GME Options History — February 2016

In February 2016, GME traded between $6.47 and $7.72. ATM implied volatility averaged 47.1%, placing in the 57.8% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 5.7% (HV 20d: 41.4%). Max pain ranged from $6.50 to $7.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.67.

Notable Days

  • 2016-02-26: Highest Volume — 73,840 contracts
  • 2016-02-08: Largest IV spike — 13.8% change
  • 2016-02-08: Highest IV Rank — 72.4%
  • 2016-02-08: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.02$6.47$7.72$6.70$7.72
Max Pain$7.03$6.50$7.50$6.50$7.50
ATM IV47.1%39.8%52.5%39.8%48.0%
Expected Move12.6%11.2%14.8%11.3%11.2%
HV 20d41.4%36.5%47.3%42.0%38.5%
HV 60d43.9%38.0%52.2%50.4%39.1%
IV Rank57.8%37.9%72.4%37.9%60.1%
IV Percentile76.0%46.8%88.9%46.8%80.2%
Term Structure1.8%-2.2%10.7%2.0%-2.0%
VWIV44.4%38.9%52.1%38.9%42.6%
Skew 25d5.9%3.4%10.4%4.5%6.7%
Skew 10d12.4%5.7%20.4%16.1%15.4%
Call IV 25d44.6%38.4%51.6%38.4%47.2%
Put IV 25d50.5%42.9%56.2%42.9%53.9%
Bid-Ask Spread %39.8514.0171.5617.9747.13
Gamma HHI0.180.100.300.260.13
Net GEX-670.6K-1.7M-238.4K-591.7K-1.7M
Net DEX34.8M17.5M48.5M41.4M28.4M
Net VEX-284.9K-361.2K-236.4K-249.1K-360.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.670.533.321.091.15
Total Volume34,978.817,84073,84019,53233,060
Total OI306,269.2269,064365,992269,064365,992

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$6.70$6.5039.8%11.3%42.0%37.9%38.9%4.5%2.0%-591.7K41.4M-249.1K1.0917.97N/AN/A9,32810,204102,856166,208
2016-02-02$6.47$6.5041.6%11.8%43.4%42.8%42.3%4.3%1.9%-685.5K48.5M-236.4K1.1414.01N/AN/A9,45610,756103,424166,848
2016-02-03$6.51$6.5042.0%11.8%42.8%43.9%41.1%5.0%1.4%-698.3K48.4M-236.7K1.1419.07N/AN/A9,20010,528104,328168,792
2016-02-04$6.74$6.7543.3%12.9%44.9%47.5%44.5%3.4%3.3%-506.1K39.4M-250.2K0.5327.27N/AN/A20,51610,920105,624169,600
2016-02-05$6.71$6.7546.1%13.1%44.8%55.1%44.4%4.9%1.5%-405.6K38.1M-258.8K0.6941.84N/AN/A18,02412,360115,184170,424
2016-02-08$6.98$6.7552.5%14.8%47.3%72.4%48.7%7.0%-1.6%-238.4K26.7M-262.3K1.2835.20N/AN/A8,22010,552116,240169,832
2016-02-09$6.78$6.7550.9%14.5%46.1%68.1%50.6%8.9%-0.3%-249.7K33.2M-265.7K1.2039.37N/AN/A8,0929,748117,616170,264
2016-02-10$6.67$6.7548.4%13.3%42.7%61.3%51.5%6.7%-1.8%-291.2K37.2M-257.9K1.8535.31N/AN/A7,67614,172118,700171,108
2016-02-11$6.68$6.7551.1%14.2%41.0%68.5%52.1%5.5%-2.2%-309.1K38.3M-257.9K3.3239.61N/AN/A7,63225,336119,080175,636
2016-02-12$6.75$7.0049.4%14.3%36.5%63.9%49.2%10.4%0.7%-243.0K36.1M-258.1K2.1734.74N/AN/A16,83236,584119,820179,164
2016-02-16$6.99$7.0045.1%13.0%38.3%52.3%45.3%6.1%8.2%-392.3K31.5M-273.6K2.9036.25N/AN/A9,86828,588117,900192,400
2016-02-17$7.17$7.0043.6%12.5%38.9%48.2%42.8%7.0%10.7%-307.2K22.5M-280.5K0.9128.27N/AN/A14,27212,924120,504192,864
2016-02-18$7.30$7.0044.8%12.3%38.4%51.5%42.4%6.6%8.0%-262.8K17.5M-286.3K2.4049.65N/AN/A9,32822,364126,380194,136
2016-02-19$7.04$7.5047.3%12.8%41.4%58.3%44.4%5.4%6.5%-689.4K34.7M-276.5K1.2738.98N/AN/A16,93221,496127,432205,612
2016-02-22$7.29$7.5051.2%12.0%42.7%68.7%42.4%4.8%-1.4%-598.6K36.1M-300.2K1.6771.56N/AN/A20,76834,700103,712176,580
2016-02-23$7.37$7.5052.1%11.7%41.2%71.4%41.8%4.6%-1.3%-1.0M37.9M-328.7K2.7567.97N/AN/A12,03233,052110,788201,140
2016-02-24$7.46$7.5047.3%11.8%39.4%58.4%41.4%5.9%3.1%-1.5M40.2M-340.5K0.9254.70N/AN/A28,08825,972114,396222,676
2016-02-25$7.47$7.5049.1%11.4%39.4%63.2%40.9%5.3%0.7%-1.4M34.4M-357.6K1.8254.34N/AN/A12,80023,356128,936230,512
2016-02-26$7.64$7.5048.8%11.2%38.8%62.4%41.2%5.4%-0.9%-1.3M24.4M-361.2K3.1143.83N/AN/A17,97255,868129,664233,012
2016-02-29$7.72$7.5048.0%11.2%38.5%60.1%42.6%6.7%-2.0%-1.7M28.4M-360.6K1.1547.13N/AN/A15,34817,712126,328239,664