GME Options History — September 2014 In September 2014, GME traded between $10.30 and $11.31. ATM implied volatility averaged 33.7%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 1.0% (HV 20d: 34.7%). Max pain ranged from $10.00 to $10.75. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.71.
Notable Days 2014-09-19 : Highest Volume — 38,732 contracts2014-09-08 : Largest IV spike — 18.7% change2014-09-09 : Highest IV Rank — 26.4%2014-09-30 : Largest Expected Move — 11.1%Monthly Statistics Metric Avg Min Max Open Close Price $10.85 $10.30 $11.31 $10.94 $10.30 Max Pain $10.39 $10.00 $10.75 $10.00 $10.75 ATM IV 33.7% 28.6% 37.8% 31.4% 37.2% Expected Move 10.9% 10.7% 11.1% 10.8% 11.1% HV 20d 34.7% 27.7% 39.7% 37.8% 27.7% HV 60d 33.0% 31.3% 34.6% 34.6% 33.4% IV Rank 17.7% 7.0% 26.4% 12.8% 25.2% IV Percentile 18.9% 1.2% 53.2% 5.2% 50.0% Term Structure 1.4% -0.3% 4.5% 2.3% -0.3% VWIV 38.8% 36.6% 44.3% 38.3% 38.5% Skew 25d 3.1% 1.9% 5.0% 2.4% 2.4% Skew 10d 5.6% 1.8% 8.5% 5.0% 3.9% Call IV 25d 32.9% 29.8% 36.4% 31.0% 36.4% Put IV 25d 36.0% 32.7% 38.8% 33.4% 38.8% Bid-Ask Spread % 14.34 11.04 19.60 11.04 13.88 Gamma HHI 0.12 0.09 0.23 0.11 0.16 Net GEX -4.2M -10.8M -1.8M -3.2M -7.2M Net DEX 13.1M -50.8M 93.9M -50.7K 93.9M Net VEX -846.9K -964.8K -775.3K -964.8K -781.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.71 0.37 6.35 0.62 1.43 Total Volume 16,755.048 4,508 38,732 22,600 9,700 Total OI 732,405.143 678,024 763,044 726,592 721,664
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2014-09-02 $10.94 $10.00 31.4% 10.8% 37.8% 12.8% 38.3% 2.4% 2.3% -3.2M -50.7K -964.8K 0.62 11.04 N/A N/A 13,920 8,680 210,024 516,568 2014-09-03 $10.88 $10.00 33.6% 10.9% 37.7% 17.5% 38.5% 2.3% 2.9% -2.8M 1.8M -960.1K 1.20 13.05 N/A N/A 5,416 6,516 216,620 517,272 2014-09-04 $11.11 $10.00 29.9% 10.9% 38.3% 9.8% 41.4% 2.9% 4.0% -2.1M -24.1M -928.3K 3.72 13.80 N/A N/A 5,308 19,736 217,728 519,548 2014-09-05 $11.31 $10.00 28.6% 10.7% 37.9% 7.0% 39.4% 4.4% 4.5% -1.8M -50.8M -882.2K 0.79 12.25 N/A N/A 10,528 8,312 218,764 522,812 2014-09-08 $11.07 $10.00 34.0% 10.9% 38.9% 18.3% 39.2% 3.4% 4.4% -2.3M -22.1M -877.4K 2.13 13.43 N/A N/A 7,332 15,648 216,448 520,344 2014-09-09 $10.79 $10.25 37.8% 11.0% 39.7% 26.4% 0.0% 2.5% 3.9% -3.7M 18.4M -908.2K 2.46 13.91 N/A N/A 4,620 11,348 216,800 529,188 2014-09-10 $10.79 $10.25 32.1% 10.9% 39.0% 14.3% 39.2% 3.9% 4.0% -4.2M 23.2M -902.3K 0.91 13.76 N/A N/A 5,488 5,016 218,376 536,308 2014-09-11 $10.99 $10.25 33.2% 10.8% 39.4% 16.7% 41.3% 4.4% 0.5% -3.5M -997.2K -882.9K 0.37 13.79 N/A N/A 7,744 2,872 218,032 534,796 2014-09-12 $10.90 $10.50 32.9% 10.9% 39.4% 16.1% 37.5% 2.6% 0.3% -3.0M 4.5M -876.5K 0.88 13.88 N/A N/A 6,212 5,484 222,148 535,516 2014-09-15 $10.88 $10.50 34.3% 10.9% 33.6% 18.9% 37.8% 3.3% 0.4% -3.7M 9.7M -866.2K 0.92 14.53 N/A N/A 2,348 2,160 222,272 535,428 2014-09-16 $11.21 $10.50 33.4% 10.8% 34.0% 17.1% 36.6% 2.7% -0.1% -1.9M -40.2M -800.0K 0.60 14.00 N/A N/A 10,848 6,512 222,496 535,356 2014-09-17 $11.01 $10.50 33.2% 10.9% 35.0% 16.8% 36.8% 2.4% 1.4% -3.1M -8.8M -830.6K 2.42 19.60 N/A N/A 2,972 7,184 225,140 537,904 2014-09-18 $11.06 $10.50 33.3% 10.9% 34.9% 16.9% 37.1% 3.8% 0.1% -3.3M -11.1M -797.5K 1.57 16.01 N/A N/A 3,520 5,536 218,068 539,376 2014-09-19 $10.85 $10.50 34.1% 11.0% 34.8% 18.5% 38.1% 1.9% 0.3% -4.4M 17.2M -793.3K 1.45 13.76 N/A N/A 15,832 22,900 219,012 540,652 2014-09-22 $10.85 $10.50 34.0% 11.0% 28.3% 18.4% 38.2% 3.3% 0.2% -3.9M 16.8M -795.9K 0.98 16.08 N/A N/A 8,644 8,492 184,904 493,120 2014-09-23 $10.60 $10.50 34.7% 11.0% 29.3% 19.9% 37.7% 2.7% 0.2% -5.2M 43.6M -800.9K 1.34 16.31 N/A N/A 9,664 12,928 189,408 498,772 2014-09-24 $10.79 $10.50 34.2% 10.8% 29.9% 18.8% 38.3% 5.0% -0.1% -4.7M 24.8M -783.4K 0.48 14.85 N/A N/A 7,556 3,656 187,976 507,216 2014-09-25 $10.52 $10.75 34.7% 11.0% 31.2% 19.9% 37.6% 2.1% 0.2% -6.4M 56.1M -794.6K 2.52 13.85 N/A N/A 3,212 8,100 192,136 509,076 2014-09-26 $10.51 $10.75 35.0% 10.9% 31.2% 20.6% 44.3% 3.7% 0.1% -10.8M 57.7M -782.6K 6.35 14.39 N/A N/A 4,580 29,104 194,064 510,008 2014-09-29 $10.52 $10.75 35.7% 11.0% 30.1% 22.1% 39.9% 3.6% 0.1% -6.1M 64.6M -775.3K 2.80 14.98 N/A N/A 4,276 11,952 190,888 518,280 2014-09-30 $10.30 $10.75 37.2% 11.1% 27.7% 25.2% 38.5% 2.4% -0.3% -7.2M 93.9M -781.3K 1.43 13.88 N/A N/A 3,996 5,704 193,124 528,540
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