GME Options History — September 2012

In September 2012, GME traded between $5.10 and $5.79. ATM implied volatility averaged 43.6%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 1.3% (HV 20d: 42.4%). Max pain ranged from $4.50 to $5.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.66.

Notable Days

  • 2012-09-14: Highest Volume — 174,044 contracts
  • 2012-09-21: Largest IV drop — 11.7% change
  • 2012-09-10: Highest IV Rank — 16.8%
  • 2012-09-10: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.44$5.10$5.79$5.10$5.25
Max Pain$4.78$4.50$5.00$4.50$5.00
ATM IV43.6%39.6%48.1%46.5%41.0%
Expected Move12.5%11.4%13.5%13.3%11.8%
HV 20d42.4%36.2%49.2%49.2%41.6%
HV 60d37.5%36.9%38.9%38.2%38.5%
IV Rank13.1%9.8%16.8%15.5%10.9%
IV Percentile71.2%48.0%88.9%86.1%56.7%
Term Structure0.7%-3.2%5.4%-0.7%5.2%
VWIV45.3%41.8%50.9%46.5%43.2%
Skew 25d-4.3%-9.4%-0.9%-5.9%-3.9%
Skew 10d-7.5%-15.0%-2.0%-11.0%-8.2%
Call IV 25d47.8%43.2%52.0%51.1%45.4%
Put IV 25d43.5%40.4%47.7%45.2%41.5%
Bid-Ask Spread %9.735.7415.5815.587.57
Gamma HHI0.140.120.170.120.14
Net GEX2.1M805.0K2.6M2.1M878.2K
Net DEX-85.9M-136.9M-34.1M-69.6M-36.9M
Net VEX-510.9K-595.2K-446.0K-447.0K-518.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.061.510.180.06
Total Volume37,0646,236174,04460,45256,040
Total OI731,450.737644,984842,768644,984721,344

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-09-04$5.10$4.5046.5%13.3%49.2%15.5%46.5%-5.9%-0.7%2.1M-69.6M-447.0K0.1815.58N/AN/A51,1649,288412,536232,448
2012-09-05$5.14$4.5047.0%13.5%47.2%16.0%46.2%-5.9%-1.1%2.3M-72.6M-457.0K0.4912.09N/AN/A6,6003,244423,716235,444
2012-09-06$5.26$4.5043.5%12.5%47.2%13.0%42.9%-4.9%-0.1%2.4M-84.8M-446.0K0.698.51N/AN/A13,8009,540425,876236,184
2012-09-07$5.42$4.5043.3%12.9%47.5%12.8%45.6%-6.5%-1.0%2.5M-100.4M-464.4K0.5311.34N/AN/A29,81615,840429,412242,052
2012-09-10$5.40$4.5048.1%13.5%45.3%16.8%49.8%-2.2%-3.2%2.4M-94.2M-463.7K0.5510.38N/AN/A25,37614,044429,756251,096
2012-09-11$5.44$4.5046.4%13.2%45.3%15.4%46.5%-1.7%-2.4%2.5M-96.5M-465.7K0.399.54N/AN/A14,8685,736441,284258,700
2012-09-12$5.52$4.5042.3%12.6%42.2%12.0%44.7%-0.9%-1.3%2.5M-103.2M-456.7K0.327.72N/AN/A9,8923,200439,196261,556
2012-09-13$5.59$4.5043.4%12.4%41.1%12.9%44.7%-2.9%-0.5%2.6M-109.8M-460.4K0.5812.89N/AN/A59,10834,460436,572264,032
2012-09-14$5.79$4.7545.3%13.0%39.1%14.5%46.4%-9.4%-1.3%2.5M-136.9M-508.9K0.4111.73N/AN/A123,84450,200463,632287,676
2012-09-17$5.57$5.0045.1%12.9%42.3%14.3%48.6%-6.2%1.2%2.2M-106.0M-568.2K0.839.31N/AN/A43,80836,480484,716324,208
2012-09-18$5.61$5.0044.7%12.8%39.6%14.0%45.4%-4.8%-0.2%2.5M-107.6M-595.2K1.246.51N/AN/A7,5409,344499,964342,804
2012-09-19$5.71$5.0045.4%13.0%39.7%14.6%45.3%-4.3%-1.6%2.6M-118.4M-593.8K1.5110.18N/AN/A2,5363,840495,332344,032
2012-09-20$5.68$5.0045.5%13.0%36.4%14.6%50.9%-5.5%-1.3%2.6M-115.7M-588.6K0.259.01N/AN/A5,2161,292495,964345,404
2012-09-21$5.58$5.0040.1%11.5%37.8%10.2%42.8%-3.6%2.8%2.2M-99.4M-558.6K0.4312.68N/AN/A8,7243,764488,408342,704
2012-09-24$5.53$5.0040.2%11.5%36.2%10.2%41.8%-3.9%4.0%1.8M-70.1M-545.0K1.326.88N/AN/A5,7487,604424,868275,444
2012-09-25$5.22$5.0040.9%11.7%42.7%10.8%42.3%-3.3%4.5%930.7K-35.9M-514.6K1.3010.03N/AN/A8,29610,756427,564279,268
2012-09-26$5.28$5.0041.0%11.8%42.6%10.9%43.2%-2.9%5.0%982.9K-40.0M-534.6K1.195.74N/AN/A2,8443,392431,300285,592
2012-09-27$5.23$5.0039.6%11.4%42.5%9.8%43.9%-2.3%5.4%805.0K-34.1M-519.3K0.287.25N/AN/A5,4361,536431,720285,760
2012-09-28$5.25$5.0041.0%11.8%41.6%10.9%43.2%-3.9%5.2%878.2K-36.9M-518.7K0.067.57N/AN/A53,0003,040434,792286,552