GME Options History — October 2011

In October 2011, GME traded between $5.74 and $6.55. ATM implied volatility averaged 41.9%, placing in the 41.5% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 6.3% (HV 20d: 35.6%). Max pain ranged from $6.00 to $6.25. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.65.

Notable Days

  • 2011-10-12: Highest Volume — 55,420 contracts
  • 2011-10-13: Largest IV spike — 23.9% change
  • 2011-10-03: Highest IV Rank — 66.3%
  • 2011-10-03: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.22$5.74$6.55$5.74$6.39
Max Pain$6.08$6.00$6.25$6.00$6.25
ATM IV41.9%34.3%52.7%52.7%40.2%
Expected Move12.4%11.0%15.1%15.1%11.5%
HV 20d35.6%29.8%38.9%37.4%31.5%
HV 60d42.3%41.3%43.5%42.5%42.8%
IV Rank41.5%23.9%66.3%66.3%37.5%
IV Percentile72.8%38.9%97.2%97.2%63.1%
Term Structure-0.4%-2.7%5.8%1.6%-1.4%
VWIV44.1%38.1%51.1%51.0%41.3%
Skew 25d5.8%3.3%7.7%7.7%4.0%
Skew 10d12.1%6.4%15.7%14.3%8.4%
Call IV 25d41.5%37.2%50.6%50.6%40.0%
Put IV 25d47.3%41.0%58.3%58.3%44.0%
Bid-Ask Spread %9.446.5416.658.5212.17
Gamma HHI0.180.130.300.160.19
Net GEX2.2M1.0M3.6M1.0M2.3M
Net DEX-39.3M-61.5M-15.0M-15.0M-45.9M
Net VEX-392.1K-455.1K-324.4K-324.4K-429.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.650.0715.680.191.50
Total Volume22,839.0481,09655,4204,0286,364
Total OI472,835.619395,512559,512395,512450,856

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$5.74$6.0052.7%15.1%37.4%66.3%51.0%7.7%1.6%1.0M-15.0M-324.4K0.198.52N/AN/A3,380648281,924113,588
2011-10-04$5.95$6.0047.5%13.6%38.0%54.4%49.7%6.4%2.3%1.3M-25.7M-342.5K4.638.88N/AN/A8,47639,240282,296113,884
2011-10-05$5.97$6.0043.6%12.5%37.6%45.3%42.4%6.6%4.8%1.1M-22.6M-357.9K0.0710.49N/AN/A26,0961,804286,184149,600
2011-10-06$6.01$6.0040.9%11.7%37.2%39.2%42.7%6.1%5.8%1.5M-25.9M-361.2K1.287.85N/AN/A480616306,280150,004
2011-10-07$6.08$6.2540.1%13.3%37.3%37.4%49.1%7.3%-1.9%1.7M-30.7M-359.9K3.316.86N/AN/A2,6088,644306,604150,508
2011-10-10$6.14$6.2538.3%12.8%37.4%33.1%45.3%7.6%-1.9%1.9M-34.1M-361.7K0.078.41N/AN/A33,5162,344306,948157,636
2011-10-11$6.23$6.0037.9%12.5%37.5%32.3%44.4%6.5%-1.8%2.4M-40.8M-371.6K0.387.90N/AN/A14,1045,392313,636159,608
2011-10-12$6.41$6.0034.3%11.7%37.3%23.9%40.4%5.7%-1.0%3.4M-61.5M-387.4K0.456.66N/AN/A38,34017,080320,604161,444
2011-10-13$6.30$6.0042.4%12.2%36.6%42.8%43.5%5.8%-0.8%2.7M-45.8M-392.6K0.526.98N/AN/A17,4929,060328,476172,880
2011-10-14$6.29$6.0041.3%11.8%36.4%40.1%43.4%5.2%-0.3%2.8M-45.1M-401.2K0.147.81N/AN/A17,4882,368338,124176,288
2011-10-17$6.06$6.0045.2%13.0%37.6%49.1%45.5%6.6%-2.7%1.5M-23.7M-369.3K2.3715.14N/AN/A8,88021,012344,352176,752
2011-10-18$6.25$6.0043.0%12.3%38.9%43.9%43.5%5.6%-1.8%2.4M-39.0M-377.5K0.707.73N/AN/A16,83211,860346,684179,928
2011-10-19$6.22$6.0043.4%12.4%37.8%44.9%43.0%6.3%-1.9%2.3M-36.8M-401.3K0.137.21N/AN/A14,6721,904359,504186,252
2011-10-20$6.26$6.0043.6%12.5%34.9%45.5%43.0%5.8%-1.9%2.6M-42.2M-416.0K0.586.63N/AN/A4,0042,316370,684186,584
2011-10-21$6.26$6.0042.0%12.0%34.8%41.8%42.4%5.3%-0.9%3.6M-42.6M-409.2K0.226.54N/AN/A24,6165,336371,836187,676
2011-10-24$6.39$6.0042.1%12.1%31.7%42.0%42.0%6.1%-1.2%1.9M-46.2M-430.3K0.1713.28N/AN/A41,5526,864283,028134,284
2011-10-25$6.40$6.2541.6%11.9%31.6%40.8%43.1%4.8%-0.6%2.2M-50.3M-438.1K0.9811.79N/AN/A5,3085,228296,228136,748
2011-10-26$6.26$6.2543.1%12.3%32.2%44.2%51.1%4.6%-1.4%1.9M-39.9M-419.6K15.6810.43N/AN/A1,75227,468296,460137,304
2011-10-27$6.48$6.2538.5%11.0%33.6%33.6%40.1%3.3%-0.6%2.4M-53.3M-429.2K0.8910.26N/AN/A9,9648,896297,488162,032
2011-10-28$6.55$6.2538.3%11.0%29.8%33.2%38.1%3.7%-0.3%2.6M-57.7M-455.1K0.4516.65N/AN/A3,8761,740302,672145,680
2011-10-31$6.39$6.2540.2%11.5%31.5%37.5%41.3%4.0%-1.4%2.3M-45.9M-429.1K1.5012.17N/AN/A2,5483,816304,520146,336