GME Options History — September 2010

In September 2010, GME traded between $4.56 and $4.98. ATM implied volatility averaged 34.2%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 1.6% (HV 20d: 32.7%). Max pain ranged from $4.75 to $5.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.47.

Notable Days

  • 2010-09-16: Highest Volume — 59,472 contracts
  • 2010-09-09: Largest IV spike — 15.1% change
  • 2010-09-09: Highest IV Rank — 29.1%
  • 2010-09-09: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.78$4.56$4.98$4.57$4.93
Max Pain$4.98$4.75$5.00$4.75$5.00
ATM IV34.2%31.1%38.9%35.7%31.1%
Expected Move10.0%8.9%11.1%10.2%8.9%
HV 20d32.7%22.9%41.0%38.5%22.9%
HV 60d35.3%33.0%37.9%37.4%33.0%
IV Rank17.6%9.7%29.1%21.2%9.7%
IV Percentile14.5%1.6%36.9%19.0%1.6%
Term Structure3.7%1.7%5.0%4.6%4.8%
VWIV34.7%31.2%39.3%35.7%31.2%
Skew 25d3.5%0.7%6.1%2.3%0.7%
Skew 10d7.9%2.4%12.0%4.4%6.1%
Call IV 25d34.1%31.5%37.2%35.5%31.7%
Put IV 25d37.6%32.4%42.8%37.8%32.4%
Bid-Ask Spread %5.533.879.835.056.88
Gamma HHI0.240.160.330.190.32
Net GEX1.2M-471.0K2.4M-471.0K2.2M
Net DEX-12.7M-31.8M10.7M10.7M-26.7M
Net VEX-278.5K-311.1K-258.5K-308.7K-263.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.041.090.130.51
Total Volume15,402.8572,50859,47213,1523,072
Total OI597,889.714524,640663,428617,700553,080

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$4.57$4.7535.7%10.2%38.5%21.2%35.7%2.3%4.6%-471.0K10.7M-308.7K0.135.05N/AN/A11,6201,532331,248286,452
2010-09-02$4.63$4.7535.3%10.1%39.1%20.2%36.8%2.0%5.0%-146.2K4.0M-303.6K0.826.24N/AN/A4,7523,888338,336286,176
2010-09-03$4.75$5.0031.7%10.6%40.9%11.2%36.8%5.5%3.5%735.8K-9.9M-311.1K0.565.15N/AN/A9,4805,336339,820287,948
2010-09-07$4.69$5.0034.5%11.1%41.0%18.3%39.3%5.7%2.7%486.6K-3.6M-309.5K0.044.80N/AN/A18,156744346,040289,384
2010-09-08$4.64$5.0033.7%10.7%40.6%16.3%36.5%6.0%3.8%287.2K-32.8K-296.3K0.294.57N/AN/A11,9043,416355,400289,772
2010-09-09$4.59$5.0038.9%11.1%39.3%29.1%36.4%6.1%1.7%-108.9K5.0M-278.6K0.785.58N/AN/A9,9607,756345,360289,704
2010-09-10$4.56$5.0037.9%10.9%39.3%26.7%36.9%5.9%4.1%-372.6K8.4M-271.5K1.054.55N/AN/A4,6524,904348,528293,220
2010-09-13$4.66$5.0036.0%10.3%40.3%22.0%35.0%5.5%3.7%702.5K-2.0M-266.0K0.264.02N/AN/A6,4761,700349,480291,172
2010-09-14$4.65$5.0036.1%10.3%39.9%22.2%35.6%4.9%3.5%641.3K-809.2K-258.5K0.226.23N/AN/A15,4803,412350,460290,916
2010-09-15$4.65$5.0036.0%10.3%39.6%22.1%35.2%5.5%3.1%870.1K-1.3M-262.2K0.064.89N/AN/A9,608596352,544289,308
2010-09-16$4.85$5.0037.5%10.7%40.5%25.7%36.9%4.1%2.2%2.4M-24.0M-269.8K0.408.24N/AN/A42,42817,044355,300289,488
2010-09-17$4.84$5.0033.7%9.7%26.5%16.2%34.3%3.5%4.6%1.7M-22.3M-268.9K1.096.17N/AN/A14,86016,144367,124296,304
2010-09-20$4.89$5.0032.0%9.2%26.2%11.9%32.8%3.7%3.4%1.5M-18.9M-274.8K0.189.83N/AN/A22,1563,880304,708219,932
2010-09-21$4.87$5.0032.9%9.4%24.9%14.3%32.0%3.0%4.0%1.7M-20.2M-276.3K0.465.18N/AN/A7,6603,500317,976221,372
2010-09-22$4.88$5.0033.0%9.5%24.7%14.5%31.6%2.9%4.6%1.7M-20.3M-274.7K0.574.15N/AN/A4,2962,464318,172222,756
2010-09-23$4.88$5.0033.9%9.7%24.7%16.7%34.8%1.4%3.1%1.8M-24.1M-277.9K0.496.06N/AN/A12,7486,292317,384222,420
2010-09-24$4.98$5.0032.0%9.2%25.2%11.9%32.1%2.0%4.3%2.3M-31.8M-278.3K0.145.96N/AN/A9,5601,384329,924221,756
2010-09-27$4.96$5.0032.7%9.4%25.4%13.8%33.0%1.0%4.0%2.3M-30.3M-267.9K0.624.69N/AN/A3,8482,388322,532221,688
2010-09-28$4.97$5.0032.1%9.2%22.9%12.3%32.6%1.6%3.8%2.4M-31.6M-265.7K0.163.87N/AN/A10,2601,596326,000223,048
2010-09-29$4.92$5.0032.2%9.2%23.5%12.4%32.4%0.7%4.2%2.4M-27.9M-264.6K0.953.94N/AN/A1,2881,220329,948223,504
2010-09-30$4.93$5.0031.1%8.9%22.9%9.7%31.2%0.7%4.8%2.2M-26.7M-263.4K0.516.88N/AN/A2,0281,044329,996223,084