GME Options History — December 2012

In December 2012, GME traded between $6.13 and $6.96. ATM implied volatility averaged 38.1%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 10.6% (HV 20d: 27.5%). Max pain ranged from $6.25 to $6.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 2.19.

Notable Days

  • 2012-12-20: Highest Volume — 35,164 contracts
  • 2012-12-20: Largest IV spike — 11.5% change
  • 2012-12-31: Highest IV Rank — 13.4%
  • 2012-12-31: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.61$6.13$6.96$6.46$6.27
Max Pain$6.30$6.25$6.50$6.50$6.25
ATM IV38.1%34.8%44.0%37.3%44.0%
Expected Move11.0%10.2%12.6%10.7%12.6%
HV 20d27.5%18.4%35.2%35.2%29.1%
HV 60d33.1%31.9%34.3%34.3%32.8%
IV Rank8.4%5.7%13.4%7.7%13.4%
IV Percentile44.2%27.0%71.4%40.1%71.4%
Term Structure1.6%-1.3%5.2%1.6%-1.3%
VWIV39.1%36.6%43.7%37.6%43.2%
Skew 25d5.2%3.0%6.9%3.8%5.8%
Skew 10d10.8%4.4%15.8%8.7%12.2%
Call IV 25d36.7%34.1%41.8%36.7%41.8%
Put IV 25d41.8%38.2%47.6%40.5%47.6%
Bid-Ask Spread %9.925.5420.506.1910.29
Gamma HHI0.160.100.320.140.13
Net GEX1.7M348.3K2.9M1.4M667.2K
Net DEX-68.2M-104.1M-20.7M-61.9M-33.7M
Net VEX-477.5K-525.7K-455.1K-525.7K-456.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.190.2612.320.260.43
Total Volume14,316.24,92835,1648,01216,960
Total OI576,682.6463,152646,764590,588486,852

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$6.46$6.5037.3%10.7%35.2%7.7%37.6%3.8%1.6%1.4M-61.9M-525.7K0.266.19N/AN/A6,3601,652293,088297,500
2012-12-04$6.47$6.5036.5%10.5%35.1%7.1%37.6%3.0%2.4%1.5M-64.6M-517.8K12.3211.94N/AN/A6447,936293,568298,456
2012-12-05$6.49$6.5036.1%10.4%35.0%6.8%37.5%3.0%2.3%1.6M-65.6M-520.8K8.5720.50N/AN/A8767,508293,936303,996
2012-12-06$6.66$6.5035.7%10.2%34.4%6.4%36.6%3.4%1.1%1.6M-70.5M-490.2K0.2716.18N/AN/A6,2201,656268,380303,836
2012-12-07$6.83$6.2535.0%10.7%30.6%5.9%37.5%5.8%5.2%2.1M-87.3M-478.8K1.2210.09N/AN/A6,0687,420273,400304,068
2012-12-10$6.86$6.2535.2%10.4%28.8%6.0%37.0%5.1%4.1%2.4M-92.7M-462.3K1.418.68N/AN/A7,11210,052277,460308,960
2012-12-11$6.93$6.2536.3%10.6%26.1%6.9%37.6%5.4%2.8%2.3M-99.2M-471.7K0.929.32N/AN/A8,8488,164281,300316,032
2012-12-12$6.96$6.2534.8%10.4%26.1%5.7%37.1%5.0%2.5%2.5M-104.1M-467.4K0.528.50N/AN/A11,9646,240286,196322,112
2012-12-13$6.90$6.2537.0%10.6%26.8%7.5%37.8%5.4%2.6%2.6M-99.6M-481.6K2.409.89N/AN/A2,9487,068292,952325,768
2012-12-14$6.88$6.2537.4%10.7%23.8%7.9%38.2%5.7%2.2%2.6M-96.2M-479.2K0.748.49N/AN/A9,3326,876294,120329,700
2012-12-17$6.88$6.2537.0%10.6%19.6%7.5%37.9%5.9%1.7%2.8M-98.7M-474.2K2.968.67N/AN/A2,8408,400300,540333,668
2012-12-18$6.93$6.2536.4%10.4%19.3%7.0%38.0%5.4%2.5%2.9M-102.4M-468.5K1.209.00N/AN/A2,5042,996300,536339,956
2012-12-19$6.89$6.2536.6%10.5%18.4%7.2%40.8%5.5%2.1%2.8M-98.2M-466.7K2.047.77N/AN/A8,60817,528300,068339,668
2012-12-20$6.53$6.2540.8%11.7%25.3%10.8%40.8%5.0%0.4%2.4M-53.0M-474.9K3.949.20N/AN/A7,11228,052295,128338,108
2012-12-21$6.39$6.2540.2%11.5%26.3%10.2%40.2%5.4%0.6%1.0M-30.7M-479.0K0.708.13N/AN/A8,1925,756298,068348,696
2012-12-24$6.39$6.2539.6%11.3%26.2%9.7%39.6%5.3%0.0%514.4K-38.5M-463.9K0.745.54N/AN/A2,8322,096240,964222,188
2012-12-26$6.22$6.2541.2%11.8%27.7%11.1%41.2%6.9%0.1%348.3K-24.0M-455.1K0.7111.06N/AN/A12,6688,964242,752223,080
2012-12-27$6.17$6.2542.0%12.0%27.7%11.7%43.7%6.6%-0.4%376.5K-21.9M-458.6K1.898.63N/AN/A4,3048,128251,260226,284
2012-12-28$6.13$6.2542.5%12.2%27.6%12.1%41.6%5.6%-1.0%419.9K-20.7M-456.8K0.4910.26N/AN/A9,0044,436254,160226,848
2012-12-31$6.27$6.2544.0%12.6%29.1%13.4%43.2%5.8%-1.3%667.2K-33.7M-456.5K0.4310.29N/AN/A11,8805,080259,248227,604