GME Options History — February 2012

In February 2012, GME traded between $5.68 and $6.12. ATM implied volatility averaged 31.2%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 1.2% (HV 20d: 30.0%). Max pain ranged from $6.00 to $6.25. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.03.

Notable Days

  • 2012-02-08: Highest Volume — 58,600 contracts
  • 2012-02-08: Largest IV spike — 15.0% change
  • 2012-02-10: Highest IV Rank — 24.7%
  • 2012-02-10: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.81$5.68$6.12$5.83$5.70
Max Pain$6.13$6.00$6.25$6.00$6.00
ATM IV31.2%28.3%34.6%31.6%29.5%
Expected Move9.0%8.3%9.9%9.1%8.5%
HV 20d30.0%26.9%34.5%34.1%29.4%
HV 60d32.1%30.0%34.7%33.2%30.4%
IV Rank16.8%10.1%24.7%17.9%13.0%
IV Percentile17.6%2.8%32.5%21.0%9.1%
Term Structure3.5%0.9%4.9%0.9%4.7%
VWIV31.8%29.5%35.3%31.6%30.8%
Skew 25d1.5%0.8%3.0%1.6%0.9%
Skew 10d4.0%1.7%8.3%4.0%1.8%
Call IV 25d31.4%28.9%35.2%31.3%30.3%
Put IV 25d32.9%29.7%36.2%32.8%31.3%
Bid-Ask Spread %9.104.8514.2812.2311.82
Gamma HHI0.280.110.760.250.12
Net GEX-1.9M-5.7M-14.3K-1.8M-193.1K
Net DEX36.3M6.4M61.3M28.7M37.5M
Net VEX-292.8K-320.9K-253.9K-302.0K-253.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.074.181.030.87
Total Volume13,627.23,05258,60023,1763,072
Total OI386,473.4310,932472,180367,632323,456

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$5.83$6.0031.6%9.1%34.1%17.9%31.6%1.6%0.9%-1.8M28.7M-302.0K1.0312.23N/AN/A11,40411,772148,740218,892
2012-02-02$5.82$6.0029.3%8.4%33.6%12.4%29.5%0.8%1.9%-2.0M33.1M-309.0K1.1911.10N/AN/A7,8609,352158,328226,952
2012-02-03$5.91$6.2528.3%8.5%29.4%10.1%30.7%3.0%3.6%-1.6M25.3M-320.9K1.226.12N/AN/A2,7763,380164,056234,440
2012-02-06$5.85$6.2528.8%8.7%29.1%11.4%30.0%2.9%3.8%-2.1M31.5M-302.2K1.087.54N/AN/A2,2442,420164,572234,380
2012-02-07$5.93$6.2528.3%8.5%26.9%10.2%31.0%2.6%3.3%-1.4M21.9M-305.6K0.265.41N/AN/A2,428624164,976234,352
2012-02-08$6.12$6.0032.6%9.2%29.0%20.0%32.4%0.9%2.3%-102.9K6.4M-318.8K0.958.85N/AN/A30,12028,480164,856234,576
2012-02-09$6.02$6.2531.7%9.1%29.6%18.0%31.9%0.9%2.5%-980.4K23.4M-318.5K2.017.42N/AN/A3,5287,100173,956250,856
2012-02-10$5.72$6.2534.6%9.9%34.5%24.7%35.3%0.9%2.7%-3.5M54.9M-293.9K2.387.88N/AN/A14,91235,560175,196253,372
2012-02-13$5.74$6.2533.7%9.7%33.2%22.6%34.8%1.3%2.6%-3.8M57.8M-304.5K1.787.62N/AN/A3,3325,916184,304269,608
2012-02-14$5.75$6.2533.9%9.7%33.0%23.0%34.4%1.4%2.8%-4.2M56.6M-302.2K4.188.14N/AN/A1,3285,556185,236269,720
2012-02-15$5.70$6.2533.6%9.6%30.5%22.4%33.8%1.6%3.2%-5.0M61.3M-292.7K0.289.52N/AN/A11,8123,360185,712273,044
2012-02-16$5.76$6.2532.5%9.3%27.9%19.7%33.3%1.9%3.9%-5.7M50.5M-299.4K0.207.73N/AN/A24,3644,868186,576275,020
2012-02-17$5.79$6.2532.1%9.2%27.9%19.0%32.2%1.5%4.2%-4.7M37.2M-304.1K0.724.85N/AN/A2,4281,740198,880273,300
2012-02-21$5.83$6.0031.9%9.1%27.7%18.4%31.9%2.0%4.1%-86.7K30.6M-283.4K0.186.55N/AN/A4,560800141,992168,940
2012-02-22$5.74$6.0030.0%8.6%28.0%14.1%30.5%1.7%4.7%-162.9K35.0M-270.4K0.8710.69N/AN/A2,2281,948145,112169,272
2012-02-23$5.82$6.0030.2%8.7%28.3%14.5%30.3%1.1%4.4%-38.5K31.3M-278.4K0.7811.38N/AN/A1,8121,408147,108170,092
2012-02-24$5.68$6.0029.1%8.3%29.1%12.0%29.5%1.5%4.9%-222.5K38.2M-256.9K0.2314.28N/AN/A7,9201,812147,368170,148
2012-02-27$5.75$6.0031.3%9.0%29.3%17.0%31.3%1.1%4.1%-143.7K35.2M-263.3K0.0711.91N/AN/A4,808332148,968170,824
2012-02-28$5.83$6.0030.6%8.8%28.8%15.4%30.6%0.8%4.5%-14.3K30.5M-275.2K0.3910.92N/AN/A2,292888151,480170,808
2012-02-29$5.70$6.0029.5%8.5%29.4%13.0%30.8%0.9%4.7%-193.1K37.5M-253.9K0.8711.82N/AN/A1,6441,428152,164171,292