GME Options History — March 2012 In March 2012, GME traded between $5.46 and $6.17. ATM implied volatility averaged 34.5%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 3.3% (HV 20d: 31.2%). Max pain ranged from $6.00 to $6.25. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.93.
Notable Days 2012-03-22 : Highest Volume — 197,700 contracts2012-03-22 : Largest IV drop — 28.9% change2012-03-20 : Highest IV Rank — 48.6%2012-03-20 : Largest Expected Move — 12.9%Monthly Statistics Metric Avg Min Max Open Close Price $5.92 $5.46 $6.17 $5.96 $5.46 Max Pain $6.22 $6.00 $6.25 $6.00 $6.25 ATM IV 34.5% 28.0% 45.0% 30.4% 29.8% Expected Move 10.3% 8.0% 12.9% 8.7% 8.5% HV 20d 31.2% 25.5% 36.0% 33.8% 34.6% HV 60d 31.1% 28.8% 33.6% 31.7% 33.6% IV Rank 24.4% 9.5% 48.6% 15.0% 13.5% IV Percentile 35.0% 2.8% 85.3% 13.5% 9.5% Term Structure -0.2% -6.6% 5.6% 4.3% 3.4% VWIV 36.8% 28.6% 45.6% 30.9% 30.6% Skew 25d 0.0% -3.2% 2.2% 0.2% 1.1% Skew 10d 1.2% -5.3% 14.2% 14.2% 1.6% Call IV 25d 37.0% 29.3% 47.5% 31.2% 30.2% Put IV 25d 37.0% 29.6% 46.1% 31.4% 31.3% Bid-Ask Spread % 14.20 8.89 24.33 14.04 21.87 Gamma HHI 0.14 0.12 0.20 0.12 0.20 Net GEX 117.2K -1.4M 857.2K 207.5K -1.4M Net DEX 28.0M 34.3K 81.3M 23.9M 81.3M Net VEX -356.4K -457.0K -285.6K -286.1K -356.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.93 0.07 2.67 0.61 1.19 Total Volume 45,889.455 1,568 197,700 4,776 44,476 Total OI 464,588.182 325,012 643,716 325,012 641,992
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2012-03-01 $5.96 $6.00 30.4% 8.7% 33.8% 15.0% 30.9% 0.2% 4.3% 207.5K 23.9M -286.1K 0.61 14.04 N/A N/A 2,964 1,812 153,116 171,896 2012-03-02 $5.97 $6.00 30.6% 8.8% 33.7% 15.6% 30.9% -0.0% 4.0% 212.9K 23.3M -285.6K 0.30 9.23 N/A N/A 2,880 872 154,096 172,492 2012-03-05 $6.04 $6.25 32.8% 10.4% 33.6% 20.5% 36.6% 1.3% -2.0% 352.0K 16.8M -294.8K 0.28 9.01 N/A N/A 63,548 17,640 154,072 172,836 2012-03-06 $5.95 $6.25 33.7% 10.7% 33.9% 22.6% 38.2% 0.6% -1.8% 470.9K 19.4M -306.4K 0.07 9.01 N/A N/A 11,636 824 174,880 183,348 2012-03-07 $5.97 $6.25 31.6% 10.5% 33.6% 17.8% 37.0% 0.6% -1.4% 608.1K 18.1M -308.1K 0.29 8.89 N/A N/A 1,216 352 179,212 183,336 2012-03-08 $6.05 $6.25 31.6% 10.4% 31.9% 17.9% 37.3% 0.5% -0.6% 857.2K 12.2M -313.4K 0.49 9.02 N/A N/A 7,128 3,468 180,104 183,352 2012-03-09 $5.97 $6.25 30.4% 10.5% 31.6% 15.1% 37.6% 0.1% -1.0% 752.8K 16.3M -309.1K 1.95 12.16 N/A N/A 12,188 23,804 184,084 185,236 2012-03-12 $5.94 $6.25 36.8% 10.8% 25.5% 29.8% 38.0% -0.1% -1.8% 480.1K 21.7M -311.5K 1.31 10.15 N/A N/A 11,500 15,100 190,844 203,484 2012-03-13 $5.95 $6.25 38.6% 11.4% 25.5% 33.9% 40.8% 0.9% -3.7% 150.4K 23.7M -322.1K 1.90 19.17 N/A N/A 11,020 20,908 198,092 212,972 2012-03-14 $5.88 $6.25 34.9% 11.8% 26.0% 25.3% 43.1% -2.4% -3.1% -305.9K 30.6M -327.4K 0.71 12.29 N/A N/A 20,352 14,424 203,088 219,952 2012-03-15 $5.95 $6.25 44.9% 12.9% 26.1% 48.3% 45.6% -1.4% -6.4% -309.0K 23.5M -353.7K 2.67 20.06 N/A N/A 14,320 38,296 218,680 229,124 2012-03-16 $5.89 $6.25 44.4% 12.7% 26.3% 47.3% 44.7% -3.2% -6.6% -503.7K 37.5M -358.1K 2.18 12.81 N/A N/A 9,524 20,732 217,808 248,344 2012-03-19 $5.99 $6.25 44.1% 12.7% 26.8% 46.7% 45.1% -0.7% -3.2% -126.8K 20.6M -358.3K 0.57 14.07 N/A N/A 46,052 26,372 179,116 211,536 2012-03-20 $6.00 $6.25 45.0% 12.9% 26.8% 48.6% 45.3% 0.8% -4.2% 290.5K 14.0M -388.9K 0.89 16.03 N/A N/A 36,944 32,820 217,512 231,596 2012-03-21 $6.17 $6.00 41.9% 12.0% 27.6% 41.6% 42.6% 2.2% -3.0% 618.7K 34.3K -426.4K 0.89 23.88 N/A N/A 57,940 51,724 238,676 252,824 2012-03-22 $5.79 $6.25 29.8% 8.6% 36.0% 13.7% 30.9% -0.1% 3.5% -336.9K 43.4M -396.4K 0.75 15.96 N/A N/A 112,764 84,936 283,068 286,872 2012-03-23 $5.91 $6.25 31.2% 8.9% 35.5% 16.8% 34.4% -1.2% 3.1% 606.8K 27.1M -457.0K 0.41 9.04 N/A N/A 36,088 14,900 311,372 302,632 2012-03-26 $5.95 $6.25 30.0% 8.6% 35.4% 14.0% 31.0% -0.6% 3.4% 426.1K 27.4M -447.2K 0.51 12.17 N/A N/A 11,416 5,832 308,800 297,492 2012-03-27 $5.94 $6.25 28.0% 8.0% 35.1% 9.5% 29.1% 0.2% 4.2% 377.3K 28.7M -432.8K 0.76 12.04 N/A N/A 11,352 8,600 316,204 298,976 2012-03-28 $5.87 $6.25 28.4% 8.2% 34.2% 10.5% 28.6% 0.1% 5.6% -52.8K 39.5M -419.6K 1.15 17.18 N/A N/A 9,768 11,212 318,412 305,696 2012-03-29 $5.65 $6.25 29.6% 8.5% 32.9% 13.2% 31.9% 1.6% 4.3% -835.7K 65.9M -382.6K 0.51 24.33 N/A N/A 52,768 27,096 332,240 311,476 2012-03-30 $5.46 $6.25 29.8% 8.5% 34.6% 13.5% 30.6% 1.1% 3.4% -1.4M 81.3M -356.1K 1.19 21.87 N/A N/A 20,312 24,164 327,708 314,284
« Feb 2012 | All History | Apr 2012 » Home GME History March 2012