GME Options History — January 2012

In January 2012, GME traded between $5.81 and $6.32. ATM implied volatility averaged 33.2%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 0.7% (HV 20d: 32.5%). Max pain ranged from $5.50 to $6.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.68.

Notable Days

  • 2012-01-09: Highest Volume — 82,964 contracts
  • 2012-01-06: Largest IV spike — 26.1% change
  • 2012-01-06: Highest IV Rank — 51.8%
  • 2012-01-06: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.07$5.81$6.32$5.95$5.84
Max Pain$5.85$5.50$6.00$6.00$6.00
ATM IV33.2%29.1%46.4%35.6%31.9%
Expected Move9.3%8.3%10.9%10.2%9.1%
HV 20d32.5%28.3%34.9%28.7%34.4%
HV 60d33.9%32.8%34.9%32.8%33.7%
IV Rank21.4%11.9%51.8%27.1%18.3%
IV Percentile27.4%7.9%92.1%38.1%22.2%
Term Structure0.9%-1.5%2.8%-0.5%0.3%
VWIV33.0%29.4%39.4%36.2%32.8%
Skew 25d1.2%-0.9%2.9%-0.9%0.6%
Skew 10d3.0%-1.1%6.3%-1.1%2.1%
Call IV 25d32.4%29.0%38.0%37.3%32.2%
Put IV 25d33.6%30.6%40.1%36.4%32.8%
Bid-Ask Spread %8.706.2014.238.719.17
Gamma HHI0.190.130.320.130.24
Net GEX-1.0K-1.6M2.3M774.2K-1.6M
Net DEX-803.5K-37.9M32.3M-2.2M24.6M
Net VEX-284.9K-322.9K-253.3K-290.8K-296.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.680.067.670.231.62
Total Volume23,137.83,24082,96419,56414,764
Total OI498,065277,216642,156528,224356,568

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$5.95$6.0035.6%10.2%28.7%27.1%36.2%-0.9%-0.5%774.2K-2.2M-290.8K0.238.71N/AN/A15,9083,656344,728183,496
2012-01-04$6.03$6.0036.4%10.4%28.3%28.9%37.0%-0.8%-1.5%1.1M-9.3M-298.7K0.0612.63N/AN/A4,364260356,608185,764
2012-01-05$6.32$6.0036.8%10.5%31.8%29.7%39.4%0.9%-1.5%2.3M-37.9M-320.0K1.0610.48N/AN/A8,8809,456360,148186,196
2012-01-06$6.22$5.5046.4%10.9%32.2%51.8%38.7%2.9%-0.9%2.0M-29.6M-322.9K7.6710.76N/AN/A7,29255,960358,900188,132
2012-01-09$6.00$5.5037.4%9.6%34.9%31.2%34.1%1.4%1.4%-399.1K10.0M-283.8K1.5311.19N/AN/A32,74850,216360,088228,692
2012-01-10$6.06$5.7535.2%9.3%33.8%26.1%33.0%1.6%1.5%-88.5K1.6M-302.3K1.356.94N/AN/A8,90811,984374,068247,320
2012-01-11$6.09$5.7535.0%9.3%33.0%25.7%32.1%1.7%1.8%177.7K-4.1M-299.9K0.137.22N/AN/A3,988532374,228243,996
2012-01-12$6.04$5.7532.0%9.2%31.8%18.7%32.3%1.8%1.8%-69.3K-398.7K-289.3K0.697.66N/AN/A2,3161,608376,340237,956
2012-01-13$5.88$5.7531.7%9.1%32.2%18.0%32.9%1.2%2.5%-861.2K20.0M-271.8K7.458.78N/AN/A2,59219,304377,828237,788
2012-01-17$5.81$5.7532.3%9.3%32.3%19.4%31.9%1.7%2.5%-1.5M32.3M-253.3K0.747.22N/AN/A2,2961,696378,032254,172
2012-01-18$6.00$5.7531.9%9.1%34.0%18.4%32.0%1.5%2.1%-1.2M9.8M-260.0K0.458.01N/AN/A3,3441,488378,112254,784
2012-01-19$6.21$5.7531.0%8.9%33.8%16.4%31.5%1.5%2.3%1.3M-23.4M-253.8K0.396.20N/AN/A15,7606,220377,076255,264
2012-01-20$6.14$5.7529.3%8.4%32.3%12.4%31.2%1.7%2.8%507.0K-14.8M-255.7K2.007.00N/AN/A16,56033,132382,856259,300
2012-01-23$6.19$6.0029.1%8.3%32.4%11.9%29.5%1.7%0.4%-184.3K-2.0M-267.1K1.046.78N/AN/A7,3567,624119,440157,776
2012-01-24$6.19$6.0029.2%8.4%32.2%12.2%29.4%1.7%0.5%-201.7K-2.6M-272.0K0.536.74N/AN/A2,1201,120123,360162,984
2012-01-25$6.25$6.0029.4%8.4%32.3%12.7%30.3%2.0%0.8%-51.9K-6.2M-270.2K0.836.84N/AN/A4,9244,108124,468164,944
2012-01-26$6.17$6.0030.9%8.8%32.7%16.1%31.6%0.3%0.2%-239.3K-2.3M-275.6K3.0214.23N/AN/A19,12857,720128,004166,084
2012-01-27$6.08$6.0030.6%8.8%33.2%15.6%31.2%1.1%1.0%-601.7K4.2M-310.2K2.0110.87N/AN/A4,4728,992140,032204,008
2012-01-30$5.93$6.0031.9%9.1%34.1%18.3%32.4%0.3%0.4%-1.2M16.4M-305.6K0.836.55N/AN/A5,4404,520143,272208,488
2012-01-31$5.84$6.0031.9%9.1%34.4%18.3%32.8%0.6%0.3%-1.6M24.6M-296.1K1.629.17N/AN/A5,6289,136145,076211,492