GME Options History — July 2016

In July 2016, GME traded between $6.58 and $7.83. ATM implied volatility averaged 39.0%, placing in the 30.0% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 5.7% (HV 20d: 33.3%). Max pain ranged from $6.75 to $7.50. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.38.

Notable Days

  • 2016-07-21: Highest Volume — 226,216 contracts
  • 2016-07-18: Largest IV spike — 20.6% change
  • 2016-07-28: Highest IV Rank — 62.7%
  • 2016-07-21: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.32$6.58$7.83$6.77$7.74
Max Pain$7.19$6.75$7.50$7.50$7.50
ATM IV39.0%31.1%50.8%32.6%49.0%
Expected Move10.6%9.2%11.9%9.2%10.9%
HV 20d33.3%27.5%38.8%27.5%36.3%
HV 60d31.2%28.5%33.6%28.8%32.4%
IV Rank30.0%7.1%62.7%15.1%57.0%
IV Percentile36.0%3.6%84.1%10.3%75.8%
Term Structure1.9%-1.7%8.5%0.8%0.2%
VWIV37.6%32.7%42.5%33.2%37.2%
Skew 25d3.3%1.6%5.0%3.3%1.6%
Skew 10d7.2%1.7%12.9%6.5%7.1%
Call IV 25d37.9%30.5%49.4%32.0%49.2%
Put IV 25d41.2%32.9%53.1%35.3%50.8%
Bid-Ask Spread %33.8513.2964.9238.1322.09
Gamma HHI0.270.080.640.240.25
Net GEX610.7K-2.6M4.5M-1.4M4.5M
Net DEX17.3M-38.7M55.8M41.4M20.6M
Net VEX-315.4K-568.9K-182.8K-196.9K-496.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.432.930.680.68
Total Volume59,094.222,996226,21644,00032,268
Total OI422,453.8202,116581,556359,308550,712

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$6.77$7.5032.6%9.2%27.5%15.1%33.2%3.3%0.8%-1.4M41.4M-196.9K0.6838.13N/AN/A26,26817,732144,616214,692
2016-07-05$6.58$6.7533.9%10.4%29.0%18.1%36.1%4.1%-0.4%-1.6M55.8M-184.5K0.9241.41N/AN/A14,99213,840141,064214,028
2016-07-06$6.62$6.7534.9%10.5%29.1%20.8%37.0%5.0%0.4%-1.6M54.0M-182.8K0.9224.64N/AN/A14,99613,820142,876218,956
2016-07-07$6.59$6.7534.6%10.2%29.1%20.1%35.7%5.0%-0.3%-1.7M54.9M-183.2K1.0120.38N/AN/A14,28014,416144,080219,740
2016-07-08$6.84$6.7531.9%9.7%30.2%12.4%35.4%2.9%0.5%-844.9K36.7M-183.5K0.7943.99N/AN/A17,07213,488146,420222,240
2016-07-11$7.11$6.7532.6%9.7%30.7%14.4%33.6%3.6%0.5%-152.9K19.8M-184.6K0.9016.54N/AN/A19,23617,364144,416221,744
2016-07-12$7.20$6.7531.5%9.3%29.9%10.9%33.8%2.9%0.7%132.8K13.6M-185.8K1.4913.29N/AN/A9,23613,760151,360226,292
2016-07-13$7.21$6.7531.1%9.4%29.2%9.8%32.7%2.5%1.8%222.5K10.7M-185.6K2.4713.63N/AN/A14,94836,848153,768228,200
2016-07-14$7.17$7.2531.7%9.5%29.3%11.4%33.6%2.9%1.8%-1.8M25.3M-194.0K2.8233.14N/AN/A8,34423,564157,760252,592
2016-07-15$7.01$7.2532.0%9.6%30.6%7.1%35.6%2.0%2.7%-2.6M42.9M-186.6K2.8630.92N/AN/A9,19226,272158,940257,196
2016-07-18$7.52$7.2538.6%11.2%38.7%26.7%39.4%3.4%5.5%62.5K6.0M-214.3K0.4331.88N/AN/A148,62063,52896,540105,576
2016-07-19$7.55$7.2540.5%11.7%38.7%30.5%41.1%3.2%5.7%3.2M-20.0M-322.8K1.2164.92N/AN/A43,04451,888206,244144,804
2016-07-20$7.79$7.5040.3%11.5%38.2%29.6%40.2%3.0%6.5%3.3M-38.7M-377.3K1.4254.20N/AN/A29,82842,336226,384182,580
2016-07-21$7.75$7.5043.1%11.9%38.5%38.5%42.5%3.9%8.5%3.6M-33.5M-416.8K2.6040.30N/AN/A62,908163,308242,376201,732
2016-07-22$7.71$7.5043.1%11.6%38.8%38.4%42.4%3.4%6.6%-219.2K24.9M-568.9K0.7131.40N/AN/A33,04823,508247,224334,332
2016-07-25$7.71$7.5047.7%11.5%35.8%53.0%42.2%3.5%-0.9%1.3M18.1M-503.9K0.7159.02N/AN/A26,87619,076231,256281,132
2016-07-26$7.82$7.5050.1%11.8%35.7%60.4%42.1%3.7%-0.5%2.3M1.9M-508.8K2.9313.94N/AN/A11,70834,328246,228285,920
2016-07-27$7.83$7.5050.6%11.5%35.6%62.1%39.8%3.9%-1.7%2.5M4.0M-520.4K1.3919.95N/AN/A10,97615,292248,740303,820
2016-07-28$7.80$7.5050.8%10.9%35.9%62.7%37.9%3.1%-0.5%2.8M8.2M-510.9K0.7563.22N/AN/A16,93212,744247,996304,500
2016-07-29$7.74$7.5049.0%10.9%36.3%57.0%37.2%1.6%0.2%4.5M20.6M-496.4K0.6822.09N/AN/A19,15613,112244,940305,772