GME Options History — June 2016 In June 2016, GME traded between $6.36 and $7.23. ATM implied volatility averaged 34.6%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 5.3% (HV 20d: 29.3%). Max pain ranged from $7.50 to $8.25. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.42.
Notable Days 2016-06-17 : Highest Volume — 79,356 contracts2016-06-24 : Largest IV spike — 10.5% change2016-06-27 : Highest IV Rank — 33.7%2016-06-27 : Largest Expected Move — 11.1%Monthly Statistics Metric Avg Min Max Open Close Price $6.70 $6.36 $7.23 $7.23 $6.63 Max Pain $7.89 $7.50 $8.25 $7.50 $7.50 ATM IV 34.6% 31.9% 38.4% 32.9% 33.9% Expected Move 9.9% 9.0% 11.1% 9.6% 9.4% HV 20d 29.3% 24.2% 32.6% 32.6% 26.2% HV 60d 30.1% 28.3% 33.1% 33.1% 29.3% IV Rank 23.4% 16.5% 33.7% 19.2% 19.4% IV Percentile 21.9% 14.3% 34.5% 17.1% 14.3% Term Structure 0.0% -0.9% 1.0% -0.4% 0.4% VWIV 34.6% 29.3% 39.1% 35.6% 33.7% Skew 25d 4.1% 2.1% 5.5% 3.1% 4.6% Skew 10d 7.6% 0.7% 14.6% 5.8% 6.2% Call IV 25d 33.3% 30.9% 38.1% 32.3% 32.0% Put IV 25d 37.5% 33.6% 42.2% 35.5% 36.6% Bid-Ask Spread % 15.42 9.17 68.69 13.78 14.35 Gamma HHI 0.25 0.14 0.36 0.14 0.22 Net GEX -1.9M -3.0M -543.4K -1.2M -543.4K Net DEX 79.2M 52.2M 113.3M 64.2M 52.2M Net VEX -200.3K -261.7K -165.2K -261.7K -195.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.42 0.75 3.22 2.07 1.36 Total Volume 33,259.091 20,448 79,356 57,824 23,392 Total OI 427,229.636 314,016 510,508 493,308 356,788
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 2016-06-01 $7.23 $7.50 32.9% 9.6% 32.6% 19.2% 35.6% 3.1% -0.4% -1.2M 64.2M -261.7K 2.07 13.78 N/A N/A 18,836 38,988 233,948 259,360 2016-06-02 $7.21 $8.00 32.6% 9.1% 32.0% 18.3% 31.5% 3.2% -0.9% -1.4M 66.0M -256.0K 3.22 11.60 N/A N/A 11,404 36,684 238,724 262,048 2016-06-03 $7.16 $8.00 32.3% 9.0% 31.5% 17.6% 31.2% 3.7% 0.3% -2.0M 72.7M -242.8K 2.34 12.82 N/A N/A 11,792 27,564 238,984 263,252 2016-06-06 $7.12 $8.00 31.9% 9.3% 31.5% 16.5% 30.4% 2.1% 0.7% -2.0M 69.6M -227.1K 2.38 9.46 N/A N/A 10,192 24,268 217,056 256,996 2016-06-07 $7.11 $8.00 32.2% 9.4% 31.3% 17.4% 29.9% 3.0% 0.7% -2.0M 70.1M -222.0K 1.26 9.57 N/A N/A 9,516 12,024 219,900 258,500 2016-06-08 $7.07 $8.25 32.3% 9.3% 31.0% 17.6% 29.3% 3.5% 0.5% -2.3M 74.2M -216.0K 1.05 9.89 N/A N/A 12,296 12,876 220,552 259,020 2016-06-09 $6.83 $8.25 32.9% 9.5% 29.7% 19.1% 31.9% 4.2% 0.6% -3.0M 95.9M -197.4K 0.84 11.13 N/A N/A 17,804 14,980 224,280 260,796 2016-06-10 $6.62 $8.25 33.8% 9.9% 31.3% 21.7% 33.5% 4.2% 1.0% -2.5M 108.8M -181.7K 1.36 10.97 N/A N/A 15,436 20,996 231,336 264,368 2016-06-13 $6.50 $8.00 36.1% 10.2% 31.5% 28.0% 35.5% 4.8% -0.2% -2.1M 109.7M -171.4K 1.14 9.17 N/A N/A 11,800 13,456 224,328 262,548 2016-06-14 $6.43 $8.00 36.5% 10.3% 31.2% 28.9% 37.4% 4.8% 0.1% -2.0M 113.3M -165.2K 1.58 9.46 N/A N/A 12,472 19,724 226,828 263,672 2016-06-15 $6.53 $8.00 36.0% 10.3% 31.9% 27.7% 36.1% 5.3% 0.2% -1.9M 110.2M -175.4K 1.35 19.47 N/A N/A 10,908 14,672 229,508 270,856 2016-06-16 $6.48 $8.00 36.3% 10.4% 29.1% 28.5% 37.2% 4.8% -0.1% -1.9M 111.9M -172.1K 0.76 11.58 N/A N/A 18,732 14,228 232,828 272,228 2016-06-17 $6.54 $8.00 36.1% 10.4% 28.1% 28.0% 34.8% 5.1% -0.6% -1.5M 106.2M -175.9K 2.64 16.08 N/A N/A 21,796 57,560 237,020 273,488 2016-06-20 $6.60 $7.75 34.7% 9.8% 28.5% 24.1% 35.5% 3.9% -0.6% -1.8M 60.9M -196.7K 0.83 11.91 N/A N/A 14,248 11,784 114,432 199,584 2016-06-21 $6.46 $7.75 34.8% 10.1% 29.0% 24.4% 37.2% 5.5% -0.1% -1.9M 66.7M -195.1K 0.96 11.26 N/A N/A 12,072 11,532 121,416 203,120 2016-06-22 $6.50 $7.75 36.1% 10.5% 28.9% 27.8% 39.1% 3.5% -0.4% -1.7M 64.9M -192.6K 0.82 13.40 N/A N/A 14,352 11,812 124,196 204,496 2016-06-23 $6.58 $7.75 33.6% 9.6% 26.0% 21.0% 35.7% 4.7% -0.8% -1.7M 61.6M -200.4K 1.27 17.65 N/A N/A 8,992 11,456 127,808 206,684 2016-06-24 $6.36 $7.75 37.2% 10.7% 26.9% 30.3% 37.6% 4.9% 0.0% -1.9M 72.7M -188.6K 0.94 68.69 N/A N/A 11,640 10,988 128,496 207,920 2016-06-27 $6.38 $7.75 38.4% 11.1% 24.2% 33.7% 34.1% 4.2% 0.7% -2.1M 70.8M -185.8K 1.57 15.14 N/A N/A 12,596 19,740 121,732 206,712 2016-06-28 $6.51 $7.75 36.1% 10.1% 25.0% 25.5% 34.8% 4.6% -0.7% -1.9M 62.9M -188.8K 0.75 21.64 N/A N/A 15,948 11,964 126,036 206,564 2016-06-29 $6.60 $7.50 34.0% 9.7% 25.9% 19.7% 38.4% 3.6% 0.4% -1.6M 56.3M -198.4K 0.85 10.19 N/A N/A 20,592 17,588 132,700 207,944 2016-06-30 $6.63 $7.50 33.9% 9.4% 26.2% 19.4% 33.7% 4.6% 0.4% -543.4K 52.2M -195.2K 1.36 14.35 N/A N/A 9,912 13,480 143,520 213,268
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