GME Options History — July 2011

In July 2011, GME traded between $5.82 and $6.85. ATM implied volatility averaged 33.4%, placing in the 31.9% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 4.9% (HV 20d: 28.5%). Max pain ranged from $6.25 to $7.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.90.

Notable Days

  • 2011-07-05: Highest Volume — 41,056 contracts
  • 2011-07-11: Largest IV spike — 29.5% change
  • 2011-07-29: Highest IV Rank — 55.9%
  • 2011-07-29: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.17$5.82$6.85$6.73$5.89
Max Pain$6.58$6.25$7.00$6.25$6.25
ATM IV33.4%23.9%40.2%25.1%40.2%
Expected Move9.8%7.2%11.5%7.2%11.5%
HV 20d28.5%24.5%32.7%24.6%25.1%
HV 60d24.4%23.1%25.4%25.1%24.2%
IV Rank31.9%0.0%55.9%0.0%55.9%
IV Percentile40.5%0.0%78.6%0.0%78.6%
Term Structure-0.2%-2.5%5.3%5.3%-2.5%
VWIV34.5%27.6%40.3%27.6%40.3%
Skew 25d3.4%2.6%4.1%3.5%3.8%
Skew 10d6.8%5.7%8.5%6.6%7.5%
Call IV 25d33.3%24.4%39.7%24.4%39.7%
Put IV 25d36.7%27.9%43.4%27.9%43.4%
Bid-Ask Spread %5.674.458.177.998.17
Gamma HHI0.220.200.250.200.22
Net GEX1.0M440.7K2.0M1.5M749.4K
Net DEX-22.3M-75.5M3.5M-63.7M-4.6M
Net VEX-379.7K-461.2K-335.5K-433.6K-348.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.122.450.360.19
Total Volume13,037.81,92041,05611,3009,008
Total OI400,958.2315,604494,780452,688332,380

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$6.73$6.2525.1%7.2%24.6%0.0%27.6%3.5%5.3%1.5M-63.7M-433.6K0.367.99N/AN/A8,3322,968283,940168,748
2011-07-05$6.85$7.0027.2%8.8%25.2%7.4%29.7%3.0%1.3%1.8M-75.5M-427.7K0.475.29N/AN/A27,88013,176282,876168,400
2011-07-06$6.83$7.0026.5%8.5%24.5%4.8%29.4%2.8%1.6%2.0M-75.0M-448.5K0.485.27N/AN/A12,2885,960295,652167,384
2011-07-07$6.80$6.7525.3%8.8%24.6%0.6%30.0%2.7%1.0%1.9M-75.3M-461.2K0.556.91N/AN/A10,6125,816302,136168,320
2011-07-08$6.71$6.7523.9%8.6%25.0%0.0%30.1%2.6%1.6%1.6M-64.2M-458.2K1.645.57N/AN/A3,6285,940303,640170,724
2011-07-11$6.49$6.7531.0%9.1%27.8%24.3%32.6%2.9%0.8%1.3M-40.8M-423.5K2.045.88N/AN/A3,5687,264302,968171,724
2011-07-12$6.20$6.7535.2%9.9%31.9%38.8%34.1%3.1%-0.7%987.0K-17.1M-391.6K1.294.65N/AN/A15,86420,420303,796170,860
2011-07-13$6.06$6.5033.7%9.9%32.5%33.8%33.9%3.4%-0.6%621.2K-4.5M-364.4K0.994.45N/AN/A6,4686,432305,060176,960
2011-07-14$5.96$6.5035.4%10.1%32.7%39.5%35.1%3.7%-0.9%440.7K751.7K-356.3K0.405.51N/AN/A19,2807,732308,168177,004
2011-07-15$5.90$6.5035.4%10.2%32.6%39.7%36.0%3.4%-0.5%657.9K3.5M-361.6K0.744.63N/AN/A6,3964,728317,300177,480
2011-07-18$5.86$6.5037.6%10.8%32.2%47.2%38.1%3.8%-0.7%764.3K-3.7M-348.5K2.454.72N/AN/A4,74411,608218,66896,936
2011-07-19$5.93$6.5035.3%10.1%32.1%39.4%35.9%3.8%-0.6%786.4K-5.9M-356.6K0.425.73N/AN/A2,300976220,828100,864
2011-07-20$5.82$6.5036.4%10.4%30.0%42.8%35.9%4.1%-0.8%697.2K-856.4K-335.5K1.405.20N/AN/A4,1925,884222,404101,348
2011-07-21$5.83$6.5035.7%10.2%28.3%40.7%34.9%3.4%-1.0%708.1K-550.4K-337.6K0.905.11N/AN/A1,012908225,320104,460
2011-07-22$5.87$6.5035.5%10.2%28.6%39.9%35.6%3.5%-1.1%738.9K-2.2M-340.8K2.275.50N/AN/A1,7844,044225,368104,904
2011-07-25$5.91$6.5035.9%10.3%29.0%41.4%39.3%3.6%-1.5%741.9K-3.1M-341.9K0.925.25N/AN/A2,6922,468226,256108,168
2011-07-26$5.94$6.5036.4%10.4%29.1%43.0%36.4%3.3%-1.3%790.5K-5.6M-356.4K0.125.49N/AN/A2,152248227,140108,080
2011-07-27$5.88$6.5038.6%11.1%27.5%50.4%38.0%3.6%-1.8%751.0K-3.4M-351.5K0.126.03N/AN/A6,956844228,600108,020
2011-07-28$5.89$6.5038.1%10.9%27.5%48.8%38.0%3.7%-1.5%763.4K-4.2M-350.4K0.246.04N/AN/A3,376808228,424107,856
2011-07-29$5.89$6.2540.2%11.5%25.1%55.9%40.3%3.8%-2.5%749.4K-4.6M-348.2K0.198.17N/AN/A7,5921,416224,788107,592