GME Options History — November 2012

In November 2012, GME traded between $5.53 and $6.77. ATM implied volatility averaged 62.7%, placing in the 29.1% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 28.6% (HV 20d: 34.1%). Max pain ranged from $5.50 to $6.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.07.

Notable Days

  • 2012-11-12: Highest Volume — 119,840 contracts
  • 2012-11-15: Largest IV drop — 67.1% change
  • 2012-11-14: Highest IV Rank — 86.6%
  • 2012-11-09: Largest Expected Move — 17.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.21$5.53$6.77$5.90$6.56
Max Pain$5.96$5.50$6.50$5.50$6.50
ATM IV62.7%34.6%131.2%56.0%36.4%
Expected Move13.4%9.9%17.8%16.0%10.4%
HV 20d34.1%27.4%37.8%34.8%34.4%
HV 60d37.6%34.0%39.9%39.9%34.0%
IV Rank29.1%5.6%86.6%23.4%7.0%
IV Percentile65.9%26.6%99.2%95.6%35.3%
Term Structure-1.8%-11.2%3.4%-10.8%2.1%
VWIV47.9%35.2%64.8%57.2%36.0%
Skew 25d5.0%1.6%11.0%11.0%3.6%
Skew 10d10.2%2.7%24.6%24.6%6.2%
Call IV 25d45.1%34.1%60.0%53.4%35.1%
Put IV 25d50.1%36.8%66.7%64.3%38.7%
Bid-Ask Spread %14.657.1628.7514.7714.09
Gamma HHI0.270.140.400.370.14
Net GEX1.4M520.6K2.6M1.3M1.5M
Net DEX-75.0M-124.2M-26.1M-59.0M-71.9M
Net VEX-556.4K-599.3K-510.6K-583.9K-532.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.022.700.480.70
Total Volume36,770.2867,248119,84013,4207,248
Total OI606,422.476553,040688,252581,572583,764

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$5.90$5.5056.0%16.0%34.8%23.4%57.2%11.0%-10.8%1.3M-59.0M-583.9K0.4814.77N/AN/A9,0444,376340,044241,528
2012-11-02$5.95$5.5056.6%16.2%34.7%24.0%56.9%8.7%-11.2%1.4M-64.8M-585.2K0.128.01N/AN/A30,0163,624344,708244,412
2012-11-05$5.93$6.0078.0%14.8%30.8%41.9%53.6%8.7%-4.4%1.1M-62.2M-580.0K2.0113.47N/AN/A5,22010,508341,964247,212
2012-11-06$5.98$6.0083.9%15.4%29.0%46.9%55.8%8.8%-5.7%1.1M-66.0M-586.3K0.8317.15N/AN/A4,8644,040347,404255,924
2012-11-07$5.85$6.0087.2%16.7%30.1%49.6%58.0%10.2%-5.4%976.3K-54.5M-584.2K0.4420.02N/AN/A8,4523,692350,120257,748
2012-11-08$5.63$6.0089.1%17.0%30.8%51.2%59.5%8.4%-4.3%674.2K-35.3M-572.0K0.5027.32N/AN/A15,1447,560353,116258,544
2012-11-09$5.53$5.7588.4%17.8%27.4%50.6%61.4%6.7%-6.5%520.6K-26.1M-563.8K1.1728.75N/AN/A11,18813,112360,260261,424
2012-11-12$5.77$5.75118.4%17.5%31.8%75.8%64.8%6.7%-5.3%997.0K-51.1M-576.1K1.348.40N/AN/A51,16068,680369,168264,180
2012-11-13$5.82$5.75121.4%16.4%31.8%78.3%58.6%3.2%-3.7%803.0K-50.3M-565.7K0.8322.28N/AN/A41,62034,652342,504255,532
2012-11-14$5.87$5.75131.2%16.4%31.9%86.6%59.4%2.3%-4.0%1.1M-58.4M-599.3K1.5816.71N/AN/A18,08828,648381,908280,652
2012-11-15$6.13$5.7543.2%12.4%35.1%12.8%45.5%1.6%0.5%2.6M-85.2M-565.0K2.5516.84N/AN/A27,29269,636383,192288,396
2012-11-16$6.39$6.0040.5%11.6%37.6%10.4%42.4%2.3%1.2%1.9M-117.5M-570.4K1.338.83N/AN/A36,00847,804379,616308,636
2012-11-19$6.48$6.0035.4%10.1%37.3%6.2%36.1%2.3%3.4%1.2M-97.9M-555.1K0.688.43N/AN/A11,4767,828329,136284,232
2012-11-20$6.62$6.0036.3%10.4%37.0%7.0%36.9%2.7%3.3%1.5M-109.9M-544.1K0.9311.73N/AN/A5,5965,224327,600275,676
2012-11-21$6.77$6.0034.6%9.9%37.4%5.6%35.2%2.8%2.9%1.8M-122.0M-531.1K0.3611.33N/AN/A10,3803,688324,672277,912
2012-11-23$6.77$6.0035.6%10.2%37.3%6.4%41.1%1.9%2.1%1.9M-124.2M-510.6K0.0214.99N/AN/A98,3361,856326,540279,500
2012-11-26$6.71$6.2536.5%10.5%37.8%7.1%38.2%3.2%1.8%1.5M-85.8M-510.6K2.7012.45N/AN/A5,49614,840273,332279,708
2012-11-27$6.67$6.2535.7%10.2%37.7%6.4%36.9%3.4%1.7%1.7M-83.4M-514.1K1.8613.58N/AN/A7,66014,268276,820288,828
2012-11-28$6.61$6.2535.7%10.2%35.7%6.5%35.7%3.5%2.7%1.5M-76.5M-528.2K0.3011.34N/AN/A9,9402,972279,316290,912
2012-11-29$6.55$6.2536.2%10.4%35.7%6.9%37.5%3.5%1.8%1.6M-72.5M-526.2K1.777.16N/AN/A3,9446,996286,868291,864
2012-11-30$6.56$6.5036.4%10.4%34.4%7.0%36.0%3.6%2.1%1.5M-71.9M-532.1K0.7014.09N/AN/A4,2642,984288,612295,152