GME Options History — March 2015 In March 2015, GME traded between $9.39 and $10.34. ATM implied volatility averaged 44.4%, placing in the 46.5% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 18.9% (HV 20d: 25.5%). Max pain ranged from $9.50 to $10.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 1.00.
Notable Days 2015-03-26 : Highest Volume — 184,644 contracts2015-03-27 : Largest IV drop — 29.5% change2015-03-26 : Highest IV Rank — 55.8%2015-03-26 : Largest Expected Move — 15.2%Monthly Statistics Metric Avg Min Max Open Close Price $9.99 $9.39 $10.34 $9.68 $9.50 Max Pain $9.95 $9.50 $10.00 $9.75 $10.00 ATM IV 44.4% 33.9% 48.2% 47.2% 34.0% Expected Move 12.2% 9.2% 15.2% 9.6% 9.9% HV 20d 25.5% 22.2% 30.4% 26.8% 26.9% HV 60d 40.7% 37.6% 45.2% 45.2% 39.0% IV Rank 46.5% 21.0% 55.8% 53.3% 21.2% IV Percentile 63.5% 9.9% 81.0% 77.4% 11.5% Term Structure -2.2% -3.3% 0.3% -2.5% -0.5% VWIV 42.8% 32.3% 52.9% 33.8% 34.3% Skew 25d 4.2% 1.8% 6.4% 6.4% 1.8% Skew 10d 7.9% 4.3% 11.3% 11.3% 4.3% Call IV 25d 43.2% 33.0% 46.8% 45.0% 34.3% Put IV 25d 47.4% 35.8% 51.4% 51.4% 36.1% Bid-Ask Spread % 15.61 10.98 23.54 23.54 15.18 Gamma HHI 0.12 0.07 0.21 0.09 0.10 Net GEX 377.4K -2.1M 2.2M -999.3K -1.2M Net DEX -1.4M -33.5M 67.6M 17.3M 60.8M Net VEX -645.0K -684.2K -600.6K -601.6K -615.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.00 0.31 3.54 1.06 0.84 Total Volume 52,269.273 8,108 184,644 47,760 64,436 Total OI 544,766.182 463,476 662,472 463,476 597,960
Daily Data (22 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 2015-03-02 $9.68 $9.75 47.2% 9.6% 26.8% 53.3% 33.8% 6.4% -2.5% -999.3K 17.3M -601.6K 1.06 23.54 N/A N/A 23,192 24,568 178,604 284,872 2015-03-03 $9.68 $9.50 47.8% 9.6% 22.6% 54.9% 33.6% 1.9% -2.9% -446.6K 11.3M -600.6K 1.23 17.21 N/A N/A 27,636 34,124 190,180 287,752 2015-03-04 $10.01 $9.63 45.9% 9.2% 24.6% 50.1% 32.3% 5.1% -3.3% -19.2K -18.5M -616.3K 0.88 21.44 N/A N/A 41,076 36,136 198,348 295,464 2015-03-05 $10.00 $10.00 46.2% 12.2% 22.2% 50.8% 41.3% 4.3% -2.9% 674.0K -18.9M -655.2K 1.20 16.49 N/A N/A 25,516 30,596 213,712 306,400 2015-03-06 $10.04 $10.00 45.2% 12.0% 22.2% 48.6% 40.1% 3.4% -3.3% 619.1K -23.0M -651.1K 1.16 13.10 N/A N/A 23,736 27,620 217,840 311,848 2015-03-09 $10.21 $10.00 45.2% 12.3% 22.5% 48.4% 44.1% 3.5% -1.6% 1.3M -33.5M -648.2K 1.12 16.92 N/A N/A 9,292 10,452 212,812 305,272 2015-03-10 $10.16 $10.00 46.1% 12.4% 22.6% 50.6% 44.2% 3.5% -2.8% 1.2M -28.7M -629.3K 3.54 15.48 N/A N/A 10,572 37,460 215,816 310,580 2015-03-11 $9.87 $10.00 46.5% 12.8% 24.8% 51.5% 45.5% 5.6% -2.0% -187.7K 14.4M -655.7K 1.30 18.32 N/A N/A 16,004 20,784 215,236 321,144 2015-03-12 $9.92 $10.00 46.4% 12.7% 24.5% 51.3% 46.1% 4.0% -2.3% -55.4K 11.3M -673.3K 0.39 15.16 N/A N/A 16,208 6,296 223,468 332,360 2015-03-13 $10.18 $10.00 45.5% 12.5% 25.4% 49.3% 47.5% 4.9% -2.8% 1.3M -16.8M -656.1K 1.26 15.29 N/A N/A 13,588 17,068 212,248 336,996 2015-03-16 $10.27 $10.00 45.5% 12.8% 25.5% 49.1% 44.8% 4.8% -2.4% 2.1M -31.5M -642.7K 0.31 13.14 N/A N/A 25,240 7,884 214,924 331,420 2015-03-17 $10.23 $10.00 46.0% 13.1% 25.6% 50.4% 45.4% 5.0% -2.6% 1.8M -27.1M -651.5K 0.31 12.66 N/A N/A 15,216 4,716 218,752 334,800 2015-03-18 $10.28 $10.00 46.3% 13.3% 25.6% 51.2% 47.0% 5.3% -2.9% 2.2M -33.4M -633.6K 1.64 15.61 N/A N/A 18,508 30,356 220,516 336,120 2015-03-19 $10.20 $10.00 45.8% 13.2% 26.0% 49.9% 47.6% 4.2% -2.5% 2.0M -17.6M -683.8K 0.53 13.44 N/A N/A 5,292 2,816 224,972 355,276 2015-03-20 $10.23 $10.00 45.4% 13.2% 25.9% 49.0% 46.5% 5.5% -2.2% 1.3M -16.7M -684.2K 0.38 14.84 N/A N/A 14,292 5,380 227,084 357,036 2015-03-23 $10.34 $10.00 44.3% 13.3% 25.8% 46.3% 47.4% 4.4% -1.5% 456.5K -27.2M -664.8K 0.85 15.58 N/A N/A 12,968 10,996 208,296 306,064 2015-03-24 $10.23 $10.00 44.9% 13.8% 26.2% 47.8% 47.8% 3.9% -2.0% 434.1K -19.1M -674.4K 0.55 13.71 N/A N/A 21,612 11,828 215,292 312,256 2015-03-25 $9.95 $10.00 46.3% 14.5% 28.5% 51.1% 50.0% 5.1% -2.4% 25.6K 7.4M -668.0K 0.55 11.92 N/A N/A 29,048 16,036 225,668 320,732 2015-03-26 $9.72 $10.00 48.2% 15.2% 29.9% 55.8% 52.9% 4.5% -2.5% -334.4K 27.2M -663.3K 0.72 15.73 N/A N/A 107,612 77,032 244,572 329,684 2015-03-27 $9.59 $10.00 34.0% 9.8% 30.4% 21.2% 35.0% 2.5% 0.1% -1.8M 63.4M -614.8K 1.23 17.73 N/A N/A 62,908 77,280 289,008 373,464 2015-03-30 $9.39 $10.00 33.9% 9.8% 26.5% 21.0% 34.8% 2.8% 0.3% -2.1M 67.6M -606.4K 0.85 10.98 N/A N/A 41,364 35,180 233,252 336,756 2015-03-31 $9.50 $10.00 34.0% 9.9% 26.9% 21.2% 34.3% 1.8% -0.5% -1.2M 60.8M -615.1K 0.84 15.18 N/A N/A 35,024 29,412 250,516 347,444
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