GME Options History — October 2015 In October 2015, GME traded between $10.10 and $11.75. ATM implied volatility averaged 35.5%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 10.8% (HV 20d: 24.7%). Max pain ranged from $10.25 to $11.25. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 2.08.
Notable Days 2015-10-16 : Highest Volume — 59,344 contracts2015-10-19 : Largest IV spike — 10.5% change2015-10-28 : Highest IV Rank — 44.8%2015-10-26 : Largest Expected Move — 11.9%Monthly Statistics Metric Avg Min Max Open Close Price $11.05 $10.10 $11.75 $10.10 $11.52 Max Pain $10.72 $10.25 $11.25 $11.00 $11.00 ATM IV 35.5% 30.8% 44.0% 35.3% 43.8% Expected Move 10.6% 9.8% 11.9% 10.1% 10.6% HV 20d 24.7% 21.2% 28.0% 21.3% 25.9% HV 60d 30.4% 29.4% 31.7% 29.5% 31.1% IV Rank 24.0% 12.4% 44.8% 23.5% 44.3% IV Percentile 33.0% 14.3% 67.5% 27.0% 66.7% Term Structure 1.6% -3.6% 7.3% -0.7% -1.9% VWIV 38.0% 33.9% 42.7% 36.4% 38.6% Skew 25d 4.0% 1.9% 5.9% 5.7% 1.9% Skew 10d 8.1% 1.8% 11.3% 7.6% 8.2% Call IV 25d 34.4% 27.3% 44.4% 33.3% 44.4% Put IV 25d 38.4% 30.9% 48.4% 39.0% 46.3% Bid-Ask Spread % 52.98 37.54 72.78 72.78 62.48 Gamma HHI 0.09 0.06 0.18 0.10 0.08 Net GEX -135.7K -1.5M 835.2K -1.5M -250.0K Net DEX 9.3M -28.6M 60.8M 60.8M -12.3M Net VEX -508.4K -637.3K -425.0K -425.0K -637.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.08 0.19 3.74 1.03 2.12 Total Volume 35,587.091 7,372 59,344 39,804 37,972 Total OI 360,647.091 273,128 395,972 369,528 388,504
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 2015-10-01 $10.10 $11.00 35.3% 10.1% 21.3% 23.5% 36.4% 5.7% -0.7% -1.5M 60.8M -425.0K 1.03 72.78 N/A N/A 19,572 20,232 157,072 212,456 2015-10-02 $10.36 $11.00 33.9% 9.8% 23.4% 20.0% 34.3% 4.1% -0.7% -684.4K 48.2M -463.6K 1.21 70.48 N/A N/A 16,248 19,604 164,916 218,580 2015-10-05 $10.62 $10.25 31.8% 11.0% 24.7% 14.9% 37.1% 4.5% 0.3% -686.3K 33.9M -475.0K 0.19 41.89 N/A N/A 6,184 1,188 159,904 212,736 2015-10-06 $10.84 $10.25 30.9% 10.8% 25.4% 12.5% 36.1% 4.5% 0.6% 86.8K 17.4M -479.6K 0.99 41.73 N/A N/A 15,396 15,300 165,544 213,088 2015-10-07 $10.86 $10.25 30.8% 10.5% 25.3% 12.4% 35.8% 4.2% 0.4% 370.9K 11.1M -464.3K 1.69 40.81 N/A N/A 9,448 15,960 167,628 213,820 2015-10-08 $11.00 $10.25 31.3% 10.6% 25.2% 13.5% 37.7% 4.0% -0.3% 806.3K 768.6K -482.4K 2.77 37.54 N/A N/A 8,776 24,332 169,464 213,840 2015-10-09 $11.06 $10.50 30.9% 10.7% 25.0% 12.6% 37.8% 3.4% -0.0% 835.2K 3.2M -484.8K 3.04 38.22 N/A N/A 7,712 23,480 169,724 221,324 2015-10-12 $10.98 $10.50 31.0% 10.8% 25.1% 12.7% 39.9% 3.4% 6.1% 428.5K 8.6M -478.1K 2.54 41.19 N/A N/A 7,860 19,996 165,940 221,492 2015-10-13 $10.88 $10.50 31.4% 10.7% 25.3% 13.7% 40.2% 3.9% 4.6% 149.5K 15.8M -453.2K 2.77 40.15 N/A N/A 7,084 19,608 167,588 221,800 2015-10-14 $10.74 $10.50 31.4% 10.9% 24.2% 13.8% 40.4% 3.1% 6.5% -158.8K 27.9M -457.4K 2.32 43.29 N/A N/A 8,736 20,272 168,532 222,288 2015-10-15 $10.99 $10.50 31.3% 10.5% 25.4% 13.5% 36.4% 4.5% 7.3% 233.3K 7.2M -450.7K 2.44 46.51 N/A N/A 7,592 18,540 170,468 222,488 2015-10-16 $11.11 $10.50 30.9% 10.0% 23.1% 12.7% 34.0% 3.6% 7.1% 122.8K -5.6M -432.6K 1.82 52.89 N/A N/A 21,076 38,268 171,880 224,092 2015-10-19 $11.16 $10.75 34.2% 10.2% 22.1% 20.7% 37.0% 3.9% 2.7% 3.0K 31.8K -489.9K 2.00 58.65 N/A N/A 13,000 26,036 110,792 162,336 2015-10-20 $11.26 $10.75 35.0% 10.2% 21.2% 22.7% 33.9% 4.2% 3.2% 128.9K -5.5M -502.7K 2.74 44.89 N/A N/A 10,836 29,716 116,212 165,232 2015-10-21 $11.47 $10.75 34.7% 9.9% 21.7% 21.9% 37.5% 3.2% 4.8% 101.0K -14.7M -512.6K 2.55 51.22 N/A N/A 10,644 27,164 120,660 172,744 2015-10-22 $11.75 $10.75 37.9% 10.7% 22.6% 29.7% 36.3% 1.9% 1.4% 98.4K -28.6M -517.8K 3.74 64.67 N/A N/A 9,908 37,016 124,864 177,752 2015-10-23 $11.34 $11.25 40.5% 11.2% 26.8% 36.3% 41.3% 5.4% 3.6% -454.8K -12.2K -562.9K 2.73 64.40 N/A N/A 12,420 33,892 127,468 193,316 2015-10-26 $11.17 $11.25 43.6% 11.9% 26.9% 43.8% 42.5% 5.9% -0.9% -941.2K 18.9M -569.6K 1.32 58.44 N/A N/A 13,596 17,952 130,056 211,300 2015-10-27 $11.07 $11.25 43.3% 10.6% 27.3% 43.1% 38.8% 4.3% -2.7% -779.0K 24.5M -578.2K 1.07 58.05 N/A N/A 28,040 29,960 134,652 214,292 2015-10-28 $11.38 $11.00 44.0% 10.1% 28.0% 44.8% 42.7% 4.5% -3.6% -513.6K 234.2K -635.5K 2.14 70.26 N/A N/A 11,888 25,400 151,668 229,752 2015-10-29 $11.44 $11.00 43.7% 10.8% 26.8% 44.1% 41.3% 3.6% -1.7% -403.0K -7.3M -631.0K 2.48 65.11 N/A N/A 10,048 24,964 154,792 231,180 2015-10-30 $11.52 $11.00 43.8% 10.6% 25.9% 44.3% 38.6% 1.9% -1.9% -250.0K -12.3M -637.3K 2.12 62.48 N/A N/A 12,164 25,808 155,560 232,944
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