GME Options History — May 2016

In May 2016, GME traded between $7.00 and $8.11. ATM implied volatility averaged 47.2%, placing in the 57.9% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 18.6% (HV 20d: 28.6%). Max pain ranged from $7.50 to $8.25. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.12.

Notable Days

  • 2016-05-26: Highest Volume — 204,884 contracts
  • 2016-05-27: Largest IV drop — 29.2% change
  • 2016-05-18: Highest IV Rank — 67.6%
  • 2016-05-23: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.39$7.00$8.11$8.11$7.28
Max Pain$8.13$7.50$8.25$8.25$7.50
ATM IV47.2%34.3%50.7%45.9%34.3%
Expected Move13.2%9.4%15.4%11.3%10.0%
HV 20d28.6%25.9%34.2%27.6%34.2%
HV 60d34.6%33.2%35.9%35.1%33.2%
IV Rank57.9%23.0%67.6%54.4%23.0%
IV Percentile71.7%21.8%84.1%70.6%21.8%
Term Structure-2.1%-3.9%1.3%-2.0%-1.0%
VWIV45.7%33.7%53.5%40.5%35.0%
Skew 25d4.5%1.2%7.7%3.8%3.1%
Skew 10d7.0%-1.7%19.4%5.3%11.0%
Call IV 25d44.7%32.5%49.0%43.4%32.7%
Put IV 25d49.3%35.7%53.4%47.2%35.8%
Bid-Ask Spread %32.1510.5759.5524.7459.55
Gamma HHI0.110.090.140.090.13
Net GEX-934.9K-1.9M197.2K-76.3K-737.4K
Net DEX68.3M21.3M101.8M21.3M61.2M
Net VEX-316.3K-399.9K-269.0K-399.9K-275.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.294.280.791.95
Total Volume56,739.42918,776204,88431,12064,896
Total OI460,996.952397,380642,408419,360492,168

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$8.11$8.2545.9%11.3%27.6%54.4%40.5%3.8%-2.0%-76.3K21.3M-399.9K0.7924.74N/AN/A17,38413,736169,892249,468
2016-05-03$7.84$8.2546.5%11.3%29.3%56.0%38.4%5.3%-2.7%-391.2K42.3M-383.2K0.8119.86N/AN/A17,46814,188170,876252,032
2016-05-04$7.68$8.2548.5%12.1%30.2%61.5%40.2%4.0%-3.6%-682.7K54.3M-374.4K0.7517.70N/AN/A16,82012,608171,048253,232
2016-05-05$7.53$8.2547.9%12.9%28.3%59.8%41.7%6.7%-1.3%-930.5K66.2M-353.2K0.4635.64N/AN/A26,80012,272171,708254,364
2016-05-06$7.52$8.2548.4%12.8%28.1%61.2%44.9%1.2%-3.9%-1.1M69.0M-344.3K0.2921.29N/AN/A37,70010,940181,148255,804
2016-05-09$7.56$8.2547.4%13.0%27.7%58.5%45.4%5.8%-1.2%-6.8K58.6M-343.1K0.9512.09N/AN/A9,8329,352190,496251,068
2016-05-10$7.63$8.2548.2%12.8%27.8%60.8%45.7%4.7%-3.4%197.2K54.0M-345.5K1.0117.33N/AN/A9,3449,432191,524251,544
2016-05-11$7.30$8.2549.3%13.5%26.6%63.6%45.2%7.7%-2.9%-665.4K78.6M-306.6K1.2715.02N/AN/A16,39220,856191,724252,004
2016-05-12$7.28$8.2549.7%13.7%26.5%64.8%46.8%2.4%-1.3%-915.7K83.4M-305.5K1.0110.57N/AN/A12,22012,336195,320264,372
2016-05-13$7.19$8.2547.0%13.4%26.4%57.6%47.6%5.1%-0.2%-1.4M90.7M-298.3K0.8432.77N/AN/A13,04811,016195,612267,164
2016-05-16$7.25$8.2549.3%14.0%26.0%63.6%48.8%4.4%-2.4%-1.3M87.1M-288.8K0.7254.62N/AN/A15,66011,324192,256266,652
2016-05-17$7.29$8.2548.5%13.8%25.9%61.5%47.9%6.0%-2.9%-1.2M84.0M-293.5K0.7158.38N/AN/A14,91610,636199,096268,560
2016-05-18$7.00$8.2550.7%14.5%27.5%67.6%51.2%5.1%-3.5%-1.8M101.8M-269.0K1.0746.83N/AN/A13,69614,604207,800274,280
2016-05-19$7.14$8.2550.2%14.5%28.9%66.0%49.9%3.9%-2.6%-1.9M94.1M-277.4K1.5619.52N/AN/A27,40042,612210,912274,928
2016-05-20$7.12$8.2548.5%14.2%28.3%61.4%50.7%4.9%-2.0%-1.4M91.4M-285.4K1.2243.92N/AN/A14,00817,124222,936285,148
2016-05-23$7.12$8.2550.3%15.4%28.2%66.4%49.0%4.6%-2.3%-1.4M69.3M-278.9K1.7048.28N/AN/A18,50831,544151,144246,236
2016-05-24$7.18$8.2549.3%15.3%27.4%63.5%52.9%4.1%-2.3%-1.5M68.3M-287.7K4.2845.20N/AN/A13,24456,692157,836261,192
2016-05-25$7.42$8.0047.9%15.0%30.8%60.0%50.6%4.4%-2.1%-1.3M49.9M-302.5K0.4737.10N/AN/A90,45242,860163,032266,588
2016-05-26$7.50$7.5048.6%15.3%31.0%61.8%53.5%4.9%-2.5%44.2K28.1M-352.8K0.6929.03N/AN/A121,05283,832236,036281,328
2016-05-27$7.19$7.5034.4%9.4%33.6%23.4%33.7%3.2%1.3%-1.2M81.7M-275.4K0.8725.64N/AN/A97,74084,984314,672327,736
2016-05-31$7.28$7.5034.3%10.0%34.2%23.0%35.0%3.1%-1.0%-737.4K61.2M-275.7K1.9559.55N/AN/A21,98042,916227,460264,708