GME Options History — June 2015 In June 2015, GME traded between $10.63 and $11.15. ATM implied volatility averaged 27.8%, placing in the 6.1% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 1.3% (HV 20d: 29.1%). Max pain ranged from $10.00 to $10.88. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.54.
Notable Days 2015-06-05 : Highest Volume — 137,280 contracts2015-06-15 : Largest IV spike — 11.1% change2015-06-15 : Highest IV Rank — 11.4%2015-06-02 : Largest Expected Move — 8.7%Monthly Statistics Metric Avg Min Max Open Close Price $10.86 $10.63 $11.15 $10.86 $10.76 Max Pain $10.34 $10.00 $10.88 $10.63 $10.50 ATM IV 27.8% 25.8% 30.0% 29.3% 27.7% Expected Move 8.0% 7.3% 8.7% 8.6% 8.1% HV 20d 29.1% 16.6% 32.9% 32.9% 19.3% HV 60d 26.3% 24.9% 27.4% 27.3% 26.0% IV Rank 6.1% 1.2% 11.4% 9.9% 5.8% IV Percentile 2.2% 0.8% 6.3% 1.6% 4.0% Term Structure 0.1% -0.6% 0.7% -0.6% 0.2% VWIV 29.2% 25.0% 48.9% 31.2% 28.1% Skew 25d 2.3% 1.1% 3.3% 2.5% 2.0% Skew 10d 4.2% 1.3% 8.5% 5.8% 3.5% Call IV 25d 27.1% 25.1% 28.9% 28.7% 27.5% Put IV 25d 29.4% 26.8% 31.8% 31.2% 29.6% Bid-Ask Spread % 15.76 9.55 24.61 16.23 13.30 Gamma HHI 0.14 0.10 0.41 0.10 0.12 Net GEX -403.5K -3.3M 6.4M -1.4M -1.2M Net DEX -16.6M -51.1M 18.0M -34.6M -2.7M Net VEX -449.1K -508.0K -414.4K -508.0K -476.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.54 0.22 1.57 1.57 0.44 Total Volume 92,817.818 18,964 137,280 68,552 79,176 Total OI 470,990.727 404,244 540,244 524,108 407,816
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 2015-06-01 $10.86 $10.63 29.3% 8.6% 32.9% 9.9% 31.2% 2.5% -0.6% -1.4M -34.6M -508.0K 1.57 16.23 N/A N/A 26,668 41,884 193,960 330,148 2015-06-02 $10.99 $10.63 28.9% 8.7% 32.2% 8.7% 31.5% 2.1% 0.7% -1.3M -49.1M -479.4K 1.29 15.27 N/A N/A 8,268 10,696 194,144 338,544 2015-06-03 $10.94 $10.88 28.3% 8.5% 32.3% 7.2% 30.1% 2.9% -0.3% -1.9M -38.2M -470.7K 1.19 13.37 N/A N/A 21,004 24,892 192,076 344,224 2015-06-04 $11.00 $10.00 28.4% 8.1% 30.7% 7.5% 29.4% 2.7% -0.1% -1.6M -46.7M -471.6K 1.40 9.75 N/A N/A 18,488 25,836 194,632 343,672 2015-06-05 $11.04 $10.00 27.8% 8.0% 30.6% 6.0% 48.9% 3.1% 0.2% -1.4M -50.6M -463.5K 0.22 9.55 N/A N/A 112,132 25,148 194,520 345,724 2015-06-08 $10.77 $10.25 28.5% 8.1% 32.0% 7.8% 31.8% 2.0% -0.1% -2.6M 5.0M -439.8K 0.42 11.69 N/A N/A 79,792 33,656 143,476 322,380 2015-06-09 $10.74 $10.25 28.0% 8.1% 31.7% 6.7% 27.0% 2.3% 0.2% -2.6M 7.4M -434.2K 0.26 13.54 N/A N/A 77,060 20,280 145,244 320,844 2015-06-10 $10.73 $10.25 27.2% 8.0% 30.7% 4.6% 29.0% 2.7% 0.0% -3.3M 10.0M -425.6K 0.26 11.19 N/A N/A 78,328 20,320 145,800 321,944 2015-06-11 $10.76 $10.25 27.8% 8.0% 30.7% 6.2% 30.1% 2.7% 0.2% -2.8M 5.3M -422.3K 0.27 18.33 N/A N/A 81,688 21,708 147,320 323,280 2015-06-12 $10.75 $10.25 27.0% 7.8% 30.7% 4.2% 25.3% 2.5% 0.5% -3.1M 6.7M -416.8K 0.25 14.52 N/A N/A 79,836 20,340 151,528 326,940 2015-06-15 $10.63 $10.25 30.0% 8.5% 30.4% 11.4% 30.1% 3.3% 0.1% -2.5M 15.2M -414.4K 0.41 19.84 N/A N/A 93,824 38,196 138,584 303,052 2015-06-16 $10.63 $10.25 29.0% 8.3% 30.4% 9.1% 25.0% 1.7% 0.1% -1.8M 18.0M -422.9K 0.39 12.20 N/A N/A 78,792 31,100 164,568 318,440 2015-06-17 $10.76 $10.25 28.8% 8.3% 30.6% 8.5% 28.3% 2.7% 0.5% -988.3K 3.2M -441.3K 0.35 24.61 N/A N/A 93,584 32,444 175,712 323,584 2015-06-18 $10.81 $10.25 28.1% 8.1% 30.4% 6.9% 28.3% 2.0% -0.0% 1.3M -13.5M -444.7K 0.35 19.24 N/A N/A 72,808 25,188 195,920 322,820 2015-06-19 $10.79 $10.25 27.4% 7.8% 30.2% 5.1% 29.1% 1.1% 0.3% 813.7K -6.5M -449.2K 0.33 14.32 N/A N/A 78,628 26,272 199,576 326,320 2015-06-22 $11.00 $10.25 26.6% 7.5% 30.8% 3.1% 26.6% 2.9% -0.4% 4.4M -44.1M -430.9K 0.31 24.23 N/A N/A 81,212 25,544 163,320 242,788 2015-06-23 $11.09 $10.25 25.8% 7.3% 29.9% 1.2% 25.6% 2.5% 0.3% 3.4M -47.6M -429.3K 0.23 17.68 N/A N/A 85,056 19,684 155,412 248,836 2015-06-24 $11.15 $10.25 25.9% 7.3% 28.7% 1.4% 25.8% 1.2% 0.1% 2.6M -51.1M -420.6K 0.46 18.17 N/A N/A 61,304 27,936 152,804 252,248 2015-06-25 $10.93 $10.50 26.7% 7.7% 28.0% 3.3% 26.4% 1.1% 0.4% 2.0M -22.4M -467.2K 0.48 19.18 N/A N/A 60,612 28,876 155,952 263,152 2015-06-26 $11.02 $10.50 26.1% 7.5% 16.6% 1.9% 26.3% 2.8% 0.7% 6.4M -29.1M -472.7K 0.47 14.25 N/A N/A 62,060 29,408 157,472 268,776 2015-06-29 $10.70 $10.50 28.2% 8.3% 19.7% 7.1% 29.5% 2.0% 0.0% -1.3M 338.3K -478.8K 0.43 16.15 N/A N/A 57,364 24,900 141,936 262,308 2015-06-30 $10.76 $10.50 27.7% 8.1% 19.3% 5.8% 28.1% 2.0% 0.2% -1.2M -2.7M -476.9K 0.44 13.30 N/A N/A 54,964 24,212 143,528 264,288
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