GME Options History — November 2013

In November 2013, GME traded between $11.94 and $14.40. ATM implied volatility averaged 37.7%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 8.4% (HV 20d: 29.3%). Max pain ranged from $11.25 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.98.

Notable Days

  • 2013-11-21: Highest Volume — 256,304 contracts
  • 2013-11-14: Largest IV spike — 49.5% change
  • 2013-11-18: Highest IV Rank — 54.1%
  • 2013-11-20: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.36$11.94$14.40$13.76$12.06
Max Pain$11.94$11.25$12.50$12.50$12.50
ATM IV37.7%29.1%51.2%30.0%37.1%
Expected Move12.7%12.4%13.1%12.4%12.9%
HV 20d29.3%19.5%40.4%21.9%40.0%
HV 60d34.5%30.9%36.3%34.5%34.1%
IV Rank20.0%1.9%54.1%2.7%22.4%
IV Percentile37.3%1.6%93.3%3.2%39.7%
Term Structure1.0%-2.7%10.0%10.0%3.8%
VWIV46.4%40.3%54.8%47.1%53.7%
Skew 25d3.0%0.7%5.0%2.4%0.7%
Skew 10d6.8%2.2%13.0%4.0%2.2%
Call IV 25d42.0%32.0%49.8%32.0%37.9%
Put IV 25d45.0%34.4%54.8%34.4%38.6%
Bid-Ask Spread %6.773.0529.083.754.11
Gamma HHI0.160.120.230.180.13
Net GEX5.2M1.1M9.7M5.6M3.5M
Net DEX-253.9M-450.6M-40.9M-302.3M-68.6M
Net VEX-1.1M-1.3M-940.8K-1.1M-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.092.611.080.85
Total Volume60,299.28,104256,30413,62027,044
Total OI770,912707,684906,620716,384818,340

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$13.76$12.5030.0%12.4%21.9%2.7%47.1%2.4%10.0%5.6M-302.3M-1.1M1.083.75N/AN/A6,5607,060436,540279,844
2013-11-04$13.82$12.5031.9%12.4%19.5%4.6%47.8%2.3%0.3%4.3M-311.0M-1.1M1.014.77N/AN/A4,0364,068433,960275,812
2013-11-05$14.14$12.5033.8%12.4%20.0%6.3%40.3%2.5%0.2%5.2M-361.3M-1.1M0.353.33N/AN/A16,4525,688435,180278,696
2013-11-06$14.01$12.5030.6%12.4%20.6%3.3%45.8%2.5%0.0%4.8M-344.1M-1.0M2.613.49N/AN/A5,70414,860438,028280,268
2013-11-07$13.46$12.5031.6%12.4%23.2%4.3%42.7%3.1%0.4%3.5M-256.1M-1.1M0.873.99N/AN/A15,03213,036439,384281,032
2013-11-08$13.87$12.5029.1%12.5%25.1%1.9%44.8%2.3%-0.1%4.5M-324.6M-1.0M0.155.17N/AN/A20,1282,948443,700284,624
2013-11-11$13.85$11.2533.1%12.6%25.2%5.7%0.0%3.9%-0.5%4.1M-325.8M-1.1M1.976.55N/AN/A22,01643,472448,892283,268
2013-11-12$14.24$11.2532.0%12.6%26.2%4.7%0.0%3.1%-1.3%4.5M-379.6M-1.0M0.304.67N/AN/A60,91618,324448,076301,428
2013-11-13$14.40$11.2531.6%12.5%26.2%4.2%54.8%4.2%-2.1%7.9M-425.1M-1.1M0.823.99N/AN/A6,8765,608497,056304,648
2013-11-14$14.36$11.2547.2%12.8%25.9%19.3%42.0%3.7%-1.2%7.8M-415.8M-1.1M0.093.58N/AN/A103,0609,768485,144302,168
2013-11-15$14.13$11.2549.4%12.9%25.8%50.2%49.5%3.7%-1.5%9.7M-450.6M-1.3M1.0014.27N/AN/A23,51223,628572,784310,016
2013-11-18$13.76$11.2551.2%12.7%27.4%54.1%42.1%5.0%-2.6%8.5M-337.3M-1.2M1.8412.83N/AN/A31,48058,052501,108206,576
2013-11-19$13.30$11.2549.5%12.9%30.0%50.4%44.3%4.0%-1.9%6.2M-239.7M-1.2M1.453.72N/AN/A22,75633,000499,956256,784
2013-11-20$13.11$11.2550.8%13.1%30.3%53.3%45.5%4.4%-2.7%5.4M-211.5M-1.2M0.9214.52N/AN/A104,98496,664506,164270,476
2013-11-21$12.20$11.2538.0%13.0%39.0%24.4%44.4%3.9%3.7%1.1M-40.9M-940.8K0.7029.08N/AN/A151,100105,204520,988310,740
2013-11-22$12.46$12.5036.2%12.9%40.1%20.4%48.4%2.7%3.3%6.9M-70.0M-1.1M0.823.31N/AN/A24,17619,860554,828351,792
2013-11-25$12.22$12.5037.5%12.9%40.4%23.3%45.8%2.1%3.3%4.1M-89.2M-1.0M0.593.24N/AN/A20,84812,324480,708286,924
2013-11-26$12.06$12.5037.0%12.9%39.5%22.2%47.3%1.4%4.1%3.8M-71.9M-1.0M1.603.88N/AN/A16,41226,328491,260293,232
2013-11-27$11.94$12.5036.7%12.8%39.5%21.6%49.6%1.3%4.3%2.8M-53.6M-988.9K0.683.05N/AN/A13,7209,280497,504310,312
2013-11-29$12.06$12.5037.1%12.9%40.0%22.4%53.7%0.7%3.8%3.5M-68.6M-1.0M0.854.11N/AN/A14,63212,412501,184317,156