GME Options History — July 2015 In July 2015, GME traded between $10.88 and $11.85. ATM implied volatility averaged 32.4%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 7.3% (HV 20d: 25.1%). Max pain ranged from $10.50 to $11.50. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.14.
Notable Days 2015-07-16 : Highest Volume — 89,628 contracts2015-07-20 : Largest IV spike — 13.2% change2015-07-30 : Highest IV Rank — 38.3%2015-07-28 : Largest Expected Move — 10.7%Monthly Statistics Metric Avg Min Max Open Close Price $11.52 $10.88 $11.85 $11.03 $11.46 Max Pain $11.11 $10.50 $11.50 $10.50 $11.25 ATM IV 32.4% 27.0% 41.2% 27.0% 40.1% Expected Move 9.6% 7.9% 10.7% 8.0% 10.2% HV 20d 25.1% 21.3% 27.6% 21.3% 23.7% HV 60d 26.5% 25.5% 27.1% 26.3% 25.5% IV Rank 16.7% 4.0% 38.3% 4.0% 35.5% IV Percentile 22.7% 2.8% 58.3% 2.8% 52.4% Term Structure 1.5% -2.8% 6.7% 1.0% 0.0% VWIV 33.6% 28.0% 37.6% 28.3% 36.4% Skew 25d 1.6% -2.9% 3.1% 2.3% 1.6% Skew 10d 3.0% -4.2% 7.1% 4.3% 0.6% Call IV 25d 32.3% 26.6% 43.2% 26.6% 42.8% Put IV 25d 34.0% 28.5% 44.3% 28.9% 44.3% Bid-Ask Spread % 51.44 14.73 92.10 16.05 71.39 Gamma HHI 0.08 0.06 0.10 0.09 0.08 Net GEX 762.3K -348.1K 1.7M 320.1K 296.8K Net DEX -34.1M -69.1M -4.2M -25.1M -11.1M Net VEX -457.7K -492.7K -423.4K -467.3K -474.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.14 0.21 3.23 0.41 3.23 Total Volume 48,771.818 25,644 89,628 80,888 31,656 Total OI 358,128.182 266,264 440,132 409,128 301,260
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 2015-07-01 $11.03 $10.50 27.0% 8.0% 21.3% 4.0% 28.3% 2.3% 1.0% 320.1K -25.1M -467.3K 0.41 16.05 N/A N/A 57,236 23,652 143,852 265,276 2015-07-02 $10.88 $10.50 27.3% 7.9% 21.7% 4.8% 28.0% 1.4% 0.2% -348.1K -15.0M -463.8K 0.41 14.73 N/A N/A 56,076 23,096 146,048 265,356 2015-07-06 $11.06 $10.75 28.2% 9.2% 22.5% 6.2% 29.4% 3.1% 0.0% 679.5K -27.0M -447.2K 0.41 37.12 N/A N/A 54,672 22,648 141,760 259,540 2015-07-07 $11.48 $10.75 27.9% 9.9% 24.1% 5.5% 33.1% 2.5% 0.2% 1.5M -57.9M -423.4K 0.87 47.07 N/A N/A 31,752 27,468 143,404 261,236 2015-07-08 $11.44 $10.75 28.5% 9.4% 24.1% 7.0% 33.9% 2.2% 0.4% 1.4M -50.9M -439.6K 0.62 45.48 N/A N/A 31,616 19,688 142,460 265,460 2015-07-09 $11.74 $10.75 28.0% 9.2% 25.4% 5.8% 33.9% 2.1% 0.1% 1.6M -69.1M -431.1K 0.70 42.00 N/A N/A 32,888 23,012 143,948 268,976 2015-07-10 $11.75 $11.25 27.6% 9.0% 25.4% 4.7% 33.2% 2.5% 0.3% 1.7M -67.4M -435.9K 0.53 36.30 N/A N/A 29,732 15,772 144,080 277,668 2015-07-13 $11.85 $11.25 27.9% 9.1% 25.4% 5.6% 32.9% 2.9% 3.4% 1.1M -66.4M -427.1K 0.42 45.43 N/A N/A 35,660 15,148 137,788 275,324 2015-07-14 $11.68 $11.50 28.2% 9.2% 25.6% 6.2% 32.2% 2.7% 3.4% 1.2M -52.8M -427.5K 0.75 28.14 N/A N/A 35,308 26,604 137,040 276,588 2015-07-15 $11.62 $11.50 27.7% 9.3% 25.8% 5.1% 32.2% 2.1% 4.9% 899.4K -46.0M -434.8K 0.58 44.16 N/A N/A 34,024 19,792 136,020 280,112 2015-07-16 $11.81 $11.25 29.7% 10.0% 26.1% 9.9% 33.2% 3.0% 6.7% 1.1M -58.9M -431.5K 0.21 79.97 N/A N/A 73,948 15,680 137,972 279,988 2015-07-17 $11.68 $11.25 29.8% 9.3% 26.7% 10.3% 32.2% 2.2% 3.8% 386.2K -53.5M -447.6K 0.36 57.70 N/A N/A 41,164 14,656 157,960 282,172 2015-07-20 $11.71 $11.25 33.8% 10.1% 26.6% 20.0% 35.4% 2.4% 2.1% 680.1K -24.6M -457.2K 1.01 44.46 N/A N/A 17,776 17,888 111,536 154,728 2015-07-21 $11.73 $11.25 34.5% 10.1% 25.9% 21.8% 34.8% 1.4% 2.7% 749.9K -24.4M -472.7K 1.49 52.03 N/A N/A 12,528 18,644 118,828 162,460 2015-07-22 $11.79 $11.25 33.5% 9.6% 25.9% 19.4% 34.0% 1.9% 3.9% 848.8K -27.1M -481.1K 1.31 60.65 N/A N/A 14,136 18,536 119,840 164,132 2015-07-23 $11.73 $11.25 34.9% 9.8% 26.0% 22.7% 33.7% 0.5% 4.5% 738.7K -25.7M -476.4K 0.91 65.00 N/A N/A 22,032 20,060 122,464 164,492 2015-07-24 $11.37 $11.25 36.4% 10.1% 27.6% 26.4% 35.2% -2.9% 1.8% 325.4K -8.6M -492.7K 1.68 69.97 N/A N/A 11,344 19,032 130,284 165,756 2015-07-27 $11.32 $11.25 40.0% 10.4% 27.6% 35.4% 37.1% 1.6% -0.9% 337.6K -6.2M -491.8K 1.86 57.59 N/A N/A 10,064 18,724 130,368 165,984 2015-07-28 $11.31 $11.25 40.2% 10.7% 25.1% 35.8% 37.6% -1.5% -1.0% 298.7K -4.2M -487.3K 2.49 57.09 N/A N/A 7,412 18,448 130,380 168,208 2015-07-29 $11.46 $11.25 40.4% 9.7% 25.3% 36.3% 35.7% 2.9% -1.0% 422.7K -10.9M -477.9K 2.45 92.10 N/A N/A 7,436 18,208 130,424 168,420 2015-07-30 $11.54 $11.25 41.2% 10.0% 24.1% 38.3% 37.0% -0.6% -2.8% 552.1K -16.9M -479.9K 2.46 67.29 N/A N/A 8,036 19,728 130,636 168,592 2015-07-31 $11.46 $11.25 40.1% 10.2% 23.7% 35.5% 36.4% 1.6% 0.0% 296.8K -11.1M -474.2K 3.23 71.39 N/A N/A 7,492 24,164 130,744 170,516
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