GME Options History — December 2010

In December 2010, GME traded between $5.07 and $5.74. ATM implied volatility averaged 33.4%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 6.7% (HV 20d: 26.7%). Max pain ranged from $5.00 to $5.25. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.56.

Notable Days

  • 2010-12-16: Highest Volume — 53,084 contracts
  • 2010-12-15: Largest IV drop — 20.9% change
  • 2010-12-14: Highest IV Rank — 42.3%
  • 2010-12-31: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.45$5.07$5.74$5.07$5.72
Max Pain$5.03$5.00$5.25$5.25$5.00
ATM IV33.4%30.0%42.4%34.0%34.9%
Expected Move9.4%8.6%10.0%9.7%10.0%
HV 20d26.7%20.1%31.5%28.0%20.1%
HV 60d25.8%25.0%26.3%25.0%26.1%
IV Rank18.5%9.5%42.3%20.0%22.3%
IV Percentile19.3%2.4%72.2%20.6%31.0%
Term Structure1.2%-1.1%3.1%0.8%-1.1%
VWIV33.4%30.2%35.3%34.1%35.3%
Skew 25d1.3%-0.4%3.0%2.5%1.1%
Skew 10d3.0%-1.5%7.2%4.1%3.0%
Call IV 25d33.0%30.7%35.6%33.8%35.6%
Put IV 25d34.3%30.9%36.7%36.2%36.7%
Bid-Ask Spread %10.094.1717.6517.654.17
Gamma HHI0.230.190.260.240.22
Net GEX2.9M2.1M4.0M2.1M2.8M
Net DEX-77.9M-102.7M-37.4M-37.4M-99.2M
Net VEX-319.3K-349.3K-294.3K-337.0K-298.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.101.820.240.25
Total Volume15,263.4553,25653,0844,5366,996
Total OI491,638.727471,140547,336477,824483,628

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$5.07$5.2534.0%9.7%28.0%20.0%34.1%2.5%0.8%2.1M-37.4M-337.0K0.2417.65N/AN/A3,660876326,184151,640
2010-12-02$5.29$5.2532.6%9.4%31.5%16.4%32.6%1.2%1.4%2.5M-61.2M-346.0K0.1016.53N/AN/A26,4602,716326,912151,724
2010-12-03$5.33$5.2532.0%9.2%31.0%14.8%32.7%1.9%1.8%2.5M-65.2M-349.3K0.8915.33N/AN/A4,8884,332329,436152,500
2010-12-06$5.31$5.0033.1%9.7%31.1%17.5%34.1%2.7%2.5%2.5M-63.4M-342.4K0.1810.26N/AN/A2,752504330,012152,332
2010-12-07$5.36$5.0032.9%9.5%29.9%17.0%33.1%2.1%3.1%2.7M-68.9M-335.5K0.1610.35N/AN/A8,9601,460330,048152,476
2010-12-08$5.33$5.0033.9%9.6%29.2%19.6%33.8%2.1%2.5%2.9M-66.7M-335.5K0.7710.79N/AN/A14,56411,176335,944152,264
2010-12-09$5.41$5.0033.0%9.6%29.5%17.2%33.5%2.2%1.4%3.3M-80.0M-333.4K0.2312.11N/AN/A9,5122,148342,992152,160
2010-12-10$5.56$5.0032.0%9.2%26.4%14.6%33.1%3.0%2.7%3.1M-100.8M-325.9K0.1111.80N/AN/A34,9163,756348,292152,140
2010-12-13$5.48$5.0037.7%9.2%26.5%29.9%32.9%3.0%2.6%3.5M-92.9M-320.7K0.5313.60N/AN/A5,3842,832353,768153,360
2010-12-14$5.43$5.0042.4%9.7%26.6%42.3%33.3%1.8%1.3%3.6M-87.1M-315.4K0.4613.52N/AN/A21,4689,968352,100154,396
2010-12-15$5.39$5.0033.5%9.6%26.9%18.8%35.2%1.7%1.6%4.0M-80.6M-320.7K0.979.02N/AN/A5,2725,136362,680161,500
2010-12-16$5.43$5.0034.1%9.8%26.8%20.3%34.7%-0.0%1.4%3.6M-86.2M-315.7K0.318.53N/AN/A40,52412,560360,188160,992
2010-12-17$5.42$5.0032.6%9.3%24.3%16.3%33.7%-0.4%2.1%2.5M-88.0M-322.6K1.824.94N/AN/A7,54413,768380,468166,868
2010-12-20$5.32$5.0030.9%8.9%24.9%11.8%31.7%0.0%1.8%2.4M-56.6M-308.0K1.447.11N/AN/A4,4126,348323,848147,292
2010-12-21$5.41$5.0030.1%8.6%25.2%9.8%30.7%-0.2%1.3%2.6M-66.9M-305.6K0.896.34N/AN/A4,5404,048325,264149,848
2010-12-22$5.42$5.0030.0%8.6%24.9%9.5%30.2%0.2%0.9%2.7M-65.8M-306.5K0.536.55N/AN/A3,7201,984327,092149,340
2010-12-23$5.55$5.0031.3%9.0%25.9%12.9%31.7%-0.1%0.9%2.8M-81.8M-306.5K0.299.56N/AN/A6,6361,892329,144150,184
2010-12-27$5.56$5.0033.2%9.5%25.8%18.0%34.4%0.4%-0.2%2.8M-83.6M-302.9K0.509.41N/AN/A3,3761,696332,532150,352
2010-12-28$5.63$5.0033.4%9.6%24.5%18.5%33.9%1.1%-0.8%2.9M-89.3M-301.7K0.779.33N/AN/A3,6682,816333,992150,456
2010-12-29$5.63$5.0033.1%9.5%23.9%17.8%34.9%1.5%-0.6%2.9M-90.6M-301.1K0.357.96N/AN/A7,9722,784334,180150,944
2010-12-30$5.74$5.0034.3%9.8%24.1%21.0%34.7%0.9%-0.9%2.8M-102.7M-294.3K0.447.18N/AN/A10,9484,824333,588150,992
2010-12-31$5.72$5.0034.9%10.0%20.1%22.3%35.3%1.1%-1.1%2.8M-99.2M-298.6K0.254.17N/AN/A5,6041,392331,416152,212