GME Options History — January 2013

In January 2013, GME traded between $5.65 and $6.42. ATM implied volatility averaged 35.2%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 2.4% (HV 20d: 37.6%). Max pain ranged from $6.00 to $6.25. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.01.

Notable Days

  • 2013-01-03: Highest Volume — 133,400 contracts
  • 2013-01-03: Largest IV spike — 15.1% change
  • 2013-01-07: Highest IV Rank — 17.9%
  • 2013-01-03: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.90$5.65$6.42$6.42$5.80
Max Pain$6.02$6.00$6.25$6.25$6.00
ATM IV35.2%27.2%49.4%38.8%30.3%
Expected Move9.8%7.8%12.8%11.1%8.7%
HV 20d37.6%29.8%41.0%29.8%35.5%
HV 60d34.2%33.0%35.1%33.0%33.6%
IV Rank6.2%0.0%17.9%9.1%2.6%
IV Percentile29.4%0.0%86.1%46.8%8.7%
Term Structure1.1%-4.2%2.8%0.1%2.0%
VWIV34.3%26.3%45.2%39.4%29.3%
Skew 25d4.2%2.9%6.6%5.4%4.3%
Skew 10d8.3%5.7%16.3%12.0%7.2%
Call IV 25d32.5%26.0%41.5%37.3%28.0%
Put IV 25d36.7%29.6%47.9%42.7%32.3%
Bid-Ask Spread %10.574.7619.2211.9418.40
Gamma HHI0.140.130.170.130.15
Net GEX-433.5K-1.2M893.0K893.0K-360.5K
Net DEX11.3M-46.5M45.1M-46.5M7.3M
Net VEX-414.0K-453.0K-375.7K-453.0K-401.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.010.366.480.362.83
Total Volume23,852.3814,896133,40017,24813,628
Total OI494,190.095356,692622,064492,840388,920

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$6.42$6.2538.8%11.1%29.8%9.1%39.4%5.4%0.1%893.0K-46.5M-453.0K0.3611.94N/AN/A12,6804,568264,060228,780
2013-01-03$6.09$6.2544.7%12.8%35.0%14.0%45.2%6.4%-4.2%485.2K-15.4M-438.5K0.519.72N/AN/A88,14045,260261,728229,436
2013-01-04$6.20$6.0043.3%11.2%35.7%12.8%38.2%6.6%1.2%353.8K-18.7M-433.5K5.7719.22N/AN/A3,64821,044256,992254,008
2013-01-07$6.19$6.0049.4%11.4%34.2%17.9%40.4%5.2%0.8%138.9K-14.6M-429.4K0.564.76N/AN/A13,3247,496257,368266,712
2013-01-08$5.80$6.0041.9%11.4%38.9%11.7%39.9%5.2%1.6%-557.8K26.6M-385.8K2.7710.35N/AN/A16,88846,784256,728271,268
2013-01-09$5.65$6.0038.3%10.5%39.0%8.6%36.8%4.3%0.7%-838.0K43.9M-375.7K2.258.44N/AN/A12,36427,860264,212288,728
2013-01-10$5.70$6.0036.3%10.4%38.9%6.9%36.5%4.4%0.5%-918.4K43.3M-393.9K6.488.07N/AN/A3,90425,292271,288305,420
2013-01-11$5.81$6.0037.6%10.8%40.0%8.0%39.0%4.4%0.7%-823.2K33.7M-428.5K2.519.22N/AN/A8,92822,452272,556326,988
2013-01-14$5.75$6.0037.3%10.7%40.0%7.8%39.0%3.9%0.1%-1.0M41.8M-421.5K0.886.93N/AN/A7,7126,776276,672339,656
2013-01-15$5.79$6.0036.6%10.5%40.3%7.2%37.4%3.5%0.4%-967.9K37.9M-425.0K1.857.53N/AN/A2,1724,024281,488340,272
2013-01-16$5.77$6.0035.5%10.2%40.2%6.2%35.6%3.1%1.3%-1.2M45.1M-418.2K1.337.32N/AN/A4,1645,548280,000342,064
2013-01-17$5.87$6.0033.8%9.7%41.0%4.9%34.4%2.9%1.4%-1.1M30.9M-411.9K1.615.36N/AN/A8,60013,856275,432333,916
2013-01-18$5.82$6.0032.3%9.2%41.0%3.6%32.1%3.4%2.8%-1.1M37.5M-415.6K0.417.17N/AN/A7,9523,288275,192342,272
2013-01-22$5.83$6.0030.9%8.9%37.6%2.5%30.0%3.3%2.1%-270.0K-1.2M-405.0K2.887.52N/AN/A4,64013,368171,604185,088
2013-01-23$5.79$6.0029.8%8.6%37.1%1.5%27.8%3.5%1.5%-426.0K4.3M-404.9K1.0910.08N/AN/A3,1043,396174,292193,868
2013-01-24$5.87$6.0029.6%8.5%37.7%1.3%26.3%3.1%1.8%-353.1K-1.2M-411.0K2.6413.72N/AN/A3,7569,908175,036195,124
2013-01-25$5.93$6.0027.2%7.8%37.0%0.0%27.1%3.6%2.6%-367.5K-3.3M-413.9K0.8210.53N/AN/A3,7083,040177,156201,296
2013-01-28$5.95$6.0028.3%8.1%36.9%1.0%27.4%4.3%2.0%-247.9K-4.3M-411.7K1.5215.11N/AN/A1,9402,956179,600201,984
2013-01-29$6.00$6.0028.5%8.2%37.1%1.1%28.4%3.7%2.0%-231.5K-8.9M-408.5K1.3114.65N/AN/A2,9523,864180,068203,480
2013-01-30$5.91$6.0028.4%8.1%36.4%1.0%29.7%3.9%1.8%-270.0K-1.6M-407.3K1.7015.97N/AN/A2,1923,724182,212205,028
2013-01-31$5.80$6.0030.3%8.7%35.5%2.6%29.3%4.3%2.0%-360.5K7.3M-401.1K2.8318.40N/AN/A3,55610,072182,560206,360