GME Options History — September 2013

In September 2013, GME traded between $12.36 and $13.15. ATM implied volatility averaged 36.5%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 6.6% (HV 20d: 43.1%). Max pain ranged from $8.75 to $11.75. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.11.

Notable Days

  • 2013-09-13: Highest Volume — 151,952 contracts
  • 2013-09-30: Largest IV spike — 17.8% change
  • 2013-09-30: Highest IV Rank — 14.5%
  • 2013-09-19: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.64$12.36$13.15$12.49$12.41
Max Pain$10.08$8.75$11.75$11.75$8.75
ATM IV36.5%32.6%42.2%39.7%42.2%
Expected Move11.6%10.3%12.7%10.7%12.6%
HV 20d43.1%36.2%49.0%43.2%36.2%
HV 60d35.3%34.1%39.0%39.0%35.8%
IV Rank9.0%5.3%14.5%12.0%14.5%
IV Percentile24.0%6.7%61.5%40.9%61.5%
Term Structure4.6%1.6%7.3%2.2%2.6%
VWIV42.9%36.3%53.7%38.1%44.8%
Skew 25d2.5%1.5%3.6%1.5%2.8%
Skew 10d6.3%2.8%9.2%2.8%5.4%
Call IV 25d35.6%33.3%38.2%38.2%36.6%
Put IV 25d38.1%36.2%40.9%39.7%39.4%
Bid-Ask Spread %10.194.9435.096.964.94
Gamma HHI0.170.140.240.160.15
Net GEX5.2M2.9M7.6M4.5M3.0M
Net DEX-231.5M-343.5M-153.2M-212.3M-153.2M
Net VEX-958.7K-1.1M-851.4K-935.4K-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.213.391.391.74
Total Volume28,990.43,724151,95218,76438,704
Total OI662,371.6584,816747,528632,152661,320

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$12.49$11.7539.7%10.7%43.2%12.0%38.1%1.5%2.2%4.5M-212.3M-935.4K1.396.96N/AN/A7,84810,916363,812268,340
2013-09-04$12.41$11.7538.7%10.4%42.2%11.1%37.1%1.9%2.9%4.0M-203.8M-942.0K1.439.61N/AN/A2,2683,244367,612274,700
2013-09-05$12.80$11.7536.8%10.3%42.6%9.3%37.0%1.5%2.6%5.2M-248.9M-917.5K1.399.81N/AN/A5,2487,312368,440275,660
2013-09-06$12.40$11.2537.1%11.0%44.1%9.5%39.8%3.1%4.4%4.4M-202.9M-928.4K0.6814.29N/AN/A8,7005,884371,268277,844
2013-09-09$12.53$11.2539.7%10.9%44.1%12.0%40.2%3.0%4.8%4.7M-218.8M-910.7K0.2112.84N/AN/A12,6522,708370,608273,840
2013-09-10$12.59$11.2539.5%10.6%44.0%11.9%38.7%2.7%5.5%5.9M-236.5M-896.2K0.4811.46N/AN/A5,6042,664381,404274,284
2013-09-11$12.39$11.2532.6%10.3%44.4%5.3%36.6%2.9%6.0%5.2M-207.3M-866.6K0.709.64N/AN/A5,5763,924374,504274,832
2013-09-12$12.36$11.2535.8%10.3%44.2%8.3%36.5%2.4%6.3%5.0M-205.3M-858.9K1.385.85N/AN/A1,5682,156376,128277,152
2013-09-13$13.11$11.2536.7%10.5%47.9%9.2%36.3%2.7%5.2%5.5M-297.2M-851.4K0.2110.13N/AN/A125,80426,148376,572277,208
2013-09-16$13.03$0.0035.9%12.3%48.0%8.4%0.0%1.7%6.5%7.6M-334.0M-1.1M0.6235.09N/AN/A10,4006,400471,388276,140
2013-09-17$13.15$0.0034.0%11.9%48.1%6.5%46.0%2.0%6.3%6.8M-343.5M-1.0M0.5520.14N/AN/A10,8885,964454,980279,692
2013-09-18$12.85$8.7535.3%12.4%49.0%7.8%0.0%3.6%6.2%7.3M-301.3M-1.0M0.6110.73N/AN/A18,44811,172456,524281,892
2013-09-19$12.96$8.7534.8%12.7%48.7%7.4%43.9%2.9%6.5%6.9M-312.1M-1.0M0.505.11N/AN/A5,0922,556451,668275,632
2013-09-20$12.36$8.7534.8%12.6%41.4%7.4%53.7%2.5%7.3%5.3M-200.9M-964.6K1.816.11N/AN/A12,98023,436452,304274,084
2013-09-23$12.45$8.7534.8%12.7%41.6%7.3%40.4%2.0%5.5%4.8M-191.5M-958.2K1.405.65N/AN/A11,36415,876372,472212,344
2013-09-24$12.76$8.7535.1%12.6%42.2%7.6%53.6%1.8%4.4%5.4M-222.5M-978.9K0.684.97N/AN/A18,72412,808378,596223,264
2013-09-25$12.70$8.7535.2%12.3%36.4%7.7%53.4%2.4%1.6%5.1M-204.5M-954.3K3.397.10N/AN/A13,56445,924362,344227,436
2013-09-26$12.61$8.7535.2%12.4%36.3%7.7%52.6%2.9%1.9%3.6M-179.5M-1.0M1.426.57N/AN/A18,71626,552370,636266,908
2013-09-27$12.41$8.7535.8%12.7%36.3%8.3%0.0%2.7%2.5%2.9M-153.2M-1.0M1.666.80N/AN/A11,28418,732383,472290,128
2013-09-30$12.41$8.7542.2%12.6%36.2%14.5%44.8%2.8%2.6%3.0M-153.2M-1.0M1.744.94N/AN/A14,14424,560377,260284,060