GME Options History — August 2011 In August 2011, GME traded between $5.12 and $5.98. ATM implied volatility averaged 49.8%, placing in the 65.1% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 7.2% (HV 20d: 42.7%). Max pain ranged from $5.50 to $6.25. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 1.05.
Notable Days 2011-08-18 : Highest Volume — 134,532 contracts2011-08-08 : Largest IV spike — 35.6% change2011-08-08 : Highest IV Rank — 100.0%2011-08-19 : Largest Expected Move — 17.6%Monthly Statistics Metric Avg Min Max Open Close Price $5.51 $5.12 $5.98 $5.78 $5.98 Max Pain $5.91 $5.50 $6.25 $6.25 $5.50 ATM IV 49.8% 40.6% 67.3% 42.1% 40.6% Expected Move 13.8% 11.7% 17.6% 12.1% 11.7% HV 20d 42.7% 23.0% 55.8% 24.8% 55.8% HV 60d 32.3% 24.3% 37.9% 24.4% 37.9% IV Rank 65.1% 38.6% 100.0% 62.5% 38.6% IV Percentile 94.7% 78.6% 100.0% 90.9% 78.6% Term Structure -3.1% -8.6% 1.2% -3.5% 1.2% VWIV 48.4% 41.9% 62.7% 43.3% 42.4% Skew 25d 6.6% 3.4% 9.7% 4.4% 5.9% Skew 10d 12.6% 5.4% 18.7% 7.1% 11.9% Call IV 25d 45.8% 38.9% 59.5% 40.6% 38.9% Put IV 25d 52.4% 44.7% 68.6% 44.9% 44.7% Bid-Ask Spread % 9.54 6.81 13.38 7.43 8.49 Gamma HHI 0.18 0.14 0.21 0.21 0.17 Net GEX 603.1K 152.1K 1.3M 670.7K 1.3M Net DEX 2.1M -29.0M 20.9M 995.6K -29.0M Net VEX -285.4K -361.6K -222.4K -318.6K -361.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.05 0.08 3.96 0.91 0.23 Total Volume 24,175.304 2,448 134,532 6,784 8,056 Total OI 369,142.783 333,972 507,004 333,972 397,244
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 2011-08-01 $5.78 $6.25 42.1% 12.1% 24.8% 62.5% 43.3% 4.4% -3.5% 670.7K 995.6K -318.6K 0.91 7.43 N/A N/A 3,552 3,232 226,416 107,556 2011-08-02 $5.73 $6.25 42.7% 12.2% 23.0% 64.6% 42.5% 3.9% -4.0% 651.0K 2.8M -315.2K 1.16 7.93 N/A N/A 1,132 1,316 228,484 107,412 2011-08-03 $5.71 $6.25 42.7% 12.2% 23.0% 64.6% 42.8% 3.4% -4.0% 636.3K 3.6M -305.9K 3.96 7.20 N/A N/A 2,808 11,132 228,336 107,668 2011-08-04 $5.47 $6.25 50.4% 14.4% 26.0% 91.0% 50.2% 4.2% -6.2% 480.1K 9.7M -281.7K 1.56 8.68 N/A N/A 3,092 4,816 228,992 106,468 2011-08-05 $5.53 $6.25 49.6% 12.8% 27.1% 88.4% 45.0% 4.7% -1.6% 543.7K 6.6M -289.3K 1.58 6.81 N/A N/A 2,800 4,428 230,476 106,664 2011-08-08 $5.14 $6.25 67.3% 15.3% 34.4% 100.0% 52.8% 6.7% -4.0% 343.4K 15.6M -249.9K 3.01 9.21 N/A N/A 2,856 8,596 231,748 107,412 2011-08-09 $5.34 $6.25 58.5% 14.1% 36.4% 79.7% 48.9% 7.0% -4.4% 358.2K 14.5M -257.5K 1.18 9.26 N/A N/A 6,080 7,204 232,432 109,684 2011-08-10 $5.13 $6.25 65.3% 14.6% 37.7% 95.5% 50.9% 6.6% -4.4% 299.7K 18.9M -237.6K 1.60 9.11 N/A N/A 2,860 4,580 236,048 112,892 2011-08-11 $5.36 $6.25 48.5% 13.9% 41.6% 56.6% 49.0% 7.2% -3.3% 355.9K 13.8M -260.6K 0.62 8.48 N/A N/A 4,968 3,072 235,904 113,772 2011-08-12 $5.18 $6.25 45.8% 13.1% 42.9% 50.4% 45.6% 6.9% -2.5% 238.5K 19.9M -224.5K 0.29 8.94 N/A N/A 4,804 1,408 239,200 114,988 2011-08-15 $5.24 $6.25 43.0% 12.3% 43.3% 44.1% 42.7% 7.0% -2.2% 251.7K 19.4M -222.4K 2.67 10.24 N/A N/A 5,724 15,264 242,348 115,156 2011-08-16 $5.35 $6.25 46.0% 13.2% 43.9% 50.9% 46.7% 6.6% -4.3% 152.1K 16.7M -244.3K 0.72 9.63 N/A N/A 31,696 22,748 244,020 128,572 2011-08-17 $5.12 $6.00 53.1% 15.2% 45.9% 67.3% 51.1% 6.1% -7.7% 241.7K 20.9M -226.4K 0.68 12.16 N/A N/A 57,196 39,008 268,616 142,304 2011-08-18 $5.36 $5.50 57.2% 16.4% 49.5% 76.7% 62.7% 9.7% -8.6% 1.2M -1.6M -270.9K 1.24 11.33 N/A N/A 59,960 74,572 310,908 171,952 2011-08-19 $5.39 $5.50 61.5% 17.6% 49.5% 86.7% 61.7% 9.1% -6.6% 1.1M -13.2M -307.2K 0.45 9.24 N/A N/A 31,312 14,148 312,300 194,704 2011-08-22 $5.40 $5.50 55.5% 15.9% 49.4% 72.8% 55.3% 8.7% -4.0% 395.3K 608.0K -292.5K 0.56 8.22 N/A N/A 8,692 4,824 225,060 132,692 2011-08-23 $5.64 $5.50 48.9% 14.0% 52.2% 57.6% 50.6% 8.3% -1.4% 622.1K -8.2M -316.9K 0.43 13.38 N/A N/A 5,504 2,352 227,484 134,364 2011-08-24 $5.84 $5.50 46.4% 13.3% 53.6% 51.8% 46.8% 7.9% -0.0% 813.9K -16.7M -334.4K 0.32 10.30 N/A N/A 9,948 3,144 227,676 134,944 2011-08-25 $5.63 $5.50 50.2% 14.4% 55.2% 60.6% 49.1% 7.7% -2.0% 594.4K -7.3M -311.7K 0.30 11.06 N/A N/A 10,036 2,980 225,256 135,604 2011-08-26 $5.70 $5.50 45.7% 13.1% 55.4% 50.3% 48.2% 7.3% -0.4% 744.1K -10.1M -307.2K 0.54 11.33 N/A N/A 3,188 1,708 227,584 135,540 2011-08-29 $5.78 $5.50 43.4% 12.4% 55.2% 45.0% 43.6% 7.6% 0.8% 813.3K -11.0M -301.2K 0.08 10.50 N/A N/A 30,076 2,264 225,628 135,512 2011-08-30 $5.84 $5.50 41.6% 11.9% 55.3% 40.7% 41.9% 5.6% 0.9% 1.1M -19.1M -326.2K 0.17 10.51 N/A N/A 23,040 3,856 246,864 135,400 2011-08-31 $5.98 $5.50 40.6% 11.7% 55.8% 38.6% 42.4% 5.9% 1.2% 1.3M -29.0M -361.6K 0.23 8.49 N/A N/A 6,556 1,500 260,576 136,668
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