39N/AN/A14,7243,820303,500207,276
2010-07-21$4.92$4.7539.3%11.3%30.3%30.3%39.8%3.2%-1.2%1.3M-23.3M-396.0K0.455.15N/AN/A5,9482,664311,136208,576
2010-07-22$5.00$4.7537.6%10.8%30.7%26.0%37.9%3.5%-0.9%1.6M-29.4M-399.7K0.335.72N/AN/A7,5002,508314,312208,596
2010-07-23$5.13$4.7536.7%10.5%29.4%23.7%36.3%3.4%0.0%1.9M-40.3M-407.4K0.425.57N/AN/A13,5285,708319,748210,152
2010-07-26$5.22$4.7536.8%10.5%29.8%23.9%37.2%2.6%-1.4%2.1M-50.2M-411.2K0.606.31N/AN/A3,6282,160326,600212,300
2010-07-27$5.07$4.7538.3%11.0%32.1%27.7%38.2%3.1%-1.3%1.9M-37.4M-401.2K0.395.71N/AN/A5,2082,012326,584212,884
2010-07-28$5.00$4.7540.0%11.5%31.2%31.8%40.0%3.6%-2.4%1.7M-30.7M-394.7K0.366.38N/AN/A10,9283,924331,424213,668
2010-07-29$4.93$5.0039.2%11.2%30.8%30.1%40.3%3.9%-1.8%1.5M-23.7M-383.1K4.605.97N/AN/A3,50016,116325,160215,900
2010-07-30$5.01$5.0039.6%11.4%30.9%31.0%39.8%3.4%-2.4%1.7M-29.6M-385.7K2.215.67N/AN/A1,9604,324325,988215,184