GME Options History — December 2011

In December 2011, GME traded between $5.67 and $6.18. ATM implied volatility averaged 35.4%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 1.0% (HV 20d: 34.5%). Max pain ranged from $5.75 to $6.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.26.

Notable Days

  • 2011-12-20: Highest Volume — 27,296 contracts
  • 2011-12-09: Largest IV drop — 17.0% change
  • 2011-12-08: Highest IV Rank — 42.3%
  • 2011-12-08: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.93$5.67$6.18$5.84$6.03
Max Pain$5.98$5.75$6.00$5.75$6.00
ATM IV35.4%30.4%42.3%37.6%32.2%
Expected Move10.1%8.7%11.2%10.8%9.2%
HV 20d34.5%28.1%39.0%39.0%28.2%
HV 60d34.8%32.6%35.9%35.6%32.7%
IV Rank26.6%14.9%42.3%31.7%19.2%
IV Percentile38.7%14.7%73.8%46.8%25.0%
Term Structure1.9%0.8%3.9%0.8%1.9%
VWIV36.4%31.3%39.7%39.7%32.6%
Skew 25d1.1%-4.0%2.7%-4.0%0.6%
Skew 10d1.9%-7.1%4.3%-7.1%2.8%
Call IV 25d35.7%30.8%41.5%41.5%32.9%
Put IV 25d36.7%31.5%41.5%37.4%33.5%
Bid-Ask Spread %9.996.3017.979.657.15
Gamma HHI0.140.100.280.130.14
Net GEX1.2M-403.9K4.8M837.1K786.8K
Net DEX-8.0M-49.2M13.0M-6.1M-6.5M
Net VEX-352.7K-425.2K-276.9K-425.2K-303.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.087.120.880.19
Total Volume11,151.2381,18427,29621,9482,068
Total OI612,329.905482,924703,900668,900527,840

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$5.84$5.7537.6%10.8%39.0%31.7%39.7%-4.0%0.8%837.1K-6.1M-425.2K0.889.65N/AN/A11,66810,280418,332250,568
2011-12-02$5.80$5.7536.1%10.3%37.0%28.1%37.6%-3.1%2.0%449.0K1.0M-410.4K0.739.04N/AN/A6,5604,792422,068255,044
2011-12-05$5.92$6.0039.5%11.0%38.1%35.9%38.8%2.3%1.2%1.3M-13.6M-413.0K0.638.12N/AN/A9,8806,188419,408254,696
2011-12-06$5.83$6.0036.9%10.9%38.2%30.0%39.5%1.6%2.0%540.1K-1.2M-391.2K0.568.11N/AN/A1,336744420,308255,996
2011-12-07$5.92$6.0041.8%11.2%38.6%41.4%39.6%1.7%1.4%1.4M-14.1M-410.8K0.137.04N/AN/A16,5202,120421,056256,128
2011-12-08$5.89$6.0042.3%11.2%37.5%42.3%39.7%1.9%1.3%1.3M-11.0M-410.1K1.2010.46N/AN/A2,3682,832432,648258,776
2011-12-09$6.05$6.0035.1%10.9%38.7%25.8%39.1%1.9%2.3%3.2M-32.2M-411.8K0.228.62N/AN/A12,2002,704432,588258,580
2011-12-12$6.18$6.0038.8%10.9%38.5%34.4%38.6%1.6%1.2%4.8M-49.2M-409.0K2.2111.05N/AN/A6,05613,356432,040259,936
2011-12-13$6.02$6.0038.2%10.6%38.9%32.9%39.4%1.9%2.2%2.9M-22.6M-377.3K0.3816.81N/AN/A14,3085,400433,544268,808
2011-12-14$5.87$6.0039.0%10.6%36.5%34.7%39.3%2.7%2.5%57.3K-1.8M-346.2K0.0813.73N/AN/A13,9761,068439,292264,608
2011-12-15$5.92$6.0036.4%10.4%32.5%28.9%37.7%2.7%2.3%1.3M-8.7M-335.8K0.3917.97N/AN/A4,3081,676429,632264,556
2011-12-16$5.83$6.0035.3%10.1%31.4%26.3%38.2%2.3%3.9%-403.9K-665.8K-316.8K4.9810.16N/AN/A1,2046,000428,960265,124
2011-12-19$5.67$6.0034.2%9.8%32.3%23.8%34.5%2.5%2.0%617.6K13.0M-276.9K1.148.28N/AN/A2,8523,244331,140151,784
2011-12-20$5.87$6.0032.1%9.2%34.4%19.0%33.2%1.4%2.5%992.3K1.9M-300.0K4.3611.38N/AN/A5,08822,208332,516152,632
2011-12-21$5.88$6.0030.7%8.8%33.9%15.6%31.3%1.1%2.3%534.5K4.9M-307.9K7.1210.73N/AN/A1,44010,256332,892172,820
2011-12-22$5.95$6.0031.0%8.9%33.4%16.3%32.3%0.9%2.1%538.6K1.3M-316.4K0.378.40N/AN/A6,8202,516333,788181,460
2011-12-23$5.98$6.0030.4%8.7%31.4%14.9%31.4%0.5%2.3%692.7K-2.8M-312.9K0.2310.43N/AN/A5,1041,196337,696182,468
2011-12-27$5.98$6.0031.9%9.2%28.8%18.5%32.8%0.1%1.7%716.5K-2.8M-306.3K0.218.03N/AN/A5,6201,168341,176182,804
2011-12-28$6.02$6.0032.4%9.3%28.3%19.6%35.1%0.7%1.6%894.6K-6.0M-313.8K0.468.26N/AN/A812372344,168183,216
2011-12-29$6.09$6.0032.5%9.3%28.1%19.9%34.8%1.1%1.4%1.0M-11.4M-310.8K0.096.30N/AN/A5,380488344,504183,328
2011-12-30$6.03$6.0032.2%9.2%28.2%19.2%32.6%0.6%1.9%786.8K-6.5M-303.3K0.197.15N/AN/A1,740328344,448183,392