GME Options History — January 2014

In January 2014, GME traded between $8.77 and $12.41. ATM implied volatility averaged 42.1%, placing in the 33.0% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded below realized volatility by 25.8% (HV 20d: 68.0%). Max pain ranged from $10.00 to $11.25. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.97.

Notable Days

  • 2014-01-13: Highest Volume — 256,584 contracts
  • 2014-01-14: Largest IV drop — 36.4% change
  • 2014-01-13: Highest IV Rank — 100.0%
  • 2014-01-07: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.14$8.77$12.41$12.41$8.77
Max Pain$10.65$10.00$11.25$11.25$10.00
ATM IV42.1%32.1%72.5%36.5%38.9%
Expected Move11.9%11.3%12.5%12.3%11.9%
HV 20d68.0%24.1%89.1%24.1%88.7%
HV 60d48.6%30.8%58.7%30.8%58.7%
IV Rank33.0%10.9%100.0%21.1%24.1%
IV Percentile47.3%9.1%100.0%32.5%50.4%
Term Structure0.3%-10.4%4.9%-8.5%1.4%
VWIV43.8%39.3%49.7%43.7%44.5%
Skew 25d2.5%-0.3%4.8%4.5%1.8%
Skew 10d6.0%-1.0%14.2%10.2%3.9%
Call IV 25d37.9%31.9%47.1%46.8%36.5%
Put IV 25d40.4%33.2%51.9%51.2%38.2%
Bid-Ask Spread %15.917.5430.958.2914.86
Gamma HHI0.120.070.240.140.24
Net GEX-28.5K-3.1M3.4M3.4M-1.8M
Net DEX85.8M-100.1M334.0M-100.1M76.5M
Net VEX-555.4K-790.4K-306.4K-790.4K-512.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.302.331.141.30
Total Volume72,213.33318,000256,58442,64025,252
Total OI740,206.667362,9081,175,412765,052507,396

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$12.41$11.2536.5%12.3%24.1%21.1%43.7%4.5%-8.5%3.4M-100.1M-790.4K1.148.29N/AN/A19,92422,716418,276346,776
2014-01-03$12.31$11.2534.3%12.1%24.4%16.0%47.8%4.8%-10.4%3.3M-84.7M-775.9K2.3311.50N/AN/A9,70422,584428,044359,092
2014-01-06$12.04$11.2540.0%12.2%25.3%29.0%49.7%3.6%0.3%1.9M-45.3M-749.9K0.538.68N/AN/A22,29211,916423,116366,588
2014-01-07$11.04$11.2554.2%12.5%41.0%60.9%47.5%4.3%-1.1%-174.1K88.9M-603.7K1.4218.98N/AN/A100,132142,124436,128370,756
2014-01-08$11.34$11.2558.2%12.4%42.0%69.9%46.7%4.8%-1.3%-320.9K64.7M-730.4K0.807.54N/AN/A32,69626,016495,696435,228
2014-01-09$11.24$11.2557.1%12.4%42.0%67.5%41.6%4.3%-0.0%-667.6K78.5M-713.3K0.308.27N/AN/A36,33210,928505,480442,996
2014-01-10$11.38$11.2560.9%11.7%42.0%76.0%39.8%4.1%0.1%-3.1M47.8M-720.2K1.1921.14N/AN/A26,30031,240525,360445,876
2014-01-13$11.33$11.2572.5%12.1%41.9%100.0%48.3%2.6%0.8%1.6M51.2M-665.7K1.0120.85N/AN/A127,432129,152507,716419,888
2014-01-14$9.08$11.2546.1%12.1%87.4%41.7%43.1%2.4%3.4%-1.7M334.0M-306.4K1.5630.95N/AN/A93,660145,948603,188509,112
2014-01-15$9.24$11.2540.2%12.1%87.4%28.6%40.7%1.7%4.0%-636.9K298.2M-382.5K0.6117.26N/AN/A36,24021,944645,344514,752
2014-01-16$9.44$11.2536.6%11.7%87.6%20.9%42.3%0.5%4.9%855.6K275.7M-427.3K1.0021.54N/AN/A28,14028,012656,028507,144
2014-01-17$9.41$10.0035.5%11.7%86.9%18.5%40.6%0.8%4.7%1.9M274.7M-423.8K1.0226.64N/AN/A24,75625,160663,384512,028
2014-01-21$9.55$10.0033.3%11.4%87.4%13.5%40.5%-0.3%1.1%-241.1K39.3M-432.2K0.5810.46N/AN/A46,34026,664199,832163,076
2014-01-22$9.81$10.0032.3%11.4%88.5%11.4%39.3%1.0%1.2%273.9K24.8M-488.4K0.4013.79N/AN/A19,0087,536223,984176,128
2014-01-23$9.56$10.0032.1%11.3%87.6%10.9%42.0%1.6%1.7%-88.4K38.1M-480.7K0.8514.51N/AN/A22,23218,892228,468178,924
2014-01-24$9.13$10.0034.7%11.7%87.8%16.7%42.3%2.1%0.7%-1.3M62.3M-474.4K0.8018.03N/AN/A23,61618,952242,844193,452
2014-01-27$9.33$10.0034.8%11.6%88.9%16.8%43.7%2.2%0.7%-567.8K50.4M-512.5K1.0511.24N/AN/A13,01213,712247,152199,300
2014-01-28$9.01$10.0035.0%11.7%89.1%15.2%44.5%1.6%0.7%-1.1M70.9M-486.3K1.3717.69N/AN/A16,26822,348255,348209,440
2014-01-29$8.77$10.0036.2%11.8%88.8%17.9%0.0%2.6%0.9%-1.3M82.2M-470.1K0.4317.66N/AN/A34,44014,860262,320216,332
2014-01-30$8.83$10.0035.5%11.7%89.1%16.4%47.1%2.2%1.7%-968.5K73.6M-517.3K0.6214.14N/AN/A11,0806,920283,232219,116
2014-01-31$8.77$10.0038.9%11.9%88.7%24.1%44.5%1.8%1.4%-1.8M76.5M-512.4K1.3014.86N/AN/A10,98014,272287,484219,912