GME Options History — September 2011

In September 2011, GME traded between $5.54 and $6.22. ATM implied volatility averaged 43.5%, placing in the 45.2% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 0.2% (HV 20d: 43.3%). Max pain ranged from $5.50 to $6.25. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.15.

Notable Days

  • 2011-09-14: Highest Volume — 21,972 contracts
  • 2011-09-06: Largest IV spike — 15.1% change
  • 2011-09-30: Highest IV Rank — 57.8%
  • 2011-09-30: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.86$5.54$6.22$5.76$5.78
Max Pain$6.10$5.50$6.25$5.50$6.00
ATM IV43.5%36.9%49.0%40.2%49.0%
Expected Move12.7%11.5%14.0%11.5%14.0%
HV 20d43.3%36.7%57.1%55.3%40.1%
HV 60d40.6%38.7%42.5%38.7%42.5%
IV Rank45.2%30.1%57.8%37.7%57.8%
IV Percentile84.4%55.6%95.2%75.0%95.2%
Term Structure1.4%-1.6%3.4%2.4%3.3%
VWIV44.0%39.0%48.0%40.4%46.7%
Skew 25d7.1%6.2%8.1%6.7%8.1%
Skew 10d13.7%10.8%16.0%13.9%13.6%
Call IV 25d42.0%38.2%46.0%38.3%46.0%
Put IV 25d49.1%44.4%54.1%45.0%54.1%
Bid-Ask Spread %8.887.0311.379.659.45
Gamma HHI0.180.140.260.150.16
Net GEX1.3M802.9K2.7M1.1M1.2M
Net DEX-21.6M-46.0M-4.5M-16.1M-17.9M
Net VEX-335.4K-366.7K-298.3K-328.1K-335.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.105.331.522.76
Total Volume8,763.2381,36821,9721,6841,368
Total OI393,223.238348,796422,104398,464403,328

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$5.76$5.5040.2%11.5%55.3%37.7%40.4%6.7%2.4%1.1M-16.1M-328.1K1.529.65N/AN/A6681,016261,440137,024
2011-09-02$5.54$5.5042.5%12.2%57.1%42.9%45.1%6.9%1.9%802.9K-4.5M-298.3K5.327.75N/AN/A6683,556261,516137,636
2011-09-06$5.70$6.2548.9%13.3%50.9%57.7%44.2%8.0%-1.3%985.6K-13.5M-327.3K0.2311.37N/AN/A12,9202,956261,312139,720
2011-09-07$5.80$6.2543.1%12.5%49.6%44.4%42.5%7.3%-0.7%1.3M-18.7M-330.3K0.468.28N/AN/A5,9442,740264,904139,968
2011-09-08$5.73$6.2543.2%12.5%47.4%44.4%41.9%7.7%-0.7%1.2M-14.7M-322.2K5.337.64N/AN/A5602,984266,568141,388
2011-09-09$5.78$6.2546.0%13.7%45.4%50.9%47.9%8.0%-1.6%1.2M-18.9M-339.7K0.297.61N/AN/A11,4323,272266,536143,412
2011-09-12$5.80$6.2545.4%13.7%43.1%49.6%47.9%7.4%-1.4%1.3M-18.9M-333.1K1.589.13N/AN/A6481,024267,300143,944
2011-09-13$5.79$6.2539.0%13.2%43.1%34.7%44.6%7.7%-1.0%1.3M-18.4M-325.8K0.297.69N/AN/A2,908832266,916144,388
2011-09-14$5.98$6.2536.9%12.5%43.8%30.1%42.2%7.0%-0.4%1.4M-28.7M-341.7K0.107.46N/AN/A19,9082,064266,924144,380
2011-09-15$6.16$6.2540.6%11.6%40.4%38.5%39.9%6.9%1.0%1.7M-41.4M-365.2K0.197.84N/AN/A4,424828276,140145,356
2011-09-16$6.22$6.2540.1%11.5%38.0%37.4%39.0%6.2%1.6%2.7M-46.0M-366.7K0.697.03N/AN/A5,4483,780276,908145,196
2011-09-19$6.06$6.2541.9%12.0%39.9%41.5%41.0%6.4%2.6%1.3M-28.0M-338.4K0.248.04N/AN/A3,992952253,38095,416
2011-09-20$6.00$6.2540.8%11.7%40.3%39.1%40.8%6.5%3.0%1.3M-24.7M-333.1K0.287.17N/AN/A15,2204,332255,38095,992
2011-09-21$5.86$6.2543.1%12.4%38.7%44.3%41.4%6.5%3.1%1.2M-21.2M-336.0K1.009.43N/AN/A1,7281,720268,86499,636
2011-09-22$5.65$6.0045.4%13.0%39.0%49.5%47.0%7.5%3.1%965.5K-12.2M-312.5K0.8210.97N/AN/A11,3329,260267,936100,476
2011-09-23$5.63$6.0047.0%13.5%36.7%53.3%47.1%6.5%2.1%853.2K-10.0M-317.0K0.729.82N/AN/A3,5002,524268,592106,972
2011-09-26$5.90$6.0045.0%12.9%40.3%48.7%47.6%6.6%3.4%1.1M-22.6M-346.3K0.8010.03N/AN/A2,6722,148270,240107,704
2011-09-27$5.97$6.0044.2%12.7%40.2%46.9%43.1%6.4%3.4%1.2M-26.0M-350.7K0.2511.00N/AN/A13,7563,496271,436109,432
2011-09-28$5.88$6.0046.1%13.2%40.5%51.1%48.0%7.1%2.9%1.3M-22.9M-340.5K0.729.07N/AN/A1,004724282,216109,448
2011-09-29$6.00$6.0045.6%13.1%40.1%50.0%44.8%8.1%3.2%1.4M-28.4M-355.1K0.5310.01N/AN/A8,9884,732282,440109,924
2011-09-30$5.78$6.0049.0%14.0%40.1%57.8%46.7%8.1%3.3%1.2M-17.9M-335.6K2.769.45N/AN/A3641,004290,332112,996