GME Options History — March 2011

In March 2011, GME traded between $4.89 and $5.66. ATM implied volatility averaged 35.1%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 13.4% (HV 20d: 21.7%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 0.55.

Notable Days

2011-03-24: Highest Volume — 102,488 contracts
2011-03-10: Largest IV spike — 30.5% change
2011-03-23: Highest IV Rank — 48.5%
2011-03-23: Largest Expected Move — 12.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.19	$4.89	$5.66	$4.93	$5.63
Max Pain	$5.00	$5.00	$5.00	$5.00	$5.00
ATM IV	35.1%	28.6%	44.0%	37.6%	30.3%
Expected Move	10.4%	8.4%	12.6%	10.8%	8.7%
HV 20d	21.7%	18.0%	27.4%	27.4%	20.7%
HV 60d	26.4%	25.6%	27.0%	26.1%	26.7%
IV Rank	23.7%	5.6%	48.5%	29.8%	10.6%
IV Percentile	35.1%	3.2%	85.3%	42.9%	10.7%
Term Structure	-0.8%	-4.3%	5.6%	0.3%	1.9%
VWIV	37.2%	31.1%	44.7%	37.9%	31.4%
Skew 25d	2.0%	-1.9%	6.1%	1.1%	-1.9%
Skew 10d	3.7%	-2.3%	9.5%	0.9%	-2.3%
Call IV 25d	36.5%	31.0%	41.7%	38.2%	33.0%
Put IV 25d	38.5%	30.8%	47.8%	39.3%	31.0%
Bid-Ask Spread %	7.38	5.95	9.85	8.73	6.45
Gamma HHI	0.21	0.16	0.71	0.16	0.21
Net GEX	2.8M	1.5M	11.3M	1.5M	3.7M
Net DEX	-43.2M	-95.2M	-8.3M	-15.4M	-90.8M
Net VEX	-316.2K	-347.8K	-284.5K	-343.2K	-290.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.55	0.16	1.59	0.21	0.30
Total Volume	26,436.696	5,048	102,488	14,532	24,584
Total OI	529,745.913	453,776	602,168	520,540	513,860

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2011-03-01	$4.93	$5.00	37.6%	10.8%	27.4%	29.8%	37.9%	1.1%	0.3%	1.5M	-15.4M	-343.2K	0.21	8.73	N/A	N/A	12,028	2,504	332,192	188,348
2011-03-02	$4.92	$5.00	36.9%	10.6%	26.2%	27.8%	38.3%	1.7%	0.2%	1.5M	-14.4M	-337.8K	0.99	8.21	N/A	N/A	2,532	2,516	334,992	189,576
2011-03-03	$5.03	$5.00	31.6%	9.1%	24.2%	13.7%	31.9%	1.0%	5.6%	2.0M	-27.0M	-343.8K	1.30	9.07	N/A	N/A	25,196	32,684	336,312	191,640
2011-03-04	$5.01	$5.00	30.3%	10.7%	23.4%	10.3%	37.6%	1.8%	-2.0%	2.0M	-25.6M	-347.8K	0.37	6.27	N/A	N/A	6,040	2,232	345,660	199,572
2011-03-07	$4.93	$5.00	30.9%	10.8%	22.1%	11.7%	37.7%	2.1%	-2.2%	1.6M	-14.5M	-322.0K	0.42	6.44	N/A	N/A	10,612	4,416	347,000	194,988
2011-03-08	$4.96	$5.00	28.6%	10.5%	22.1%	5.6%	36.3%	2.3%	-1.9%	1.7M	-16.1M	-319.5K	0.17	6.36	N/A	N/A	11,292	1,972	349,204	195,372
2011-03-09	$4.94	$5.00	29.2%	10.8%	22.1%	7.2%	37.4%	2.0%	-2.7%	1.7M	-15.4M	-315.2K	0.56	6.04	N/A	N/A	5,820	3,240	352,824	196,004
2011-03-10	$4.89	$5.00	38.1%	10.9%	21.6%	32.0%	38.1%	1.9%	-2.4%	1.5M	-8.3M	-312.0K	0.32	5.95	N/A	N/A	9,728	3,108	354,696	198,400
2011-03-11	$4.94	$5.00	38.0%	10.9%	18.0%	31.8%	37.9%	2.1%	-2.6%	1.7M	-14.7M	-309.8K	0.16	7.65	N/A	N/A	7,256	1,184	353,864	199,960
2011-03-14	$4.96	$5.00	39.6%	11.3%	18.0%	36.2%	39.2%	1.7%	-3.7%	1.8M	-17.2M	-302.3K	0.34	6.96	N/A	N/A	7,064	2,408	357,420	200,072
2011-03-15	$5.13	$5.00	40.4%	11.6%	20.7%	38.4%	43.7%	3.3%	-4.0%	3.2M	-47.2M	-320.2K	1.59	7.76	N/A	N/A	20,828	33,140	361,532	199,904
2011-03-16	$5.13	$5.00	42.0%	12.1%	20.5%	43.0%	42.3%	3.3%	-4.1%	3.0M	-45.1M	-323.8K	0.83	7.55	N/A	N/A	12,820	10,656	364,728	221,576
2011-03-17	$5.25	$5.00	40.6%	11.6%	21.5%	39.1%	40.9%	2.8%	-3.3%	3.5M	-64.3M	-329.8K	0.26	7.65	N/A	N/A	13,600	3,548	369,328	226,068
2011-03-18	$5.24	$5.00	41.1%	11.8%	21.2%	40.4%	43.2%	4.1%	-4.3%	11.3M	-58.0M	-323.7K	0.85	6.65	N/A	N/A	17,380	14,752	374,380	227,788
2011-03-21	$5.30	$5.00	38.3%	11.0%	21.1%	32.6%	38.4%	3.9%	-1.2%	2.0M	-45.6M	-312.1K	0.30	6.10	N/A	N/A	13,660	4,096	279,620	174,156
2011-03-22	$5.25	$5.00	38.3%	11.0%	20.6%	32.6%	38.2%	4.1%	-0.7%	2.0M	-43.4M	-309.9K	0.30	6.90	N/A	N/A	12,288	3,712	284,736	175,620
2011-03-23	$5.28	$5.00	44.0%	12.6%	20.5%	48.5%	44.7%	6.1%	-4.3%	1.9M	-44.8M	-317.9K	0.96	9.85	N/A	N/A	36,136	34,720	287,060	177,476
2011-03-24	$5.43	$5.00	31.4%	9.0%	21.9%	13.7%	33.0%	0.8%	1.5%	2.6M	-64.8M	-304.3K	0.19	9.67	N/A	N/A	86,184	16,304	295,548	192,300
2011-03-25	$5.43	$5.00	30.9%	8.9%	21.5%	12.4%	33.5%	1.8%	2.0%	3.2M	-68.4M	-317.9K	1.14	6.55	N/A	N/A	14,368	16,328	323,424	191,716
2011-03-28	$5.49	$5.00	30.7%	8.8%	21.6%	11.6%	32.1%	0.8%	2.2%	3.3M	-73.6M	-296.2K	0.39	7.33	N/A	N/A	5,240	2,028	314,284	190,572
2011-03-29	$5.58	$5.00	29.4%	8.4%	21.1%	8.2%	31.5%	-0.2%	3.5%	3.5M	-83.8M	-287.3K	0.41	9.41	N/A	N/A	24,760	10,160	315,108	190,968
2011-03-30	$5.66	$5.00	29.1%	8.4%	21.0%	7.3%	31.1%	-0.2%	3.0%	3.8M	-95.2M	-284.5K	0.32	6.08	N/A	N/A	17,324	5,596	317,652	196,656
2011-03-31	$5.63	$5.00	30.3%	8.7%	20.7%	10.6%	31.4%	-1.9%	1.9%	3.7M	-90.8M	-290.8K	0.30	6.45	N/A	N/A	18,944	5,640	316,776	197,084