GME Options History — February 2011

In February 2011, GME traded between $4.88 and $5.14. ATM implied volatility averaged 36.3%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 8.9% (HV 20d: 27.3%). Max pain ranged from $4.75 to $5.25. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.71.

Notable Days

  • 2011-02-10: Highest Volume — 129,836 contracts
  • 2011-02-10: Largest IV spike — 48.1% change
  • 2011-02-15: Highest IV Rank — 45.2%
  • 2011-02-15: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.99$4.88$5.14$5.14$4.99
Max Pain$5.09$4.75$5.25$5.25$5.00
ATM IV36.3%27.9%43.4%27.9%37.6%
Expected Move10.8%8.0%12.5%8.0%10.8%
HV 20d27.3%25.3%31.8%30.2%27.4%
HV 60d28.0%27.2%28.9%27.9%27.5%
IV Rank26.1%3.7%45.2%3.7%29.7%
IV Percentile40.4%2.0%79.4%2.0%42.5%
Term Structure-0.1%-3.0%6.1%5.1%0.2%
VWIV38.2%28.6%44.7%28.6%37.9%
Skew 25d-0.3%-3.9%2.1%0.3%1.5%
Skew 10d-1.4%-8.5%3.2%-0.1%2.0%
Call IV 25d39.1%28.9%46.8%28.9%37.7%
Put IV 25d38.7%29.1%43.5%29.1%39.2%
Bid-Ask Spread %15.156.7025.858.3724.11
Gamma HHI0.180.140.230.220.17
Net GEX1.2M308.3K2.3M1.5M1.7M
Net DEX-12.7M-25.5M6.2M-19.3M-22.2M
Net VEX-348.5K-392.1K-300.4K-318.3K-352.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.055.765.760.59
Total Volume24,936.2114,476129,83626,4524,476
Total OI492,024.421390,520565,060390,520518,576

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-02-01$5.14$5.2527.9%8.0%30.2%3.7%28.6%0.3%5.1%1.5M-19.3M-318.3K5.768.37N/AN/A3,91222,540252,832137,688
2011-02-02$4.96$5.2529.8%8.6%31.8%8.9%29.9%1.0%6.1%740.8K-225.7K-301.6K0.5915.78N/AN/A12,2807,240253,332150,548
2011-02-03$4.88$5.2529.8%8.5%31.1%8.8%28.6%1.5%5.6%392.3K6.2M-300.4K1.0416.48N/AN/A16,82017,476258,224160,504
2011-02-04$5.01$5.2529.1%10.3%26.2%6.9%35.6%2.1%-1.0%891.2K-5.6M-332.2K0.6510.66N/AN/A10,3326,712269,484174,540
2011-02-07$5.04$5.2529.0%10.1%26.1%6.9%36.1%1.7%-1.4%911.5K-6.4M-332.0K0.296.70N/AN/A4,7121,380271,768179,548
2011-02-08$5.00$5.2529.2%10.4%26.2%7.2%36.0%1.8%-1.0%759.5K-3.0M-325.9K1.798.01N/AN/A10,61219,036272,776180,244
2011-02-09$4.92$5.2528.8%10.4%25.3%6.2%36.9%1.6%-1.6%366.4K4.7M-328.2K0.128.38N/AN/A4,760584279,864189,648
2011-02-10$5.09$5.2542.7%12.2%26.8%43.2%43.3%-1.5%-2.2%1.1M-15.9M-358.7K0.1313.05N/AN/A114,67215,164282,624189,568
2011-02-11$5.07$5.0041.3%11.8%26.8%39.4%42.3%-2.0%-1.7%2.1M-24.6M-392.1K0.1916.01N/AN/A9,2401,792345,984196,756
2011-02-14$4.97$5.0041.9%12.0%27.5%41.0%42.5%-1.8%-2.2%1.5M-13.7M-372.5K0.3414.90N/AN/A8,0522,748347,012198,096
2011-02-15$5.01$5.0043.4%12.5%27.7%45.2%44.7%-2.3%-3.0%1.8M-18.4M-374.0K0.0516.55N/AN/A44,3402,072351,120198,816
2011-02-16$5.07$5.0042.8%12.3%28.0%43.5%43.2%-2.8%-2.5%2.3M-25.5M-380.2K0.0919.61N/AN/A7,204644359,016199,312
2011-02-17$5.03$5.0042.6%12.2%26.2%43.1%43.5%-3.9%-2.4%1.6M-20.2M-374.8K0.5823.00N/AN/A5,8043,380362,036199,160
2011-02-18$4.99$5.0040.3%11.5%26.2%36.7%40.9%-2.8%-1.1%308.3K-12.7M-362.0K0.1611.82N/AN/A26,5004,256364,872200,188
2011-02-22$4.92$5.0038.3%11.0%26.2%31.6%39.1%-1.1%-0.7%1.2M-13.4M-345.7K0.2017.11N/AN/A27,0845,412302,964176,464
2011-02-23$4.92$4.7538.5%11.0%26.2%32.1%38.9%-0.2%0.3%1.5M-19.1M-357.8K0.4125.85N/AN/A22,8769,484323,696180,320
2011-02-24$4.88$5.0038.9%11.2%26.2%33.1%39.8%0.0%-0.2%1.2M-11.2M-352.2K0.1921.35N/AN/A8,4641,628319,784186,796
2011-02-25$4.96$5.0037.0%10.6%27.2%28.0%37.9%0.4%1.5%1.6M-20.4M-361.5K0.3010.12N/AN/A7,7962,304327,052187,252
2011-02-28$4.99$5.0037.6%10.8%27.4%29.7%37.9%1.5%0.2%1.7M-22.2M-352.0K0.5924.11N/AN/A2,8161,660330,832187,744