GME Options History — May 2011

In May 2011, GME traded between $6.37 and $7.05. ATM implied volatility averaged 37.5%, placing in the 34.4% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 14.0% (HV 20d: 23.5%). Max pain ranged from $6.25 to $6.75. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.60.

Notable Days

  • 2011-05-19: Highest Volume — 119,716 contracts
  • 2011-05-12: Largest IV drop — 19.6% change
  • 2011-05-11: Highest IV Rank — 52.2%
  • 2011-05-04: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.67$6.37$7.05$6.45$7.00
Max Pain$6.60$6.25$6.75$6.25$6.75
ATM IV37.5%30.2%45.3%41.1%30.5%
Expected Move10.4%8.7%11.9%11.8%8.8%
HV 20d23.5%17.4%33.0%33.0%19.1%
HV 60d25.0%24.4%26.1%26.1%24.7%
IV Rank34.4%14.0%52.2%40.3%15.3%
IV Percentile50.4%11.1%92.5%71.4%12.7%
Term Structure-1.1%-4.4%2.2%-3.9%1.5%
VWIV36.8%30.7%43.4%41.2%30.9%
Skew 25d1.2%-0.8%2.8%0.3%1.2%
Skew 10d2.0%-3.3%5.4%-0.4%1.3%
Call IV 25d36.6%30.6%42.5%42.3%30.9%
Put IV 25d37.8%31.4%44.0%42.6%32.0%
Bid-Ask Spread %8.844.9218.508.194.92
Gamma HHI0.210.150.380.170.26
Net GEX2.4M1.7M3.8M1.8M3.4M
Net DEX-85.2M-127.7M-61.1M-68.0M-100.8M
Net VEX-472.3K-535.7K-426.9K-443.2K-513.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.071.580.550.66
Total Volume31,663.2384,492119,71612,89211,384
Total OI439,033.905394,520512,064394,520473,984

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$6.45$6.2541.1%11.8%33.0%40.3%41.2%0.3%-3.9%1.8M-68.0M-443.2K0.558.19N/AN/A8,3244,568268,972125,548
2011-05-03$6.46$6.2541.1%11.8%32.1%40.5%42.1%0.6%-3.8%1.8M-70.6M-452.6K0.088.37N/AN/A16,2481,304272,936126,572
2011-05-04$6.42$6.2541.6%11.9%29.2%41.8%43.4%1.6%-4.2%1.7M-65.0M-437.9K1.586.16N/AN/A2,5364,012269,740127,432
2011-05-05$6.47$6.2541.3%11.8%29.1%41.0%42.1%1.5%-4.4%1.8M-69.5M-440.9K0.088.67N/AN/A7,624588271,772127,760
2011-05-06$6.37$6.7540.9%10.6%29.9%39.9%36.5%2.0%-1.3%1.8M-62.1M-433.3K0.646.73N/AN/A13,1688,492277,668127,620
2011-05-09$6.37$6.7543.4%10.6%29.6%46.7%36.3%2.8%-1.7%1.8M-61.1M-426.9K0.776.69N/AN/A13,75610,540275,464131,312
2011-05-10$6.45$6.7541.8%10.2%29.6%42.3%36.3%2.5%-1.1%1.9M-67.7M-457.9K0.647.82N/AN/A3,2402,080286,172140,172
2011-05-11$6.45$6.7545.3%10.5%29.7%52.2%36.6%2.8%-1.4%1.9M-67.9M-457.5K0.076.64N/AN/A16,2481,180285,844140,808
2011-05-12$6.48$6.7536.4%10.4%19.7%32.4%37.9%2.0%-1.4%2.3M-74.4M-458.5K0.326.51N/AN/A3,4001,092297,076141,152
2011-05-13$6.68$6.5036.6%10.5%22.2%32.8%37.1%1.5%-1.3%2.4M-92.8M-474.5K0.529.75N/AN/A32,29216,808297,068141,828
2011-05-16$6.62$6.7538.1%10.9%18.1%37.9%38.4%1.4%-2.1%2.1M-83.4M-456.8K0.797.23N/AN/A13,85610,988296,912146,080
2011-05-17$6.59$6.5038.1%10.9%17.8%37.9%38.0%1.7%-2.0%2.1M-80.8M-452.9K0.507.25N/AN/A4,4002,192300,220146,008
2011-05-18$6.67$6.5038.7%11.1%17.4%40.8%39.7%2.5%-1.8%2.2M-87.4M-462.2K0.889.30N/AN/A38,93634,344300,756144,980
2011-05-19$6.83$6.5034.0%9.7%19.0%27.6%34.2%1.1%-0.1%3.0M-109.4M-454.9K0.7214.96N/AN/A69,58450,132315,256165,356
2011-05-20$6.97$6.5037.5%10.8%20.0%41.6%37.5%-0.4%-0.9%3.8M-127.7M-484.5K0.219.55N/AN/A92,79219,916331,020181,044
2011-05-23$6.92$6.7534.8%10.0%20.3%31.3%35.0%-0.6%0.3%2.7M-96.3M-513.0K0.348.35N/AN/A15,1245,196294,496137,160
2011-05-24$6.91$6.7532.5%9.3%20.1%22.6%33.3%-0.8%0.9%2.9M-95.9M-508.4K0.2218.50N/AN/A58,16813,020302,208140,352
2011-05-25$6.94$6.7532.8%9.4%20.0%23.8%33.0%1.0%1.3%3.2M-100.4M-529.6K1.218.06N/AN/A14,28417,264319,588144,668
2011-05-26$6.94$6.7531.5%9.0%20.0%19.0%32.0%0.8%1.6%3.2M-98.7M-535.7K1.098.04N/AN/A3,6523,984322,412151,152
2011-05-27$7.05$6.7530.2%8.7%18.6%14.0%30.7%0.8%2.2%3.5M-108.9M-524.1K0.6613.93N/AN/A10,9847,228321,056152,088
2011-05-31$7.00$6.7530.5%8.8%19.1%15.3%30.9%1.2%1.5%3.4M-100.8M-513.6K0.664.92N/AN/A6,8644,520318,760155,224