GME Options History — April 2011

In April 2011, GME traded between $5.64 and $6.64. ATM implied volatility averaged 35.6%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 7.6% (HV 20d: 28.0%). Max pain ranged from $5.00 to $6.25. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.64.

Notable Days

  • 2011-04-13: Highest Volume — 131,892 contracts
  • 2011-04-13: Largest IV spike — 22.2% change
  • 2011-04-25: Highest IV Rank — 38.5%
  • 2011-04-25: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.28$5.64$6.64$5.73$6.42
Max Pain$5.89$5.00$6.25$5.00$6.25
ATM IV35.6%28.3%40.4%30.7%38.8%
Expected Move10.6%8.8%11.6%8.8%11.1%
HV 20d28.0%20.5%33.3%20.8%33.3%
HV 60d26.3%23.4%27.9%26.3%26.4%
IV Rank25.3%5.1%38.5%11.8%34.0%
IV Percentile38.7%2.8%67.1%12.3%54.0%
Term Structure-1.9%-3.2%2.9%2.9%-2.6%
VWIV37.3%32.3%40.9%32.3%39.2%
Skew 25d0.7%-3.4%2.3%-3.4%0.6%
Skew 10d2.2%-4.4%5.6%-4.4%0.9%
Call IV 25d37.5%33.2%41.5%34.1%39.8%
Put IV 25d38.2%30.7%41.6%30.7%40.5%
Bid-Ask Spread %7.676.109.617.766.79
Gamma HHI0.210.150.320.210.17
Net GEX2.9M1.6M5.1M3.8M1.6M
Net DEX-111.9M-200.7M-65.8M-104.0M-65.8M
Net VEX-369.3K-462.5K-258.7K-284.7K-445.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.103.440.130.49
Total Volume32,1305,624131,89251,95612,552
Total OI477,977.6349,104656,764523,180388,180

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$5.73$5.0030.7%8.8%20.8%11.8%32.3%-3.4%2.9%3.8M-104.0M-284.7K0.137.76N/AN/A45,9006,056322,576200,604
2011-04-04$5.64$5.5032.4%9.7%20.5%16.4%33.8%2.2%-1.7%4.2M-94.8M-296.3K0.457.14N/AN/A7,8803,564348,216203,320
2011-04-05$5.89$5.5031.4%9.6%24.4%13.7%33.9%1.6%-1.2%4.4M-127.1M-281.8K0.186.69N/AN/A50,9649,284345,780204,916
2011-04-06$5.97$5.5031.2%9.8%24.0%13.0%34.4%2.0%-1.6%4.3M-133.6M-292.4K0.186.10N/AN/A29,0245,328346,732205,884
2011-04-07$6.01$5.7528.8%9.8%23.0%6.5%33.9%2.1%-1.9%4.1M-140.5M-282.4K0.116.11N/AN/A30,5963,376348,528208,604
2011-04-08$5.95$5.7528.3%9.7%24.0%5.1%34.2%2.3%-1.8%4.2M-129.1M-278.9K0.437.42N/AN/A4,6001,996340,312210,600
2011-04-11$5.94$5.7530.5%9.9%24.3%11.1%34.4%2.3%-2.3%4.5M-127.8M-273.0K0.198.36N/AN/A7,9761,552342,048211,628
2011-04-12$5.95$5.7530.1%9.9%22.3%10.1%34.9%2.3%-2.0%5.1M-125.7M-271.1K0.478.66N/AN/A3,8361,788339,296211,892
2011-04-13$6.34$5.7536.8%10.9%29.7%28.7%38.8%0.3%-2.6%2.5M-164.6M-258.7K0.157.20N/AN/A114,25217,640334,640211,528
2011-04-14$6.35$5.7539.2%11.2%29.6%35.1%39.3%0.9%-2.7%2.5M-176.8M-340.7K0.106.84N/AN/A99,7769,652393,840219,756
2011-04-15$6.60$5.7538.0%10.9%31.0%32.0%38.4%0.8%-2.7%2.5M-200.7M-441.5K0.147.09N/AN/A59,9488,160431,144225,620
2011-04-18$6.54$6.0040.1%11.5%31.9%37.8%40.4%0.1%-2.0%1.9M-80.3M-449.9K1.199.22N/AN/A10,70812,724253,50095,604
2011-04-19$6.64$6.2539.2%11.2%31.2%35.1%39.4%0.4%-1.6%1.9M-84.4M-458.7K0.479.39N/AN/A4,7922,260258,020104,460
2011-04-20$6.59$6.2538.8%11.1%31.9%34.1%39.4%-0.3%-1.7%1.9M-81.6M-454.8K0.548.30N/AN/A6,2483,396258,736105,152
2011-04-21$6.63$6.2538.5%11.0%31.2%33.2%38.7%-0.3%-1.9%2.0M-85.5M-455.2K2.237.76N/AN/A2,7086,032261,012107,504
2011-04-25$6.62$6.2540.4%11.6%31.2%38.5%40.9%0.0%-3.0%1.9M-83.7M-450.5K0.958.12N/AN/A4,0803,856261,100110,588
2011-04-26$6.57$6.2539.6%11.4%31.8%36.3%39.8%-0.7%-2.5%2.0M-80.6M-450.5K0.569.61N/AN/A17,7929,980262,936111,588
2011-04-27$6.55$6.2540.3%11.6%32.0%38.2%40.8%0.5%-3.2%1.8M-76.4M-462.5K3.447.34N/AN/A3,57612,284264,716120,444
2011-04-28$6.55$6.2539.3%11.3%32.1%35.4%39.5%-0.1%-2.6%1.8M-75.7M-456.1K0.467.51N/AN/A4,4322,032264,736123,812
2011-04-29$6.42$6.2538.8%11.1%33.3%34.0%39.2%0.6%-2.6%1.6M-65.8M-445.6K0.496.79N/AN/A8,4404,112262,968125,212