GME Options History — August 2010

In August 2010, GME traded between $4.47 and $5.32. ATM implied volatility averaged 41.1%, placing in the 34.7% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 2.8% (HV 20d: 38.3%). Max pain ranged from $4.75 to $5.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.86.

Notable Days

  • 2010-08-19: Highest Volume — 93,004 contracts
  • 2010-08-12: Largest IV drop — 22.4% change
  • 2010-08-11: Highest IV Rank — 64.4%
  • 2010-08-04: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.91$4.47$5.32$5.28$4.48
Max Pain$4.93$4.75$5.00$5.00$4.75
ATM IV41.1%36.3%53.0%40.4%38.1%
Expected Move11.3%10.4%12.4%11.6%10.9%
HV 20d38.3%30.7%47.3%30.7%39.5%
HV 60d38.6%37.1%41.3%39.0%37.1%
IV Rank34.7%22.6%64.4%32.8%27.2%
IV Percentile43.9%21.4%92.9%38.9%29.4%
Term Structure-0.0%-5.9%4.3%-4.4%4.3%
VWIV39.4%35.9%43.2%39.8%38.0%
Skew 25d4.0%1.1%6.1%2.3%2.5%
Skew 10d8.1%1.4%12.9%3.6%5.4%
Call IV 25d38.3%34.7%43.7%39.9%38.0%
Put IV 25d42.3%38.0%45.6%42.1%40.5%
Bid-Ask Spread %6.204.407.785.527.78
Gamma HHI0.170.130.210.180.21
Net GEX1.1M-900.8K2.4M2.1M-900.8K
Net DEX-18.2M-58.7M20.4M-53.3M18.8M
Net VEX-349.5K-395.2K-294.3K-389.6K-306.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.203.140.320.80
Total Volume22,0943,27693,00415,48425,112
Total OI584,471.818524,356636,068544,480617,852

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$5.28$5.0040.4%11.6%30.7%32.8%39.8%2.3%-4.4%2.1M-53.3M-389.6K0.325.52N/AN/A11,6963,788326,788217,692
2010-08-03$5.17$5.0041.6%11.9%32.3%36.0%41.9%2.9%-5.3%2.0M-44.1M-387.3K0.624.40N/AN/A4,2202,636330,724217,892
2010-08-04$5.32$5.0043.4%12.4%33.0%40.5%43.2%1.1%-5.9%2.2M-58.7M-392.1K0.205.46N/AN/A19,2603,760331,648219,732
2010-08-05$5.28$5.0042.6%12.2%33.3%38.5%43.1%2.3%-5.0%2.4M-56.4M-395.2K0.344.95N/AN/A6,0442,044342,992222,244
2010-08-06$5.24$5.0043.0%10.7%33.6%39.4%37.6%5.4%-0.6%2.4M-52.0M-393.3K1.095.06N/AN/A3,5283,844344,892222,176
2010-08-09$5.24$5.0045.5%10.7%33.4%45.8%35.9%5.3%-0.4%2.4M-51.7M-383.2K2.315.83N/AN/A2,8366,560345,560224,292
2010-08-10$5.13$5.0048.3%10.8%34.5%52.7%38.2%5.3%-0.5%2.1M-39.1M-378.3K0.806.67N/AN/A9,5567,612345,824228,996
2010-08-11$4.96$5.0053.0%11.7%36.7%64.4%39.7%6.1%-0.5%1.6M-21.7M-369.1K0.936.02N/AN/A8,2847,696351,208234,360
2010-08-12$4.93$5.0041.1%11.8%36.9%34.7%41.0%6.0%-0.6%1.5M-18.6M-365.9K0.855.52N/AN/A5,4644,648354,212236,692
2010-08-13$4.89$5.0041.0%11.8%35.3%34.5%41.6%6.1%-0.5%1.4M-15.4M-360.2K0.336.30N/AN/A5,3361,772356,444238,388
2010-08-16$4.96$5.0041.6%11.9%34.6%36.1%41.1%5.8%-1.1%1.7M-21.3M-352.2K0.945.95N/AN/A4,1043,876357,104237,848
2010-08-17$5.00$5.0041.5%11.9%34.0%35.6%40.0%5.1%-1.1%1.8M-25.6M-350.7K0.426.00N/AN/A7,9523,372357,128239,392
2010-08-18$5.19$5.0039.8%11.4%36.1%31.4%39.9%4.9%-0.7%2.4M-46.5M-358.7K0.607.43N/AN/A22,22413,352358,276241,224
2010-08-19$4.76$5.0040.5%11.6%47.3%33.3%40.6%3.8%-0.3%698.0K5.7M-312.7K0.917.61N/AN/A48,59644,408368,632245,536
2010-08-20$4.70$5.0037.0%10.6%46.3%24.5%37.7%4.1%1.8%272.7K16.0M-303.9K0.586.30N/AN/A27,08815,580377,796258,272
2010-08-23$4.61$5.0036.3%10.4%45.8%22.6%36.2%3.5%3.5%223.8K8.4M-294.3K0.425.14N/AN/A17,3287,308298,748225,608
2010-08-24$4.58$4.7538.8%11.1%45.0%28.9%41.0%3.6%2.8%386.0K6.9M-301.9K3.147.51N/AN/A21,64867,940310,124221,596
2010-08-25$4.61$4.7537.9%10.9%45.0%26.7%36.9%3.2%3.1%-212.5K7.1M-334.1K0.496.64N/AN/A4,7202,316323,740285,844
2010-08-26$4.58$4.7538.1%10.9%44.9%27.2%37.2%2.3%3.6%-287.1K9.7M-332.7K0.396.87N/AN/A2,356920325,584285,728
2010-08-27$4.58$4.7536.6%10.5%44.3%23.5%37.0%2.5%3.8%-356.4K10.7M-321.9K1.837.72N/AN/A4,0407,376326,316285,728
2010-08-30$4.47$4.7538.0%10.9%39.6%27.0%39.4%3.0%3.4%-874.9K20.4M-305.2K0.555.76N/AN/A8,9484,920327,748289,800
2010-08-31$4.48$4.7538.1%10.9%39.5%27.2%38.0%2.5%4.3%-900.8K18.8M-306.3K0.807.78N/AN/A13,95211,160325,584292,268