GME Options History — December 2013

In December 2013, GME traded between $11.27 and $12.74. ATM implied volatility averaged 37.5%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 4.0% (HV 20d: 33.5%). Max pain ranged from $11.25 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.24.

Notable Days

  • 2013-12-13: Highest Volume — 52,272 contracts
  • 2013-12-27: Largest IV drop — 22.8% change
  • 2013-12-03: Highest IV Rank — 38.7%
  • 2013-12-04: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.95$11.27$12.74$11.74$12.31
Max Pain$11.67$11.25$12.50$12.50$11.25
ATM IV37.5%28.3%44.4%44.1%28.3%
Expected Move12.7%12.3%13.1%13.0%12.3%
HV 20d33.5%25.8%40.4%40.4%25.8%
HV 60d32.1%31.1%34.1%34.0%31.1%
IV Rank23.3%2.5%38.7%38.1%2.5%
IV Percentile40.8%0.4%77.8%76.6%0.4%
Term Structure1.4%-7.7%5.1%3.3%-7.7%
VWIV46.1%41.3%51.3%45.8%44.9%
Skew 25d2.2%0.6%4.2%0.6%3.2%
Skew 10d4.8%0.1%11.8%0.9%5.3%
Call IV 25d39.0%35.1%45.1%38.9%45.1%
Put IV 25d41.2%37.5%48.3%39.5%48.3%
Bid-Ask Spread %6.512.5912.1810.538.53
Gamma HHI0.130.080.240.110.13
Net GEX3.9M808.0K8.0M2.8M3.2M
Net DEX-54.0M-164.0M41.3M-24.5M-89.5M
Net VEX-852.0K-934.3K-804.1K-934.3K-813.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.364.850.681.03
Total Volume30,731.42911,74452,27231,55613,316
Total OI829,135.619710,924887,708804,324765,780

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$11.74$12.5044.1%13.0%40.4%38.1%45.8%0.6%3.3%2.8M-24.5M-934.3K0.6810.53N/AN/A18,80412,752488,860315,464
2013-12-03$11.49$12.5044.4%13.0%40.4%38.7%49.9%0.8%3.7%1.9M5.1M-877.4K1.127.23N/AN/A22,67225,400494,856321,144
2013-12-04$11.44$12.5043.6%13.1%38.7%37.1%0.0%1.1%4.3%1.9M9.5M-888.3K0.364.07N/AN/A8,6243,120506,428335,120
2013-12-05$11.28$12.5039.0%13.0%38.7%26.6%47.3%1.4%4.1%1.3M30.6M-843.8K2.403.37N/AN/A10,03224,096507,148336,336
2013-12-06$11.27$12.5037.8%13.0%37.2%24.0%44.5%2.2%2.8%808.0K41.3M-845.1K0.623.54N/AN/A20,64412,780509,524354,104
2013-12-09$11.39$12.5040.9%12.9%35.0%30.9%51.3%1.7%5.1%1.8M23.8M-834.0K0.4312.18N/AN/A22,2289,460507,256350,680
2013-12-10$11.44$12.5040.1%12.9%35.3%29.1%45.6%1.8%4.5%2.4M17.4M-836.3K1.214.62N/AN/A10,39612,628520,140352,676
2013-12-11$11.30$11.2535.1%12.9%32.4%17.9%44.6%1.8%3.9%1.8M38.6M-804.1K1.005.21N/AN/A12,45212,492523,252357,936
2013-12-12$11.40$11.2538.8%12.9%32.2%26.3%45.0%1.7%3.9%2.9M18.6M-828.3K0.623.74N/AN/A15,9969,872527,220355,744
2013-12-13$11.82$11.2539.3%12.9%36.3%27.4%0.0%1.9%3.5%4.1M-49.9M-885.7K1.142.59N/AN/A24,37627,896531,164355,876
2013-12-16$12.03$11.2539.6%12.5%37.4%28.1%46.3%2.2%2.6%4.7M-65.0M-888.5K0.535.52N/AN/A17,0728,972518,748358,052
2013-12-17$12.24$11.2538.8%12.6%37.8%26.1%0.0%2.4%2.6%5.5M-94.4M-882.2K1.666.29N/AN/A8,78814,628525,944357,352
2013-12-18$12.48$11.2537.8%12.5%37.3%24.0%48.6%2.1%3.0%6.5M-131.4M-889.6K0.896.09N/AN/A20,44818,252527,936359,772
2013-12-19$12.47$11.2535.7%12.5%37.1%19.2%44.5%1.7%4.2%8.0M-130.4M-861.2K0.845.94N/AN/A13,76811,576526,344352,352
2013-12-20$12.31$11.2535.3%12.4%26.9%18.4%0.0%1.6%3.5%6.3M-106.5M-833.9K0.765.85N/AN/A18,45214,000530,620354,908
2013-12-23$12.63$11.2535.1%12.3%27.3%17.8%0.0%2.8%-2.0%6.2M-142.6M-832.6K0.407.34N/AN/A28,59211,344403,956306,968
2013-12-24$12.74$11.2535.8%12.3%26.4%19.6%0.0%2.5%-1.0%6.7M-164.0M-843.8K1.369.32N/AN/A6,8929,360416,516312,072
2013-12-26$12.59$11.2538.1%12.4%26.3%24.6%0.0%4.0%-2.2%6.4M-142.0M-830.5K0.947.95N/AN/A21,02819,852417,308314,464
2013-12-27$12.26$11.2529.4%12.4%27.9%5.0%0.0%4.2%-5.4%3.1M-88.5M-827.0K4.857.95N/AN/A7,14034,604426,368327,696
2013-12-30$12.32$11.2531.1%12.3%27.8%8.8%41.3%3.7%-7.6%3.3M-89.3M-812.4K3.238.83N/AN/A7,22823,328416,032341,732
2013-12-31$12.31$11.2528.3%12.3%25.8%2.5%44.9%3.2%-7.7%3.2M-89.5M-813.0K1.038.53N/AN/A6,5686,748417,720348,060