GME Options History — October 2010

In October 2010, GME traded between $4.57 and $5.09. ATM implied volatility averaged 35.9%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 12.2% (HV 20d: 23.6%). 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 6 of 21 days. Put/call ratio averaged 1.08.

Notable Days

  • 2010-10-12: Highest Volume — 141,148 contracts
  • 2010-10-14: Largest IV spike — 28.6% change
  • 2010-10-19: Highest IV Rank — 39.1%
  • 2010-10-19: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.85$4.57$5.09$5.00$4.91
Max Pain$4.90$4.75$5.00$5.00$4.75
ATM IV35.9%26.5%41.1%30.9%39.1%
Expected Move11.0%8.9%11.8%8.9%11.2%
HV 20d23.6%20.2%26.4%23.0%25.3%
HV 60d32.7%30.2%33.8%33.1%30.3%
IV Rank24.1%0.0%39.1%9.2%33.5%
IV Percentile31.2%0.0%58.7%1.6%48.4%
Term Structure-0.8%-3.4%5.3%5.3%-2.0%
VWIV38.4%30.7%44.9%30.7%39.2%
Skew 25d4.3%1.0%6.8%1.0%4.2%
Skew 10d8.5%4.3%12.5%4.3%8.8%
Call IV 25d36.8%31.2%40.0%31.2%38.3%
Put IV 25d41.1%32.2%44.6%32.2%42.5%
Bid-Ask Spread %7.463.8919.163.897.68
Gamma HHI0.250.130.460.360.16
Net GEX1.6M-369.4K3.9M2.7M987.0K
Net DEX-19.8M-50.6M23.4M-35.0M-24.7M
Net VEX-302.3K-341.5K-250.5K-261.1K-340.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.076.990.130.11
Total Volume25,711.812,400141,1487,7964,432
Total OI524,113.714366,668667,980554,276448,360

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$5.00$5.0030.9%8.9%23.0%9.2%30.7%1.0%5.3%2.7M-35.0M-261.1K0.133.89N/AN/A6,908888330,948223,328
2010-10-04$4.97$5.0032.4%10.5%21.5%12.8%35.7%4.6%0.6%2.7M-32.1M-251.9K0.265.49N/AN/A49,42012,852331,388223,376
2010-10-05$5.06$5.0031.4%10.6%21.3%10.5%35.3%4.3%0.3%3.6M-50.4M-301.3K0.125.31N/AN/A17,9522,164378,280235,344
2010-10-06$5.05$5.0031.2%10.6%20.8%10.1%36.9%4.1%0.1%3.2M-45.3M-295.1K0.725.78N/AN/A1,4721,060357,800235,284
2010-10-07$4.98$5.0029.3%10.5%21.2%5.1%36.3%4.5%0.4%3.3M-36.9M-284.6K2.105.94N/AN/A1,7963,768357,780235,036
2010-10-08$5.02$5.0026.5%10.3%20.8%0.0%35.0%4.1%0.5%3.6M-39.8M-279.5K0.235.46N/AN/A15,4243,492356,852236,400
2010-10-11$5.09$5.0029.9%10.5%20.2%8.3%36.4%4.1%-0.5%3.9M-50.6M-275.4K1.855.49N/AN/A12,31222,824359,340237,724
2010-10-12$4.95$5.0035.4%11.5%23.2%22.0%44.9%6.8%-1.8%3.3M-29.1M-293.1K6.996.56N/AN/A17,660123,488364,296256,928
2010-10-13$4.81$5.0031.1%11.4%25.7%11.2%39.7%5.9%-1.9%1.4M269.0K-284.2K2.015.98N/AN/A8,66417,456362,168305,812
2010-10-14$4.71$5.0040.0%11.5%22.2%33.1%41.3%6.0%-2.3%448.1K12.1M-276.3K2.908.22N/AN/A6,28018,236361,692290,648
2010-10-15$4.58$5.0040.5%11.6%23.9%37.4%39.8%5.5%-3.4%-369.4K23.4M-256.4K1.577.24N/AN/A7,04811,044361,124296,280
2010-10-18$4.57$5.0039.8%11.4%23.5%35.6%39.5%4.8%-1.2%82.5K6.2M-250.5K0.388.33N/AN/A56,90021,504215,868150,800
2010-10-19$4.61$5.0041.1%11.8%23.8%39.1%40.3%3.7%-1.3%253.2K-2.0M-325.4K0.109.71N/AN/A49,3725,156253,596166,824
2010-10-20$4.74$4.7538.4%11.0%26.3%31.8%37.9%3.9%-0.8%548.8K-10.7M-341.5K0.158.52N/AN/A12,2761,852262,260168,964
2010-10-21$4.76$4.7538.8%11.1%26.4%32.9%38.9%4.0%-1.0%596.4K-12.7M-340.7K0.407.59N/AN/A3,9641,604263,920169,416
2010-10-22$4.78$4.7537.9%10.9%25.4%30.5%37.8%4.3%-0.8%640.1K-13.8M-338.5K0.715.95N/AN/A1,5001,064265,664170,292
2010-10-25$4.81$4.7539.2%11.2%25.5%33.8%38.4%3.1%-1.8%698.0K-15.8M-335.7K0.117.33N/AN/A8,440888266,652171,036
2010-10-26$4.85$4.7540.3%11.5%25.7%36.7%40.2%3.9%-2.2%849.8K-19.5M-341.2K0.7919.16N/AN/A1,6961,336272,384170,964
2010-10-27$4.84$4.7540.3%11.5%25.5%36.8%40.6%3.7%-2.0%826.0K-19.3M-338.9K1.028.16N/AN/A1,6601,696273,052171,900
2010-10-28$4.85$4.7539.9%11.5%25.5%35.9%41.7%3.1%-1.9%850.3K-19.4M-337.0K0.078.82N/AN/A2,240160273,404173,204
2010-10-29$4.91$4.7539.1%11.2%25.3%33.5%39.2%4.2%-2.0%987.0K-24.7M-340.6K0.117.68N/AN/A4,004428275,148173,212