GME Options History — November 2014

In November 2014, GME traded between $9.30 and $11.18. ATM implied volatility averaged 54.6%, placing in the 62.1% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 19.5% (HV 20d: 35.2%). Max pain ranged from $10.00 to $10.50. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 2.01.

Notable Days

  • 2014-11-21: Highest Volume — 431,916 contracts
  • 2014-11-21: Largest IV drop — 35.4% change
  • 2014-11-07: Highest IV Rank — 85.3%
  • 2014-11-20: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.50$9.30$11.18$10.68$9.45
Max Pain$10.07$10.00$10.50$10.00$10.00
ATM IV54.6%33.3%65.6%57.3%33.9%
Expected Move13.0%11.9%13.9%12.3%12.0%
HV 20d35.2%25.7%57.5%30.5%57.1%
HV 60d33.9%29.3%41.6%32.6%40.5%
IV Rank62.1%17.0%85.3%67.7%18.2%
IV Percentile79.3%10.7%99.6%98.8%12.3%
Term Structure-3.0%-6.3%1.1%-3.1%-0.3%
VWIV46.6%41.6%50.6%44.6%43.8%
Skew 25d8.8%3.4%15.2%7.6%5.0%
Skew 10d16.8%8.1%28.3%12.7%8.6%
Call IV 25d51.0%31.5%62.6%53.0%32.1%
Put IV 25d59.8%35.8%72.2%60.5%37.1%
Bid-Ask Spread %23.8718.3133.7323.8928.65
Gamma HHI0.120.070.650.080.12
Net GEX-6.6M-38.4M-1.8M-2.9M-6.9M
Net DEX69.9M-26.2M415.1M20.8M146.3M
Net VEX-1.0M-1.2M-870.0K-1.1M-888.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.010.504.623.360.70
Total Volume106,279.78914,340431,91665,38814,340
Total OI977,755.368778,4481,412,872778,448928,916

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$10.68$10.0057.3%12.3%30.5%67.7%44.6%7.6%-3.1%-2.9M20.8M-1.1M3.3623.89N/AN/A14,99650,392250,168528,280
2014-11-04$10.69$10.0058.3%12.4%29.7%69.9%45.1%9.7%-4.4%-3.2M27.2M-1.1M2.6121.75N/AN/A14,16837,032254,528545,812
2014-11-05$10.77$10.0058.5%12.6%29.4%70.2%45.2%6.2%-2.6%-2.8M15.2M-1.1M2.2021.97N/AN/A17,13637,780257,348552,572
2014-11-06$11.18$10.0063.6%13.2%28.2%81.0%47.5%13.9%-4.8%-1.8M-26.2M-1.1M2.0720.50N/AN/A43,96090,968261,088559,608
2014-11-07$10.93$10.0065.6%13.5%30.2%85.3%48.6%9.0%-6.0%-3.4M7.3M-1.2M1.5721.39N/AN/A26,08841,084286,528630,404
2014-11-10$10.68$10.0064.6%13.5%26.2%83.2%48.9%10.1%-5.4%-4.0M46.8M-1.1M1.8719.94N/AN/A20,88839,036281,056623,264
2014-11-11$10.62$10.0063.0%13.6%26.5%79.9%49.7%8.2%-4.1%-4.3M55.3M-1.1M1.9018.31N/AN/A18,89235,948276,656617,680
2014-11-12$10.87$10.0064.6%13.7%25.8%83.3%49.5%11.5%-6.3%-3.7M25.5M-1.1M4.0320.92N/AN/A22,46890,612292,996646,348
2014-11-13$11.12$10.0061.2%13.5%26.1%76.1%49.5%11.8%-5.2%-3.6M-1.1M-1.1M2.6133.73N/AN/A32,58484,964302,956707,412
2014-11-14$11.10$10.0060.2%13.6%26.0%73.8%50.6%15.2%-5.0%-8.4M16.3M-1.1M4.6225.53N/AN/A8,79240,624310,696769,700
2014-11-17$11.02$10.0060.2%13.5%25.7%73.9%48.2%10.1%-2.1%-4.8M23.9M-1.1M0.5026.26N/AN/A107,20453,960304,800756,968
2014-11-18$11.03$10.0061.2%13.6%25.7%76.0%48.9%11.0%-3.6%-4.5M13.7M-1.1M1.8421.68N/AN/A34,86063,976343,224783,800
2014-11-19$10.90$10.2561.1%13.5%26.1%75.7%47.1%9.0%-2.7%-5.3M35.1M-1.1M1.4228.57N/AN/A48,72869,152357,084821,788
2014-11-20$10.95$10.2561.4%13.9%25.7%76.5%48.7%12.4%-2.2%-5.1M25.9M-1.1M1.0830.96N/AN/A141,128152,220378,744849,556
2014-11-21$9.48$10.5039.7%12.4%57.5%30.4%44.1%4.8%-0.3%-38.4M415.1M-870.0K2.9219.80N/AN/A110,084321,832482,328930,544
2014-11-24$9.44$10.2535.6%12.0%57.5%21.8%41.8%4.9%0.1%-7.1M151.3M-892.1K0.7423.15N/AN/A30,22822,336301,296572,436
2014-11-25$9.34$10.0033.3%11.9%57.4%17.0%41.6%4.3%1.1%-7.4M159.0M-892.4K1.1425.32N/AN/A26,40430,024315,196580,472
2014-11-26$9.30$10.0035.0%12.1%57.0%20.5%41.9%3.4%0.2%-8.4M170.1M-890.3K1.0421.31N/AN/A11,96012,468321,284593,816
2014-11-28$9.45$10.0033.9%12.0%57.1%18.2%43.8%5.0%-0.3%-6.9M146.3M-888.5K0.7028.65N/AN/A8,4205,920328,016600,900