GME Options History — June 2012

In June 2012, GME traded between $4.30 and $4.88. ATM implied volatility averaged 41.3%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 1.8% (HV 20d: 39.5%). Max pain ranged from $5.25 to $5.75. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.22.

Notable Days

  • 2012-06-27: Highest Volume — 218,300 contracts
  • 2012-06-14: Largest IV spike — 18.6% change
  • 2012-06-04: Highest IV Rank — 39.5%
  • 2012-06-01: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.57$4.30$4.88$4.80$4.59
Max Pain$5.35$5.25$5.75$5.25$5.25
ATM IV41.3%36.0%51.4%48.5%36.5%
Expected Move12.0%10.3%13.9%13.9%10.5%
HV 20d39.5%27.7%50.6%50.3%33.4%
HV 60d36.9%35.6%38.5%37.0%36.2%
IV Rank24.9%17.3%39.5%35.3%18.0%
IV Percentile61.4%38.1%95.2%91.7%38.9%
Term Structure2.6%-1.1%5.2%-1.1%4.4%
VWIV43.8%37.4%52.0%52.0%37.4%
Skew 25d-1.4%-5.8%0.8%-5.8%0.8%
Skew 10d-3.6%-12.9%1.5%-12.9%1.5%
Call IV 25d44.3%37.0%54.3%54.3%37.0%
Put IV 25d42.9%37.6%50.4%48.5%37.8%
Bid-Ask Spread %21.1011.4950.7321.5422.52
Gamma HHI0.220.120.430.140.16
Net GEX-476.7K-3.5M670.5K-35.1K670.5K
Net DEX66.8M34.7M106.4M61.8M34.7M
Net VEX-314.6K-390.3K-254.2K-390.3K-346.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.035.540.470.12
Total Volume35,144.762708218,30016,0369,232
Total OI814,659.238748,880959,484748,880867,724

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$4.80$5.2548.5%13.9%50.3%35.3%52.0%-5.8%-1.1%-35.1K61.8M-390.3K0.4721.54N/AN/A10,9125,124440,168308,712
2012-06-04$4.80$5.7551.4%13.8%49.7%39.5%48.4%-0.2%0.1%-105.8K64.0M-371.6K0.3622.07N/AN/A5,7242,052444,264312,724
2012-06-05$4.88$5.7549.2%12.9%49.3%36.3%46.8%-0.8%0.7%-72.7K60.4M-373.9K1.1650.73N/AN/A2,4522,844445,244314,288
2012-06-06$4.84$5.7546.6%13.0%49.3%32.6%46.1%-1.0%1.4%-174.1K63.2M-365.5K0.7429.82N/AN/A3,8922,872443,852314,336
2012-06-07$4.70$5.7541.2%12.8%50.0%24.8%46.9%-1.7%2.1%-458.5K78.3M-318.8K0.3423.80N/AN/A80,06027,108445,156314,328
2012-06-08$4.76$5.2539.5%12.6%50.2%22.4%44.7%-1.3%2.5%63.9K69.4M-353.1K2.7015.54N/AN/A9762,632520,912332,472
2012-06-11$4.57$5.2543.5%13.1%50.6%28.2%46.2%-1.4%1.8%-325.2K82.4M-307.6K0.2324.01N/AN/A9,2762,172521,108331,476
2012-06-12$4.64$5.2544.9%12.8%49.8%30.1%45.1%-1.3%0.9%-163.5K79.1M-311.2K5.5415.78N/AN/A3,40018,832527,768330,764
2012-06-13$4.53$5.2537.9%13.2%50.2%20.1%48.3%-1.2%0.3%-853.4K88.9M-287.5K0.4521.84N/AN/A10,8204,856526,836337,760
2012-06-14$4.43$5.2545.0%12.9%50.1%30.2%45.9%-3.3%1.1%-937.2K94.1M-270.5K5.0315.55N/AN/A18,30892,068530,336338,388
2012-06-15$4.46$5.2543.2%12.4%28.7%27.7%46.0%-1.1%1.6%-3.5M106.4M-291.1K1.6715.13N/AN/A30,42850,752540,788418,696
2012-06-18$4.55$5.2539.5%11.3%27.7%22.3%40.2%0.3%4.4%-199.3K53.8M-309.9K2.6421.63N/AN/A4,62012,204434,696329,796
2012-06-19$4.59$5.2537.5%10.8%27.9%19.6%40.3%-3.0%2.4%-16.9K50.0M-294.8K0.4511.49N/AN/A17,1087,780435,876338,988
2012-06-20$4.54$5.2536.0%10.3%28.1%17.3%41.3%-2.1%4.3%-320.6K56.4M-312.3K0.0314.83N/AN/A7,968264450,364345,700
2012-06-21$4.39$5.2538.0%10.9%30.0%20.3%40.8%-2.1%4.4%-741.4K63.9M-292.4K0.4120.21N/AN/A11,7004,840454,008345,664
2012-06-22$4.42$5.2537.0%10.6%30.1%18.8%38.6%-1.2%4.8%-610.9K60.0M-280.3K1.5317.11N/AN/A280428454,900335,628
2012-06-25$4.30$5.2537.9%10.9%30.2%20.0%42.8%-1.9%5.2%-999.8K67.3M-256.9K0.3819.89N/AN/A6,6922,568454,964335,736
2012-06-26$4.37$5.2538.1%10.9%30.8%20.4%39.4%-0.9%4.7%-825.3K65.4M-254.2K0.1019.92N/AN/A22,9842,348460,828336,392
2012-06-27$4.46$5.2537.5%10.8%32.0%19.6%41.0%-0.4%4.4%-392.6K55.5M-291.0K0.2919.26N/AN/A169,01249,288481,656335,560
2012-06-28$4.45$5.2537.8%10.8%31.2%19.9%40.7%0.5%4.4%-59.9K47.8M-327.7K0.9520.39N/AN/A10,86810,296507,708361,280
2012-06-29$4.59$5.2536.5%10.5%33.4%18.0%37.4%0.8%4.4%670.5K34.7M-346.3K0.1222.52N/AN/A8,272960515,768351,956