GME Options History — March 2014

In March 2014, GME traded between $9.28 and $10.28. ATM implied volatility averaged 44.2%, placing in the 35.9% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 7.2% (HV 20d: 36.9%). Max pain ranged from $8.75 to $10.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.26.

Notable Days

  • 2014-03-28: Highest Volume — 151,788 contracts
  • 2014-03-27: Largest IV drop — 30.4% change
  • 2014-03-26: Highest IV Rank — 56.3%
  • 2014-03-03: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.62$9.28$10.28$9.30$10.28
Max Pain$9.23$8.75$10.00$10.00$8.75
ATM IV44.2%35.3%53.2%47.4%47.2%
Expected Move11.4%11.2%11.9%11.9%11.6%
HV 20d36.9%31.3%47.9%35.1%47.9%
HV 60d59.2%58.0%62.7%58.0%62.7%
IV Rank35.9%15.9%56.3%43.2%42.8%
IV Percentile72.1%22.2%93.3%84.5%85.7%
Term Structure-2.1%-8.0%5.9%4.7%1.6%
VWIV41.5%24.5%46.7%44.5%42.8%
Skew 25d5.0%2.0%7.3%3.2%2.0%
Skew 10d11.2%4.3%17.0%6.4%6.4%
Call IV 25d42.2%36.5%52.0%38.4%37.3%
Put IV 25d47.2%39.3%58.0%41.6%39.3%
Bid-Ask Spread %11.897.5316.9014.189.68
Gamma HHI0.120.070.400.130.13
Net GEX1.2M-1.7M8.8M1.0M3.2M
Net DEX-1.6M-81.1M47.7M8.9M-69.0M
Net VEX-811.8K-867.1K-712.3K-712.3K-830.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.157.801.570.23
Total Volume53,991.23813,804151,78825,708100,324
Total OI663,977.524553,544801,712553,544712,032

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$9.30$10.0047.4%11.9%35.1%43.2%44.5%3.2%4.7%1.0M8.9M-712.3K1.5714.18N/AN/A9,98815,720304,520249,024
2014-03-04$9.34$10.0045.7%11.9%31.9%39.4%40.0%3.2%4.7%915.8K7.7M-720.0K0.6811.17N/AN/A9,2166,304305,556258,472
2014-03-05$9.69$10.0042.2%11.5%33.8%31.6%41.6%2.3%4.5%1.3M-22.9M-741.0K0.287.53N/AN/A37,30010,340311,040261,244
2014-03-06$9.67$10.0039.7%11.5%33.3%25.9%41.2%4.7%5.9%1.8M-24.0M-745.1K2.0112.82N/AN/A27,80855,924323,264263,516
2014-03-07$9.63$10.0037.1%11.4%33.2%19.9%42.4%4.6%-2.6%397.4K-5.9M-827.5K0.899.77N/AN/A9,6128,516325,944310,952
2014-03-10$9.63$10.0041.2%11.4%33.2%29.3%45.5%4.3%-3.1%1.1M-2.4M-810.4K1.2410.06N/AN/A6,1607,644321,644307,864
2014-03-11$9.62$10.0041.3%11.4%32.3%29.4%40.7%6.2%-4.1%1.1M-547.7K-817.8K7.8012.81N/AN/A4,04831,568323,300313,024
2014-03-12$9.63$10.0035.3%11.3%31.3%15.9%24.5%6.0%-4.0%847.6K5.8M-832.8K0.4210.68N/AN/A10,9484,548323,936339,504
2014-03-13$9.28$8.7545.6%11.6%33.7%39.0%39.8%5.6%-4.5%-435.0K36.9M-811.3K0.949.27N/AN/A22,61221,332318,992339,000
2014-03-14$9.74$8.7545.0%11.3%36.9%37.8%39.9%6.5%-4.5%8.8M-14.8M-867.1K1.0710.48N/AN/A28,88030,984324,748350,052
2014-03-17$9.94$8.7543.9%11.3%37.1%35.4%43.2%5.8%-4.1%1.2M-34.8M-846.8K0.9411.45N/AN/A15,08414,152322,832369,040
2014-03-18$9.60$8.7546.9%11.2%39.5%42.2%42.7%6.9%-5.7%75.1K11.0M-846.7K0.9016.90N/AN/A34,74431,340326,696375,676
2014-03-19$9.40$8.7546.1%11.4%39.9%40.3%41.8%7.3%-4.6%-253.7K32.7M-849.7K1.6614.17N/AN/A8,54414,172339,724384,664
2014-03-20$9.61$8.7546.6%11.3%40.4%41.3%42.6%6.7%-5.1%1.3M3.2M-829.4K0.6314.49N/AN/A12,7367,964331,684378,756
2014-03-21$9.46$8.7545.1%11.3%41.0%38.1%42.6%6.6%-4.6%440.6K26.6M-818.0K0.6510.51N/AN/A22,48414,716337,852381,140
2014-03-24$9.53$8.7548.5%11.3%40.9%45.8%42.1%5.9%-5.6%-636.2K22.7M-808.1K1.0612.04N/AN/A22,05223,436285,880330,468
2014-03-25$9.45$8.7549.3%11.3%33.7%47.4%46.7%5.3%-6.1%-521.8K26.2M-815.3K0.1510.79N/AN/A41,2446,136302,348341,892
2014-03-26$9.72$8.7553.2%11.4%35.1%56.3%43.0%6.0%-8.0%793.1K-8.0M-860.8K0.8013.76N/AN/A68,18854,760340,448345,868
2014-03-27$9.33$8.7537.0%11.7%37.4%19.8%41.2%3.0%0.4%-1.7M47.7M-802.3K1.4513.44N/AN/A53,24477,256375,068384,152
2014-03-28$10.15$8.7543.4%11.5%47.9%34.2%42.7%3.4%0.7%4.7M-81.1M-855.4K1.0513.74N/AN/A74,19677,592388,104413,608
2014-03-31$10.28$8.7547.2%11.6%47.9%42.8%42.8%2.0%1.6%3.2M-69.0M-830.8K0.239.68N/AN/A81,84418,480344,856367,176