GME Options History — February 2013

In February 2013, GME traded between $6.15 and $6.70. ATM implied volatility averaged 42.2%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded below realized volatility by 0.5% (HV 20d: 42.7%). Max pain ranged from $6.00 to $6.25. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.85.

Notable Days

  • 2013-02-06: Highest Volume — 111,212 contracts
  • 2013-02-06: Largest IV spike — 15.4% change
  • 2013-02-20: Highest IV Rank — 19.2%
  • 2013-02-20: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.35$6.15$6.70$6.17$6.26
Max Pain$6.21$6.00$6.25$6.00$6.25
ATM IV42.2%29.3%50.3%29.3%37.7%
Expected Move12.2%9.2%14.4%9.2%10.8%
HV 20d42.7%38.5%44.2%38.5%43.8%
HV 60d37.1%35.9%39.2%35.9%36.5%
IV Rank12.6%1.8%19.2%1.8%8.8%
IV Percentile58.5%4.4%87.3%4.4%34.5%
Term Structure2.1%-1.7%6.4%1.8%6.4%
VWIV43.5%32.1%50.6%32.1%38.9%
Skew 25d2.1%-1.5%5.1%5.1%2.5%
Skew 10d4.2%-1.7%11.1%10.2%2.5%
Call IV 25d42.8%30.6%50.3%30.6%37.8%
Put IV 25d44.8%35.7%52.6%35.7%40.3%
Bid-Ask Spread %15.539.6826.0113.5313.49
Gamma HHI0.160.110.320.130.12
Net GEX755.0K-147.9K1.5M-147.9K974.1K
Net DEX-36.5M-64.3M-15.7M-21.7M-30.1M
Net VEX-512.4K-570.6K-417.8K-417.8K-526.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.053.750.620.83
Total Volume46,710.9478,488111,21224,7409,276
Total OI575,240.842394,004667,704394,004667,612

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-02-01$6.17$6.0029.3%9.2%38.5%1.8%32.1%5.1%1.8%-147.9K-21.7M-417.8K0.6213.53N/AN/A15,2529,488184,504209,500
2013-02-04$6.31$6.0033.4%9.9%38.8%5.2%35.2%4.9%1.2%48.9K-33.3M-419.8K0.3815.23N/AN/A24,5489,208192,612213,336
2013-02-05$6.70$6.0035.5%10.3%44.1%6.9%36.9%4.5%1.7%652.5K-64.3M-420.5K0.5812.44N/AN/A53,32830,764208,924215,708
2013-02-06$6.30$6.2541.0%12.2%43.4%11.5%43.5%3.7%1.6%316.1K-28.8M-465.2K0.8122.93N/AN/A61,54049,672231,664236,520
2013-02-07$6.35$6.2543.1%12.4%42.0%13.3%43.0%3.2%0.1%361.8K-33.5M-477.7K1.2913.05N/AN/A8,61211,152244,004249,488
2013-02-08$6.51$6.2545.5%13.0%42.6%15.3%49.3%-1.5%-0.3%865.4K-48.2M-480.1K0.0519.70N/AN/A76,7523,572248,348253,052
2013-02-11$6.55$6.2547.7%13.7%42.3%17.1%48.3%0.3%0.6%1.5M-60.1M-499.3K0.7512.69N/AN/A55,27241,224302,368252,956
2013-02-12$6.46$6.2547.3%13.6%42.4%16.8%48.2%0.6%1.8%1.1M-44.5M-544.9K0.129.68N/AN/A56,3806,484343,788286,164
2013-02-13$6.51$6.2546.0%13.2%42.4%15.7%46.9%0.6%2.2%1.4M-53.7M-570.6K0.1910.98N/AN/A13,1162,500367,800286,568
2013-02-14$6.44$6.2545.7%13.1%42.7%15.4%46.4%1.1%2.0%870.5K-44.8M-557.6K0.3010.79N/AN/A11,5603,484366,044285,544
2013-02-15$6.34$6.2544.3%12.7%43.0%14.3%47.2%1.0%3.8%535.7K-33.9M-546.8K0.2412.09N/AN/A24,1805,820370,856287,680
2013-02-19$6.38$6.2547.8%13.7%42.8%17.2%49.6%1.1%-0.2%1.1M-39.6M-542.3K1.0914.59N/AN/A32,21634,976328,636226,716
2013-02-20$6.33$6.2550.3%14.4%42.9%19.2%50.6%2.3%-1.7%1.1M-39.1M-554.2K1.4213.10N/AN/A19,40427,620348,140243,832
2013-02-21$6.18$6.2543.2%12.4%43.9%13.4%44.2%1.5%2.4%539.9K-20.6M-544.7K0.6321.45N/AN/A53,40033,864361,868261,816
2013-02-22$6.21$6.2540.8%11.7%43.8%11.4%41.6%1.5%4.0%758.5K-25.3M-553.0K3.7515.57N/AN/A7,46027,988398,952262,436
2013-02-25$6.15$6.2544.9%12.9%43.8%14.8%45.8%1.8%1.0%373.7K-15.7M-544.7K2.6726.01N/AN/A2,3126,176392,604275,100
2013-02-26$6.20$6.2540.4%11.6%43.9%11.1%40.5%2.4%5.6%700.3K-21.9M-533.4K0.2321.04N/AN/A22,8285,140393,008265,172
2013-02-27$6.31$6.2538.5%11.0%44.2%9.4%38.7%2.7%5.2%1.2M-34.7M-536.6K0.2216.75N/AN/A25,3485,592399,872266,384
2013-02-28$6.26$6.2537.7%10.8%43.8%8.8%38.9%2.5%6.4%974.1K-30.1M-526.8K0.8313.49N/AN/A5,0644,212398,900268,712