GME Options History — May 2012 In May 2012, GME traded between $4.63 and $5.71. ATM implied volatility averaged 48.0%, placing in the 38.8% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 13.4% (HV 20d: 34.5%). Max pain ranged from $5.25 to $5.50. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.87.
Notable Days 2012-05-17 : Highest Volume — 107,400 contracts2012-05-08 : Largest IV spike — 82.1% change2012-05-08 : Highest IV Rank — 100.0%2012-05-09 : Largest Expected Move — 17.3%Monthly Statistics Metric Avg Min Max Open Close Price $5.10 $4.63 $5.71 $5.71 $4.79 Max Pain $5.32 $5.25 $5.50 $5.50 $5.25 ATM IV 48.0% 38.1% 93.6% 39.1% 48.1% Expected Move 12.7% 10.9% 17.3% 11.2% 13.8% HV 20d 34.5% 17.0% 50.2% 18.4% 50.2% HV 60d 33.4% 28.6% 38.7% 30.1% 37.1% IV Rank 38.8% 20.4% 100.0% 35.2% 34.7% IV Percentile 77.2% 54.4% 100.0% 61.1% 91.3% Term Structure -1.2% -7.7% 5.2% -4.9% -0.2% VWIV 46.7% 38.9% 62.7% 38.9% 52.0% Skew 25d -3.5% -7.3% 1.0% 0.0% -4.6% Skew 10d -7.5% -16.6% 0.5% -1.4% -10.9% Call IV 25d 47.9% 39.3% 64.0% 39.5% 52.9% Put IV 25d 44.3% 37.3% 60.1% 39.5% 48.4% Bid-Ask Spread % 24.21 12.90 46.56 22.02 16.61 Gamma HHI 0.15 0.13 0.16 0.14 0.14 Net GEX 549.4K -692.0K 1.9M 1.9M -58.6K Net DEX 42.2M -6.9M 98.9M -6.9M 62.2M Net VEX -425.3K -508.0K -308.7K -491.4K -384.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.87 0.12 3.65 1.06 0.22 Total Volume 42,478.364 4,800 107,400 22,832 6,480 Total OI 685,128.909 589,492 857,276 589,492 745,992
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 2012-05-01 $5.71 $5.50 39.1% 11.2% 18.4% 35.2% 38.9% 0.0% -4.9% 1.9M -6.9M -491.4K 1.06 22.02 N/A N/A 11,108 11,724 357,944 231,548 2012-05-02 $5.69 $5.50 40.1% 11.5% 17.0% 37.3% 40.1% -0.3% -4.9% 1.9M -5.4M -497.9K 0.20 29.98 N/A N/A 4,012 788 363,604 235,096 2012-05-03 $5.62 $5.50 43.9% 12.6% 17.7% 46.0% 45.0% -0.6% -7.0% 1.9M -807.2K -496.3K 0.38 29.16 N/A N/A 13,808 5,204 365,552 227,860 2012-05-04 $5.46 $5.25 46.3% 11.0% 20.4% 51.7% 42.2% 1.0% -2.2% 1.5M 14.2M -474.3K 0.13 25.56 N/A N/A 18,696 2,412 375,476 230,012 2012-05-07 $5.27 $5.25 48.5% 11.2% 23.7% 56.8% 40.0% -1.0% -1.1% 1.2M 29.9M -436.7K 0.92 20.99 N/A N/A 16,612 15,216 391,848 230,812 2012-05-08 $5.28 $5.50 88.4% 16.6% 22.7% 100.0% 59.7% -5.8% -7.6% 1.2M 12.1M -492.3K 0.27 15.30 N/A N/A 69,472 18,476 396,252 233,332 2012-05-09 $5.23 $5.25 93.6% 17.3% 22.8% 100.0% 62.7% -4.0% -7.7% 1.2M 13.1M -499.1K 0.26 21.18 N/A N/A 45,132 11,908 417,524 239,376 2012-05-10 $5.27 $5.25 57.0% 16.3% 22.4% 47.5% 57.2% -2.9% -6.4% 1.4M 10.6M -508.0K 0.40 16.39 N/A N/A 15,288 6,096 437,624 243,924 2012-05-11 $5.08 $5.25 44.6% 12.8% 25.1% 29.7% 48.2% -2.2% -2.8% 676.4K 43.3M -418.2K 0.80 27.88 N/A N/A 32,608 26,116 441,612 247,396 2012-05-14 $5.22 $5.25 47.3% 13.6% 25.8% 33.5% 48.1% -4.5% -4.5% 1.2M 29.2M -447.6K 0.21 29.16 N/A N/A 32,780 6,952 459,792 249,800 2012-05-15 $5.16 $5.25 42.3% 12.1% 24.6% 26.4% 42.4% -3.3% 0.2% 1.2M 31.8M -441.1K 3.65 38.51 N/A N/A 12,880 47,004 481,580 250,864 2012-05-16 $5.21 $5.25 41.3% 11.9% 24.9% 25.0% 41.4% -0.1% 0.3% 983.9K 34.8M -471.8K 2.35 46.56 N/A N/A 18,288 42,992 483,692 284,836 2012-05-17 $4.63 $5.25 38.1% 10.9% 47.6% 20.4% 39.5% -4.3% 2.2% -552.0K 98.9M -308.7K 1.31 24.43 N/A N/A 46,592 60,808 491,388 316,788 2012-05-18 $4.77 $5.50 42.1% 12.1% 49.4% 26.2% 44.2% -2.7% 1.0% -692.0K 93.2M -361.8K 3.24 12.90 N/A N/A 8,264 26,784 514,868 342,408 2012-05-21 $4.75 $5.50 40.7% 11.7% 49.3% 24.1% 43.3% -2.9% 4.7% -494.7K 74.7M -359.4K 0.12 14.19 N/A N/A 61,904 7,708 382,732 297,276 2012-05-22 $4.76 $5.25 39.8% 11.4% 49.5% 22.9% 42.3% -5.5% 4.6% -330.0K 72.4M -370.6K 1.83 23.83 N/A N/A 5,820 10,648 412,532 301,584 2012-05-23 $4.77 $5.25 39.8% 11.4% 49.0% 22.8% 47.8% -7.3% 5.2% -655.3K 75.8M -349.0K 0.23 20.14 N/A N/A 12,676 2,912 361,248 302,532 2012-05-24 $4.79 $5.25 39.4% 11.3% 49.1% 22.2% 44.7% -6.5% 4.8% -551.8K 70.8M -361.0K 0.37 18.85 N/A N/A 33,220 12,356 368,344 300,068 2012-05-25 $4.88 $5.25 41.9% 12.0% 49.8% 25.8% 44.8% -6.8% 2.1% -365.4K 61.1M -405.9K 0.15 25.55 N/A N/A 18,608 2,760 387,552 306,156 2012-05-29 $4.93 $5.25 42.3% 12.1% 50.1% 26.4% 46.2% -6.6% 0.7% -375.2K 60.1M -382.4K 0.87 26.16 N/A N/A 20,564 17,816 379,632 299,200 2012-05-30 $4.92 $5.25 50.6% 14.5% 49.9% 38.3% 55.9% -6.6% -2.9% -194.3K 54.3M -399.9K 0.19 27.22 N/A N/A 78,356 14,676 384,604 300,576 2012-05-31 $4.79 $5.25 48.1% 13.8% 50.2% 34.7% 52.0% -4.6% -0.2% -58.6K 62.2M -384.0K 0.22 16.61 N/A N/A 5,332 1,148 437,216 308,776
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