GME Options History — June 2011

In June 2011, GME traded between $6.45 and $6.88. ATM implied volatility averaged 31.8%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 10.5% (HV 20d: 21.2%). Max pain ranged from $5.75 to $7.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.26.

Notable Days

  • 2011-06-28: Highest Volume — 30,420 contracts
  • 2011-06-30: Largest IV drop — 10.0% change
  • 2011-06-16: Highest IV Rank — 32.0%
  • 2011-06-16: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.62$6.45$6.88$6.87$6.67
Max Pain$6.10$5.75$7.00$6.75$6.25
ATM IV31.8%26.7%35.0%32.3%26.7%
Expected Move9.2%7.7%10.0%9.3%7.7%
HV 20d21.2%16.4%25.3%20.7%25.3%
HV 60d25.3%24.3%26.2%24.8%25.2%
IV Rank19.9%0.9%32.0%22.0%0.9%
IV Percentile23.1%0.8%42.1%24.2%0.8%
Term Structure2.6%0.9%5.0%1.1%4.5%
VWIV32.1%27.4%35.4%32.4%27.4%
Skew 25d2.4%1.1%3.6%1.1%3.1%
Skew 10d4.5%2.5%7.2%2.7%5.1%
Call IV 25d31.3%26.5%34.6%32.3%26.5%
Put IV 25d33.7%29.6%36.5%33.4%29.6%
Bid-Ask Spread %8.645.6814.1110.926.79
Gamma HHI0.210.160.250.250.19
Net GEX1.8M893.0K3.0M3.0M1.4M
Net DEX-59.4M-88.2M-44.5M-88.2M-58.2M
Net VEX-448.0K-508.8K-409.0K-508.8K-436.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.0910.530.700.96
Total Volume10,672.3642,49630,42014,6805,892
Total OI458,988.364411,616497,712474,956452,020

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$6.87$6.7532.3%9.3%20.7%22.0%32.4%1.1%1.1%3.0M-88.2M-508.8K0.7010.92N/AN/A8,6406,040319,952155,004
2011-06-02$6.82$7.0031.1%8.9%20.8%17.4%32.7%1.1%2.4%2.8M-80.7M-508.8K0.189.47N/AN/A8,2521,456320,160157,888
2011-06-03$6.68$5.7531.3%9.5%22.2%18.1%33.2%2.5%1.8%2.4M-67.7M-489.6K0.8810.00N/AN/A4,4363,924321,268158,448
2011-06-06$6.64$5.7534.0%9.8%21.4%28.5%35.3%2.4%1.2%2.3M-64.4M-483.6K0.597.79N/AN/A2,7841,640320,608158,548
2011-06-07$6.54$5.7532.9%9.7%22.2%24.2%34.0%2.1%1.5%1.9M-54.7M-461.5K0.919.61N/AN/A3,1322,852320,420158,856
2011-06-08$6.57$5.7532.8%9.7%21.9%23.8%34.0%2.4%1.8%1.9M-55.2M-464.6K0.396.50N/AN/A9,7963,844320,768159,620
2011-06-09$6.63$5.7532.6%9.4%22.1%23.2%33.1%2.3%2.3%2.1M-59.7M-465.3K0.695.68N/AN/A5,7964,016322,084159,864
2011-06-10$6.57$5.7532.8%9.4%22.3%23.7%32.8%2.0%2.2%1.8M-53.8M-451.2K0.467.11N/AN/A2,5361,176322,248158,432
2011-06-13$6.56$5.7533.7%9.7%19.4%27.1%33.1%2.4%1.7%1.8M-53.7M-439.9K0.427.13N/AN/A3,6321,508322,408158,148
2011-06-14$6.61$5.7532.5%9.3%19.4%22.7%32.4%2.2%2.3%1.8M-56.2M-441.7K0.587.90N/AN/A2,7801,616323,032158,696
2011-06-15$6.53$5.7534.9%10.0%19.8%31.9%34.5%2.1%0.9%1.4M-50.0M-432.5K10.5310.50N/AN/A2,06021,700324,052158,052
2011-06-16$6.55$6.2535.0%10.0%19.2%32.0%35.4%1.8%1.7%893.0K-45.7M-447.4K0.327.42N/AN/A11,1403,548323,496174,216
2011-06-17$6.61$6.2533.9%9.7%17.3%28.1%33.3%2.8%2.2%1.4M-54.6M-445.3K0.336.55N/AN/A6,0641,992329,164167,228
2011-06-20$6.70$6.2530.9%8.9%16.4%16.7%30.5%2.9%3.8%1.7M-67.0M-436.2K0.096.32N/AN/A11,8481,028269,800143,036
2011-06-21$6.88$6.2527.8%8.0%19.0%5.0%29.3%2.5%5.0%2.0M-80.9M-435.2K0.137.90N/AN/A11,4361,532270,144143,028
2011-06-22$6.63$6.2528.7%8.2%22.8%8.4%29.2%3.0%4.8%1.5M-60.8M-425.3K0.589.52N/AN/A4,7482,740268,064143,552
2011-06-23$6.57$6.2530.2%8.7%22.9%14.1%30.4%2.2%4.6%1.5M-55.8M-419.2K1.878.57N/AN/A2,0763,872271,508145,120
2011-06-24$6.53$6.2530.3%8.7%22.9%14.3%30.3%2.8%4.7%1.3M-51.7M-415.0K1.7114.11N/AN/A9201,576271,804147,212
2011-06-27$6.45$6.2532.9%9.4%21.9%24.2%33.0%3.1%2.0%1.2M-45.5M-409.0K0.2211.34N/AN/A16,5243,716271,892148,424
2011-06-28$6.59$6.2531.8%9.1%23.7%20.0%30.2%3.6%2.5%1.6M-57.6M-418.0K4.2210.11N/AN/A5,82824,592280,024150,116
2011-06-29$6.50$6.2529.7%8.5%23.3%12.2%29.9%3.1%3.1%1.3M-44.5M-421.6K0.998.81N/AN/A5,0765,028283,852165,488
2011-06-30$6.67$6.2526.7%7.7%25.3%0.9%27.4%3.1%4.5%1.4M-58.2M-436.5K0.966.79N/AN/A3,0082,884284,408167,612