GME Options History — November 2011

In November 2011, GME traded between $5.38 and $6.46. ATM implied volatility averaged 43.9%, placing in the 46.1% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 9.5% (HV 20d: 34.4%). Max pain ranged from $5.75 to $6.50. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.90.

Notable Days

  • 2011-11-16: Highest Volume — 183,228 contracts
  • 2011-11-16: Largest IV spike — 21.7% change
  • 2011-11-16: Highest IV Rank — 73.8%
  • 2011-11-16: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.95$5.38$6.46$6.26$5.78
Max Pain$6.07$5.75$6.50$6.25$5.75
ATM IV43.9%39.6%55.9%44.5%40.9%
Expected Move12.3%11.1%16.0%12.8%11.7%
HV 20d34.4%30.7%38.7%30.7%38.7%
HV 60d37.1%35.6%40.1%40.1%35.7%
IV Rank46.1%36.3%73.8%47.5%39.3%
IV Percentile79.9%60.7%98.0%86.9%66.3%
Term Structure-0.8%-6.5%4.0%-2.8%0.3%
VWIV44.0%38.6%57.1%46.8%40.7%
Skew 25d2.3%-5.6%6.2%6.1%-4.7%
Skew 10d4.2%-9.9%13.0%13.0%-8.6%
Call IV 25d43.6%37.6%56.0%43.5%45.4%
Put IV 25d45.9%40.7%60.2%49.6%40.7%
Bid-Ask Spread %15.646.7724.8313.369.30
Gamma HHI0.150.120.200.170.12
Net GEX1.1M-598.7K2.5M1.9M679.2K
Net DEX-8.8M-49.5M44.7M-36.0M-1.9M
Net VEX-386.8K-434.6K-337.1K-424.5K-427.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.063.290.820.67
Total Volume30,361.9051,672183,2284,76820,180
Total OI542,543.238454,232674,616454,232673,196

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$6.26$6.2544.5%12.8%30.7%47.5%46.8%6.1%-2.8%1.9M-36.0M-424.5K0.8213.36N/AN/A2,6162,152306,404147,828
2011-11-02$6.28$6.2545.1%12.9%30.7%48.9%43.9%5.5%-3.5%2.0M-37.3M-423.5K0.3713.91N/AN/A1,620592307,484147,192
2011-11-03$6.46$6.2542.5%12.2%32.1%42.9%44.2%5.6%-3.3%2.4M-49.5M-433.9K0.6924.83N/AN/A4,1882,896307,644147,548
2011-11-04$6.42$6.2542.9%11.3%32.1%43.9%43.0%5.1%-0.7%2.4M-48.1M-434.6K0.8919.11N/AN/A6,2685,564308,804148,748
2011-11-07$6.36$6.2546.5%11.7%32.2%52.1%41.7%5.3%-1.2%2.3M-42.0M-422.0K1.3222.33N/AN/A720952313,764152,140
2011-11-08$6.41$6.2544.0%11.1%32.0%46.3%38.6%5.8%-0.8%2.5M-44.9M-417.5K0.4822.40N/AN/A3,3721,612314,192152,388
2011-11-09$6.23$6.2548.3%12.0%32.0%56.2%42.4%6.2%-1.7%2.0M-31.4M-400.2K1.0620.06N/AN/A3,2803,476313,984153,508
2011-11-10$6.15$6.2541.3%11.8%31.7%40.0%42.8%6.1%-1.1%1.8M-24.0M-382.3K0.8118.68N/AN/A4,1283,360315,544156,244
2011-11-11$6.29$6.2540.5%11.6%32.9%38.2%40.3%5.9%-1.3%2.2M-35.8M-400.2K3.2922.80N/AN/A9523,132318,832157,528
2011-11-14$6.16$6.2543.3%12.4%30.9%44.6%43.6%5.0%-2.7%1.8M-24.4M-372.1K0.8017.39N/AN/A10,6768,516316,516159,092
2011-11-15$5.89$6.5045.9%13.2%32.9%50.8%46.8%3.4%-2.2%1.1M-6.0M-344.0K1.4017.09N/AN/A33,76847,224321,596163,296
2011-11-16$5.63$6.5055.9%16.0%36.1%73.8%57.1%4.3%-6.5%278.0K17.6M-340.9K0.9619.24N/AN/A93,36889,860346,772207,296
2011-11-17$5.48$6.0045.4%13.0%36.6%49.7%45.4%3.0%-1.0%-598.7K44.7M-337.1K1.1119.23N/AN/A23,48825,960399,884271,208
2011-11-18$5.62$5.7543.0%12.3%38.1%44.0%43.4%0.1%0.5%260.6K27.4M-358.0K1.3811.56N/AN/A27,53638,092412,088262,528
2011-11-21$5.68$5.7543.1%12.4%37.4%44.4%44.3%-0.2%1.6%215.5K10.7M-375.8K0.807.80N/AN/A8,2846,624362,680217,532
2011-11-22$5.61$5.7539.6%11.4%37.3%36.3%40.5%-1.2%2.7%-105.4K17.7M-355.4K0.588.75N/AN/A36,58021,080368,476217,224
2011-11-23$5.53$5.7541.0%11.8%37.0%39.5%42.8%-3.1%3.1%-131.2K20.6M-389.2K0.207.37N/AN/A8,2961,664399,312235,824
2011-11-25$5.38$5.7540.8%11.7%34.5%39.1%42.3%-0.8%4.0%-568.8K35.2M-339.2K0.756.77N/AN/A3,8282,872394,040232,196
2011-11-28$5.59$5.7542.2%12.1%37.9%42.2%46.2%-3.7%1.5%-200.3K17.5M-367.5K0.067.69N/AN/A11,408692394,256234,596
2011-11-29$5.69$5.7545.4%13.0%38.4%49.5%47.4%-5.6%-1.5%395.1K6.3M-377.0K0.4218.68N/AN/A46,87619,848401,164232,860
2011-11-30$5.78$5.7540.9%11.7%38.7%39.3%40.7%-4.7%0.3%679.2K-1.9M-427.0K0.679.30N/AN/A12,0728,108428,812244,384