GME Options History — October 2012

In October 2012, GME traded between $5.31 and $6.00. ATM implied volatility averaged 46.2%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 9.4% (HV 20d: 36.8%). Max pain ranged from $5.00 to $5.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.03.

Notable Days

  • 2012-10-26: Highest Volume — 87,688 contracts
  • 2012-10-09: Largest IV spike — 10.2% change
  • 2012-10-26: Highest IV Rank — 22.2%
  • 2012-10-26: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.71$5.31$6.00$5.31$5.71
Max Pain$5.40$5.00$5.50$5.00$5.50
ATM IV46.2%38.6%54.5%40.4%54.4%
Expected Move13.3%11.1%15.6%11.6%15.6%
HV 20d36.8%30.3%42.5%41.5%33.2%
HV 60d39.0%37.7%40.1%38.5%39.6%
IV Rank15.2%8.9%22.2%10.4%22.1%
IV Percentile78.7%44.8%93.7%52.4%93.3%
Term Structure-1.6%-8.6%6.7%5.4%-8.6%
VWIV47.5%40.6%55.3%42.0%54.8%
Skew 25d1.0%-3.4%7.1%-3.4%7.1%
Skew 10d3.3%-7.1%13.1%-7.1%13.1%
Call IV 25d47.0%41.9%52.4%44.3%52.2%
Put IV 25d48.0%39.5%59.4%40.9%59.4%
Bid-Ask Spread %9.616.5524.139.1012.99
Gamma HHI0.230.160.340.160.33
Net GEX2.5M961.6K4.3M1.3M961.6K
Net DEX-80.8M-135.8M-41.8M-49.6M-41.8M
Net VEX-565.3K-596.7K-534.4K-551.3K-569.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.056.240.361.52
Total Volume21,927.2381,72487,6887,30011,144
Total OI679,705.333448,632768,528747,088575,888

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$5.31$5.0040.4%11.6%41.5%10.4%42.0%-3.4%5.4%1.3M-49.6M-551.3K0.369.10N/AN/A5,3521,948460,812286,276
2012-10-02$5.33$5.0039.9%11.4%34.5%9.9%41.5%-2.0%5.8%1.4M-52.0M-546.9K0.258.98N/AN/A1,380344462,600286,704
2012-10-03$5.33$5.0038.6%11.1%34.4%8.9%40.6%-2.5%6.7%1.3M-51.8M-534.4K0.0510.51N/AN/A38,1681,980462,756286,868
2012-10-04$5.59$5.0041.0%11.8%37.5%10.9%45.3%-3.1%5.1%2.4M-86.0M-595.6K3.5110.83N/AN/A11,97242,032482,084286,444
2012-10-05$5.77$5.5040.3%12.7%37.8%10.3%44.9%0.2%-1.8%3.3M-113.7M-595.0K0.418.04N/AN/A30,04812,440485,336249,540
2012-10-08$5.81$5.5042.9%12.9%37.8%12.5%45.1%0.3%-2.3%3.3M-113.1M-586.7K0.157.38N/AN/A7,5721,172483,088257,988
2012-10-09$6.00$5.5047.3%13.4%39.0%16.2%47.4%2.0%-3.1%3.4M-135.8M-596.7K0.5911.54N/AN/A15,1768,980485,612257,892
2012-10-10$5.74$5.5046.9%13.6%42.5%15.8%47.7%2.0%-2.6%3.1M-98.5M-590.6K1.398.29N/AN/A5,9528,292488,088262,600
2012-10-11$5.71$5.5046.7%13.4%42.3%15.7%47.3%2.7%-1.8%3.3M-99.3M-582.7K1.127.21N/AN/A15,73617,596491,024262,448
2012-10-12$5.69$5.5047.8%13.7%40.5%16.6%48.4%2.3%-2.6%3.3M-93.0M-581.1K0.4810.12N/AN/A9,8804,756488,316267,276
2012-10-15$5.70$5.5046.8%13.4%38.1%15.7%47.4%2.1%-2.6%3.5M-93.5M-563.7K0.4524.13N/AN/A6,7083,036493,336270,564
2012-10-16$5.74$5.5045.5%13.1%38.1%14.7%46.5%1.9%-1.9%4.0M-97.9M-553.6K0.3010.84N/AN/A11,1723,312495,496272,564
2012-10-17$5.74$5.5046.0%13.2%37.6%15.1%46.8%0.1%-2.1%4.0M-94.4M-547.5K0.619.24N/AN/A5,7163,512491,536273,288
2012-10-18$5.86$5.5046.0%13.2%38.3%15.1%46.8%0.6%-2.5%4.3M-109.7M-547.1K0.486.55N/AN/A6,9363,328488,220273,020
2012-10-19$5.78$5.5045.4%13.0%37.9%14.6%46.3%0.9%-1.7%4.2M-97.2M-544.1K0.587.50N/AN/A6,5923,804486,172274,884
2012-10-22$5.80$5.5046.8%13.4%37.8%15.7%47.1%0.7%-2.2%1.2M-55.3M-536.2K0.188.39N/AN/A10,5441,876286,992161,640
2012-10-23$5.78$5.5049.9%14.3%30.4%18.4%50.9%-0.3%-3.6%1.2M-55.3M-539.9K6.247.27N/AN/A5,40033,708293,980162,776
2012-10-24$5.82$5.5049.6%14.2%30.4%18.1%50.2%0.0%-3.6%1.0M-52.3M-569.7K0.817.58N/AN/A2,6722,152298,308191,408
2012-10-25$5.93$5.5052.9%15.2%30.3%20.9%54.1%3.0%-5.9%1.1M-60.5M-575.1K1.196.85N/AN/A4,7525,644299,772192,736
2012-10-26$5.75$5.5054.5%15.6%33.0%22.2%55.3%6.7%-6.5%985.5K-46.6M-563.5K0.988.45N/AN/A44,27243,416301,768195,712
2012-10-31$5.71$5.5054.4%15.6%33.2%22.1%54.8%7.1%-8.6%961.6K-41.8M-569.0K1.5212.99N/AN/A4,4206,724339,000236,888