GME Options History — July 2012

In July 2012, GME traded between $3.93 and $4.59. ATM implied volatility averaged 42.3%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 12.3% (HV 20d: 30.0%). Max pain ranged from $4.25 to $5.25. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.13.

Notable Days

  • 2012-07-24: Highest Volume — 22,284 contracts
  • 2012-07-12: Largest IV spike — 15.3% change
  • 2012-07-31: Highest IV Rank — 41.0%
  • 2012-07-31: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.21$3.93$4.59$4.50$4.00
Max Pain$4.56$4.25$5.25$5.25$4.25
ATM IV42.3%33.4%54.9%36.3%54.9%
Expected Move12.4%9.9%15.7%10.4%15.7%
HV 20d30.0%23.6%34.5%34.1%23.6%
HV 60d36.7%36.3%37.2%36.4%36.8%
IV Rank23.1%13.1%41.0%17.8%41.0%
IV Percentile62.9%22.6%96.0%36.9%96.0%
Term Structure-1.3%-9.8%6.6%5.2%-9.8%
VWIV45.4%35.5%59.4%38.9%59.4%
Skew 25d1.4%-2.0%3.2%-2.0%-1.3%
Skew 10d2.8%-4.0%7.1%-4.0%-2.3%
Call IV 25d44.6%37.1%58.6%39.6%58.6%
Put IV 25d46.0%35.6%57.3%37.6%57.3%
Bid-Ask Spread %13.418.2625.1225.129.56
Gamma HHI0.220.140.390.170.18
Net GEX-79.5K-1.8M1.1M567.6K572.7K
Net DEX45.4M21.7M73.9M38.3M21.9M
Net VEX-254.1K-339.4K-185.5K-332.3K-216.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.083.640.900.38
Total Volume10,883.812,73222,2845,82411,932
Total OI758,284.952488,792915,232849,184533,940

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$4.50$5.2536.3%10.4%34.1%17.8%38.9%-2.0%5.2%567.6K38.3M-332.3K0.9025.12N/AN/A3,0722,752521,584327,600
2012-07-03$4.59$5.2535.2%10.1%34.4%16.2%35.5%-0.8%5.9%894.6K32.5M-339.4K1.1921.59N/AN/A8,3049,844518,476328,948
2012-07-05$4.57$5.2534.5%9.9%34.3%15.2%39.1%-1.9%6.6%1.1M34.0M-331.4K0.3121.71N/AN/A3,5321,080525,480336,792
2012-07-06$4.53$4.5033.4%11.6%33.0%13.6%43.1%2.3%-0.4%654.6K38.6M-322.1K0.2911.09N/AN/A5,2921,524521,672337,204
2012-07-09$4.38$4.5037.6%12.0%34.5%19.7%45.0%0.8%-1.5%-48.3K51.6M-289.9K3.2513.78N/AN/A2,8129,152526,460338,428
2012-07-10$4.39$4.5037.9%12.2%31.8%15.1%42.5%0.8%-1.1%406.8K48.5M-285.0K0.0812.40N/AN/A11,488924527,904342,816
2012-07-11$4.30$4.5036.6%12.3%31.6%13.1%44.5%1.5%-0.9%-322.0K55.9M-288.9K1.8319.27N/AN/A9641,768538,080343,292
2012-07-12$4.28$4.5042.2%12.1%30.6%21.6%45.9%1.5%-0.6%-481.8K58.5M-274.1K0.659.28N/AN/A4,1122,680537,956343,748
2012-07-13$4.21$4.5041.4%11.9%30.3%20.4%42.1%2.3%0.6%-1.0M64.1M-258.5K3.6412.26N/AN/A4,11614,988539,456344,464
2012-07-16$4.14$4.5042.3%12.1%30.5%21.8%45.2%2.4%-0.5%-1.8M72.6M-247.7K2.2111.01N/AN/A1,1882,624542,232357,728
2012-07-17$4.18$4.5041.6%11.9%29.5%20.7%43.5%2.6%0.1%-1.5M70.3M-250.6K0.9518.62N/AN/A1,4841,416542,564357,576
2012-07-18$4.22$4.5041.3%11.8%29.6%20.2%42.3%3.0%0.0%-1.0M67.9M-241.6K1.5110.85N/AN/A3,3605,064543,068357,604
2012-07-19$4.20$4.5041.0%11.8%29.4%19.8%46.3%2.3%-0.4%-419.9K66.8M-242.3K1.4715.60N/AN/A8,35212,256544,408358,884
2012-07-20$4.08$4.5042.4%12.2%29.1%22.0%45.4%3.2%-1.2%-1.5M73.9M-211.1K1.3710.67N/AN/A3,7245,096550,688364,544
2012-07-23$4.04$4.5044.4%12.7%28.9%25.0%44.6%2.9%-2.2%271.7K27.9M-198.6K0.779.81N/AN/A4,3563,364324,576164,216
2012-07-24$3.93$4.5046.6%13.3%28.6%28.3%48.0%2.6%-2.8%175.4K30.4M-185.5K0.4810.48N/AN/A15,0127,272327,244165,576
2012-07-25$3.94$4.2545.8%13.1%27.6%27.1%46.3%3.1%-2.8%279.3K29.1M-189.3K0.199.84N/AN/A7,3561,416340,708168,220
2012-07-26$3.99$4.5049.7%14.2%26.9%33.0%50.3%1.2%-6.5%422.3K25.9M-204.5K0.2210.29N/AN/A17,0963,728346,144168,956
2012-07-27$4.04$4.2550.4%14.4%27.5%34.1%50.7%0.9%-6.4%617.7K21.7M-220.7K1.1710.10N/AN/A7,4648,740359,728171,216
2012-07-30$4.00$4.2553.4%15.3%24.1%38.7%54.7%1.7%-8.8%558.4K23.5M-207.3K0.948.26N/AN/A4,0603,796363,064170,740
2012-07-31$4.00$4.2554.9%15.7%23.6%41.0%59.4%-1.3%-9.8%572.7K21.9M-216.2K0.389.56N/AN/A8,6283,304361,288172,652