GME Options History — January 2011

In January 2011, GME traded between $5.05 and $5.73. ATM implied volatility averaged 31.6%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 2.0% (HV 20d: 29.6%). Max pain ranged from $5.00 to $5.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.84.

Notable Days

  • 2011-01-06: Highest Volume — 106,032 contracts
  • 2011-01-06: Largest IV drop — 35.1% change
  • 2011-01-05: Highest IV Rank — 47.9%
  • 2011-01-05: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.25$5.05$5.73$5.73$5.27
Max Pain$5.36$5.00$5.50$5.00$5.25
ATM IV31.6%26.6%44.4%36.6%28.1%
Expected Move9.2%7.6%12.7%10.5%8.1%
HV 20d29.6%20.0%32.1%20.0%29.4%
HV 60d27.7%25.8%28.8%25.8%27.6%
IV Rank13.5%0.4%47.9%27.0%4.4%
IV Percentile14.7%0.4%81.0%40.5%2.0%
Term Structure2.6%-8.0%5.4%-2.6%4.9%
VWIV32.5%26.8%45.2%36.9%28.4%
Skew 25d0.0%-1.7%1.5%1.5%0.4%
Skew 10d-0.2%-3.3%1.7%1.7%1.6%
Call IV 25d33.0%27.5%46.7%36.8%29.2%
Put IV 25d33.1%27.8%45.0%38.2%29.6%
Bid-Ask Spread %8.165.6810.687.1810.19
Gamma HHI0.260.180.750.220.22
Net GEX2.5M1.5M7.1M2.9M1.9M
Net DEX-34.1M-101.6M-10.8M-101.6M-31.8M
Net VEX-303.8K-338.1K-270.7K-290.1K-331.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.043.293.290.61
Total Volume32,612.22,524106,03235,7204,052
Total OI529,695.4334,532660,864491,844388,104

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$5.73$5.0036.6%10.5%20.0%27.0%36.9%1.5%-2.6%2.9M-101.6M-290.1K3.297.18N/AN/A8,32827,392338,560153,284
2011-01-04$5.63$5.2539.5%11.3%21.3%34.7%40.3%-0.5%-3.8%2.3M-85.1M-305.0K1.726.11N/AN/A14,10424,312340,140176,208
2011-01-05$5.47$5.2544.4%12.7%23.7%47.9%45.2%-1.7%-8.0%2.2M-66.6M-312.5K0.737.62N/AN/A32,85224,048348,056186,328
2011-01-06$5.16$5.2528.8%8.3%31.9%6.3%30.1%-0.9%2.4%1.9M-20.2M-270.7K0.9510.68N/AN/A54,50851,524364,708196,876
2011-01-07$5.19$5.5031.1%9.4%31.5%12.2%33.4%0.3%3.0%1.9M-25.2M-303.8K0.358.27N/AN/A35,79212,512381,292218,100
2011-01-10$5.17$5.5032.1%9.5%29.5%14.9%33.6%0.9%2.4%2.3M-28.1M-285.0K0.515.68N/AN/A19,95610,160388,616203,644
2011-01-11$5.05$5.5030.6%9.5%30.3%11.0%33.6%0.5%3.2%2.0M-11.2M-275.5K0.216.59N/AN/A26,6365,552400,772207,620
2011-01-12$5.17$5.5029.2%9.2%31.8%7.3%32.6%0.4%3.2%2.7M-28.8M-302.9K0.287.21N/AN/A4,2281,200408,064210,076
2011-01-13$5.15$5.5033.2%9.5%31.7%17.9%34.6%-0.8%1.7%2.7M-27.2M-298.4K0.047.98N/AN/A38,0721,612409,872210,428
2011-01-14$5.09$5.5032.5%9.3%31.6%16.1%32.7%0.0%4.5%2.5M-16.0M-284.9K1.557.75N/AN/A20,33631,440415,008211,052
2011-01-18$5.09$5.5032.2%9.2%31.7%15.2%32.7%-0.3%4.1%2.4M-10.8M-292.7K2.959.82N/AN/A2,7448,108409,596234,916
2011-01-19$5.12$5.5032.0%9.2%31.2%14.8%32.2%-0.2%3.7%2.6M-13.7M-291.5K0.258.50N/AN/A12,1883,040409,604237,324
2011-01-20$5.25$5.5032.7%9.4%32.1%16.5%33.6%-0.2%3.1%3.5M-36.1M-300.8K0.137.46N/AN/A31,6004,056407,300239,120
2011-01-21$5.22$5.5029.4%8.4%32.0%7.9%29.4%-0.7%4.8%7.1M-26.8M-300.2K0.227.02N/AN/A39,1888,768421,184239,680
2011-01-24$5.27$5.2528.7%8.2%30.9%6.0%28.8%0.2%4.9%1.5M-31.4M-303.1K1.037.48N/AN/A18,93619,564223,596110,936
2011-01-25$5.26$5.2528.4%8.1%30.9%5.2%28.9%0.1%5.4%1.6M-30.6M-330.0K0.2710.28N/AN/A7,2081,916235,384128,440
2011-01-26$5.26$5.2527.4%7.9%30.4%2.4%28.3%0.2%4.8%1.6M-30.5M-326.2K0.878.75N/AN/A20,25217,540238,148129,448
2011-01-27$5.27$5.2526.6%7.6%30.4%0.4%26.8%0.3%5.2%1.8M-31.1M-338.1K0.269.58N/AN/A2,004520250,264135,668
2011-01-28$5.25$5.2527.4%7.9%29.2%2.6%27.8%1.0%5.2%1.8M-29.4M-333.8K0.649.06N/AN/A3,6562,340250,908135,584
2011-01-31$5.27$5.2528.1%8.1%29.4%4.4%28.4%0.4%4.9%1.9M-31.8M-331.6K0.6110.19N/AN/A2,5241,528251,428136,676