GME Options History — January 2015

In January 2015, GME traded between $8.05 and $9.57. ATM implied volatility averaged 52.0%, placing in the 60.3% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded above realized volatility by 1.3% (HV 20d: 50.7%). Max pain ranged from $8.75 to $9.75. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.64.

Notable Days

  • 2015-01-12: Highest Volume — 227,800 contracts
  • 2015-01-14: Largest IV drop — 20.5% change
  • 2015-01-13: Highest IV Rank — 86.9%
  • 2015-01-13: Largest Expected Move — 18.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.85$8.05$9.57$8.47$8.81
Max Pain$9.30$8.75$9.75$9.25$9.25
ATM IV52.0%40.5%66.4%53.1%44.8%
Expected Move14.4%11.8%18.1%14.0%13.0%
HV 20d50.7%40.8%57.1%46.6%56.8%
HV 60d51.3%46.7%54.6%47.5%54.6%
IV Rank60.3%37.0%86.9%58.8%47.6%
IV Percentile79.9%52.4%99.6%89.7%68.7%
Term Structure-1.2%-4.4%1.1%-1.9%0.7%
VWIV50.9%41.9%62.4%48.9%45.9%
Skew 25d5.1%1.8%8.3%7.3%3.8%
Skew 10d8.5%0.7%18.0%12.5%7.1%
Call IV 25d50.0%39.6%64.5%51.1%43.4%
Put IV 25d55.1%42.7%68.4%58.3%47.2%
Bid-Ask Spread %24.0016.2434.2916.2426.41
Gamma HHI0.190.120.270.160.24
Net GEX-6.0M-13.9M-723.5K-8.1M-5.1M
Net DEX148.9M16.0M289.3M225.8M105.9M
Net VEX-692.8K-747.1K-603.2K-617.0K-730.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.640.323.040.941.71
Total Volume89,455.212,008227,80088,47257,336
Total OI808,296.6538,5801,253,204820,408605,640

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$8.47$9.2553.1%14.0%46.6%58.8%48.9%7.3%-1.9%-8.1M225.8M-617.0K0.9416.24N/AN/A45,57242,900236,888583,520
2015-01-05$8.68$9.0056.4%14.6%47.4%65.8%50.6%7.8%-2.1%-7.5M190.2M-620.4K1.3623.66N/AN/A28,72838,928247,936583,656
2015-01-06$8.42$9.0064.4%16.8%48.1%82.8%58.3%5.2%-2.4%-6.8M219.2M-617.6K2.3421.08N/AN/A36,37285,084262,056601,104
2015-01-07$8.32$8.7563.5%16.8%43.6%80.8%58.6%6.6%-2.6%-7.6M248.6M-637.2K0.3223.63N/AN/A40,44013,056276,284634,484
2015-01-08$8.42$8.7562.6%16.7%43.7%79.0%56.4%5.7%-2.2%-6.7M227.8M-660.7K0.9719.06N/AN/A39,18438,076309,292640,528
2015-01-09$8.05$9.7564.9%17.3%40.8%83.7%60.7%2.6%-4.4%-7.1M289.3M-603.2K2.7919.56N/AN/A34,20495,412327,152654,476
2015-01-12$8.42$9.7565.6%17.6%43.5%85.4%61.9%8.3%-3.4%-7.3M237.6M-634.6K2.2824.75N/AN/A69,540158,260298,468654,748
2015-01-13$8.20$9.5066.4%18.1%40.8%86.9%62.4%4.6%-4.0%-8.1M271.5M-660.4K3.0434.29N/AN/A41,972127,660337,296728,448
2015-01-14$9.04$9.5052.7%14.6%52.9%66.8%52.5%5.0%-1.1%-9.2M126.9M-713.3K2.3920.92N/AN/A63,380151,304353,928773,488
2015-01-15$8.62$9.5053.3%15.4%54.5%68.3%52.6%1.8%1.1%-13.9M274.7M-744.3K1.7332.94N/AN/A47,61282,464372,988857,368
2015-01-16$9.09$9.5048.3%13.8%57.0%56.1%48.1%5.6%0.6%-10.9M151.7M-737.7K1.0228.04N/AN/A25,45225,920383,800869,404
2015-01-20$9.02$9.5047.3%13.5%57.1%53.6%48.0%5.9%-0.7%-2.4M86.7M-711.8K0.7124.59N/AN/A22,10815,688169,284374,564
2015-01-21$9.21$9.5044.6%12.8%55.6%46.9%44.8%4.3%-0.2%-1.8M63.4M-737.2K1.3524.24N/AN/A16,69222,568187,924384,036
2015-01-22$9.27$9.2543.1%12.4%55.3%43.4%43.1%5.7%-0.5%-723.5K55.6M-747.1K1.1726.38N/AN/A31,79637,204198,880396,308
2015-01-23$9.35$9.2541.1%11.9%55.1%38.6%42.9%6.0%0.8%-3.2M50.7M-738.1K1.0326.80N/AN/A38,30039,456200,040398,468
2015-01-26$9.54$9.2541.2%12.1%53.0%38.8%43.5%4.3%-0.3%-2.7M19.0M-722.4K2.1821.79N/AN/A9,98421,716173,160365,420
2015-01-27$9.57$9.2540.5%11.8%53.0%37.0%41.9%2.6%0.3%-2.9M16.0M-739.5K1.2723.73N/AN/A5,2846,724180,124381,792
2015-01-28$9.40$9.2542.3%12.4%53.6%41.3%51.9%4.0%-0.6%-3.3M37.3M-741.8K2.7924.48N/AN/A20,31656,640181,172385,244
2015-01-29$9.06$9.2543.8%12.8%55.8%45.0%44.7%5.8%-1.3%-4.5M79.3M-742.6K1.4917.45N/AN/A22,42033,352182,740413,824
2015-01-30$8.81$9.2544.8%13.0%56.8%47.6%45.9%3.8%0.7%-5.1M105.9M-730.0K1.7126.41N/AN/A21,14836,188183,084422,556