GME Options History — September 2015

In September 2015, GME traded between $10.08 and $11.01. ATM implied volatility averaged 36.5%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded below realized volatility by 1.5% (HV 20d: 38.0%). Max pain ranged from $11.00 to $11.75. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.54.

Notable Days

  • 2015-09-01: Highest Volume — 69,668 contracts
  • 2015-09-30: Largest IV drop — 4.4% change
  • 2015-09-01: Highest IV Rank — 38.4%
  • 2015-09-01: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.46$10.08$11.01$10.28$10.27
Max Pain$11.05$11.00$11.75$11.75$11.00
ATM IV36.5%33.4%41.4%41.4%34.0%
Expected Move10.6%9.7%12.5%12.5%10.1%
HV 20d38.0%21.3%41.7%41.7%21.3%
HV 60d30.6%29.3%31.3%30.3%29.3%
IV Rank26.5%18.6%38.4%38.4%20.2%
IV Percentile32.3%18.3%56.0%56.0%23.8%
Term Structure0.2%-1.1%2.7%2.7%-0.1%
VWIV36.8%29.4%45.5%45.5%36.0%
Skew 25d4.2%2.3%5.4%2.7%4.7%
Skew 10d7.5%2.4%12.8%4.9%9.7%
Call IV 25d35.6%31.9%41.4%41.4%33.0%
Put IV 25d39.8%36.3%44.1%44.1%37.7%
Bid-Ask Spread %39.7214.5667.9063.4267.90
Gamma HHI0.140.070.330.100.09
Net GEX-745.8K-3.5M3.7M-2.6M-1.2M
Net DEX46.6M7.9M75.4M75.4M50.7M
Net VEX-421.7K-458.8K-378.7K-433.5K-433.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.540.622.670.701.49
Total Volume40,413.71412,56469,66869,66843,660
Total OI391,493.714323,208437,316388,144366,348

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$10.28$11.7541.4%12.5%41.7%38.4%45.5%2.7%2.7%-2.6M75.4M-433.5K0.7063.42N/AN/A41,07628,592163,968224,176
2015-09-02$10.43$11.2540.4%12.0%41.4%36.0%44.4%3.3%-0.1%-3.2M69.3M-454.0K0.6265.00N/AN/A31,52419,676181,784233,864
2015-09-03$10.45$11.0040.0%11.3%41.0%34.9%38.8%4.3%-1.1%-3.5M62.0M-458.8K1.2521.70N/AN/A18,69623,412200,364234,912
2015-09-04$10.34$11.0039.4%11.5%41.0%33.5%39.6%2.9%0.1%-2.6M68.1M-449.6K1.2623.21N/AN/A16,41220,704201,668235,648
2015-09-08$10.45$11.0039.7%11.3%40.9%34.3%40.1%3.9%-0.4%-659.0K49.8M-434.5K0.6619.59N/AN/A12,5048,240179,204213,768
2015-09-09$10.42$11.0038.8%11.2%40.9%32.1%39.4%3.7%-0.1%-474.4K48.1M-433.9K1.6117.03N/AN/A14,58023,428189,952218,360
2015-09-10$10.57$11.0038.6%11.3%41.4%31.5%37.0%2.3%1.0%130.1K36.5M-436.6K1.7420.60N/AN/A19,15633,420190,948219,316
2015-09-11$10.69$11.0037.0%10.7%41.5%27.6%37.8%4.3%0.4%405.5K34.3M-437.3K2.5518.08N/AN/A12,00430,644194,084228,148
2015-09-14$10.78$11.0037.5%10.7%40.1%28.7%39.6%4.1%0.8%1.0M32.6M-407.1K2.6714.56N/AN/A8,41222,496187,976219,404
2015-09-15$10.75$11.0036.3%10.4%40.0%26.0%36.7%4.7%0.1%711.8K33.3M-403.4K2.0115.33N/AN/A4,1768,388187,516221,688
2015-09-16$11.01$11.0035.2%10.1%41.2%23.3%35.7%4.9%0.3%3.7M7.9M-407.1K1.4516.71N/AN/A14,21220,544190,828224,660
2015-09-17$10.89$11.0034.0%9.7%41.2%20.2%29.4%3.6%0.6%2.9M19.0M-393.4K1.2525.41N/AN/A14,27217,860191,556224,712
2015-09-18$10.58$11.0034.5%9.9%41.5%21.3%30.3%4.8%-0.6%-856.7K49.3M-378.7K1.0314.91N/AN/A21,09221,732192,232225,380
2015-09-21$10.41$11.0033.4%9.7%41.7%18.6%33.0%4.3%0.3%-1.3M38.0M-392.4K0.8558.20N/AN/A26,16022,228134,816188,392
2015-09-22$10.28$11.0034.7%10.0%40.3%21.9%30.5%5.1%0.9%-990.0K39.6M-414.9K1.6359.62N/AN/A17,10827,900153,236195,384
2015-09-23$10.27$11.0033.8%9.8%39.9%19.7%32.4%3.9%0.7%-1.2M46.6M-409.9K2.3155.32N/AN/A10,28423,804154,044203,268
2015-09-24$10.30$11.0033.9%9.9%38.1%20.1%34.9%4.3%0.1%-1.2M45.4M-407.0K2.4260.57N/AN/A9,92424,044155,804204,376
2015-09-25$10.23$11.0033.9%9.9%36.9%19.9%34.1%5.2%-0.1%-1.6M50.3M-397.6K1.5864.67N/AN/A17,94028,416156,572205,032
2015-09-28$10.08$11.0035.4%10.7%23.2%23.6%38.1%5.4%-0.3%-1.5M59.9M-437.8K1.6065.14N/AN/A17,57628,044153,660209,540
2015-09-29$10.08$11.0035.6%10.5%23.2%24.1%39.2%5.4%-0.2%-1.5M61.6M-435.5K1.6367.07N/AN/A16,85227,496154,560210,220
2015-09-30$10.27$11.0034.0%10.1%21.3%20.2%36.0%4.7%-0.1%-1.2M50.7M-433.7K1.4967.90N/AN/A17,55626,104155,348211,000