GME Options History — November 2015

In November 2015, GME traded between $8.76 and $11.74. ATM implied volatility averaged 49.9%, placing in the 59.3% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 0.6% (HV 20d: 49.3%). Max pain ranged from $10.00 to $11.25. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.35.

Notable Days

  • 2015-11-23: Highest Volume — 210,348 contracts
  • 2015-11-25: Largest IV drop — 23.3% change
  • 2015-11-13: Highest IV Rank — 85.5%
  • 2015-11-17: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.33$8.76$11.74$11.55$8.76
Max Pain$10.93$10.00$11.25$11.00$10.00
ATM IV49.9%40.2%60.5%45.0%41.9%
Expected Move13.3%8.6%17.0%9.0%12.6%
HV 20d49.3%23.9%69.9%24.8%68.7%
HV 60d39.7%31.0%48.1%31.1%45.6%
IV Rank59.3%35.4%85.5%47.2%39.6%
IV Percentile80.6%51.6%96.0%71.8%59.1%
Term Structure-1.6%-4.6%4.8%-1.8%-0.7%
VWIV47.5%31.9%60.1%37.6%48.1%
Skew 25d5.3%0.2%15.6%5.2%4.0%
Skew 10d8.8%-3.3%17.7%12.1%1.7%
Call IV 25d48.1%41.0%57.9%43.9%42.3%
Put IV 25d53.4%43.0%73.5%49.2%46.4%
Bid-Ask Spread %35.5114.0681.3281.3250.23
Gamma HHI0.080.050.160.070.13
Net GEX-1.3M-3.3M-356.4K-627.7K-2.0M
Net DEX63.0M-29.3M150.2M-14.9M132.2M
Net VEX-538.1K-626.9K-411.6K-614.2K-411.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.350.212.202.180.33
Total Volume57,27217,696210,34835,72420,348
Total OI487,060387,504661,180387,504556,580

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$11.55$11.0045.0%9.0%24.8%47.2%37.6%5.2%-1.8%-627.7K-14.9M-614.2K2.1881.32N/AN/A11,22024,504155,136232,368
2015-11-03$11.64$11.0045.0%8.6%24.2%47.4%33.7%4.8%-1.9%-472.3K-21.5M-609.6K2.2067.80N/AN/A10,80823,756157,348234,220
2015-11-04$11.71$11.0044.7%8.6%24.2%46.6%31.9%5.3%-2.0%-430.0K-25.5M-620.2K1.9968.02N/AN/A11,29222,492159,444235,676
2015-11-05$11.74$11.2545.6%12.0%23.9%48.7%43.0%6.2%-1.7%-448.8K-29.3M-604.2K1.9923.86N/AN/A10,67621,192160,856238,252
2015-11-06$11.71$11.2544.3%11.8%24.0%45.6%41.5%5.5%-1.5%-575.7K-27.6M-611.9K0.2127.76N/AN/A23,7004,904161,772239,880
2015-11-09$11.38$11.2546.2%13.1%26.3%50.2%44.4%5.4%-0.2%-356.4K-2.6M-610.0K1.4121.59N/AN/A7,34810,348172,380242,652
2015-11-10$11.48$11.2547.0%12.9%26.1%52.2%44.4%5.7%-1.9%-515.5K-6.9M-608.8K1.4126.13N/AN/A15,76422,296172,444249,152
2015-11-11$11.49$11.2546.4%12.9%25.4%50.9%44.2%5.9%-1.9%-439.3K-10.7M-626.9K1.3530.29N/AN/A15,48020,884176,344251,892
2015-11-12$11.13$11.2552.2%13.9%27.3%65.0%50.3%4.8%-4.6%-822.8K24.8M-605.7K1.6019.45N/AN/A23,28437,324178,720256,056
2015-11-13$9.32$11.2560.5%16.7%68.5%85.5%58.4%15.6%4.8%-1.7M132.7M-450.4K1.2523.65N/AN/A54,12867,644187,064268,660
2015-11-16$9.52$11.2559.8%16.9%69.2%83.7%60.1%6.3%-2.4%-1.8M126.4M-484.7K0.7819.28N/AN/A11,6969,124214,448283,440
2015-11-17$9.32$11.0059.9%17.0%69.1%83.9%58.7%5.1%-1.8%-1.8M133.6M-462.3K1.5221.72N/AN/A24,38036,944221,968286,076
2015-11-18$9.46$11.0056.5%16.2%68.9%75.6%56.6%6.0%-2.1%-1.7M126.6M-475.4K1.6623.52N/AN/A21,40435,588234,120287,924
2015-11-19$9.61$10.7558.5%16.9%68.4%80.7%57.4%6.7%-1.8%-1.3M113.2M-501.6K1.9627.99N/AN/A19,90838,980242,676290,704
2015-11-20$9.81$10.7555.8%16.3%68.5%73.9%58.3%5.9%-2.7%-1.5M101.3M-523.9K1.6114.06N/AN/A41,44066,796244,344302,932
2015-11-23$9.40$11.0055.2%13.8%69.6%72.4%47.8%0.2%-4.1%-3.3M130.6M-431.2K0.6737.08N/AN/A125,67684,672211,164298,952
2015-11-24$9.48$10.5052.4%12.9%69.9%65.6%47.5%0.8%-4.2%-1.5M96.0M-544.9K0.5632.76N/AN/A31,78417,712289,364336,752
2015-11-25$9.16$10.5040.2%11.7%69.1%35.5%42.8%2.0%1.3%-2.9M131.2M-499.7K1.1048.15N/AN/A30,97633,944305,788342,472
2015-11-27$9.00$10.1340.2%12.1%68.9%35.4%44.0%4.2%0.2%-2.8M150.2M-465.1K1.3045.62N/AN/A23,91631,108317,220343,960
2015-11-30$8.76$10.0041.9%12.6%68.7%39.6%48.1%4.0%-0.7%-2.0M132.2M-411.6K0.3350.23N/AN/A15,2685,080268,704287,876