GME Options History — September 2016

In September 2016, GME traded between $6.74 and $7.09. ATM implied volatility averaged 30.4%, placing in the 3.9% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 8.2% (HV 20d: 38.6%). Max pain ranged from $7.50 to $8.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.37.

Notable Days

  • 2016-09-12: Highest Volume — 53,824 contracts
  • 2016-09-26: Largest IV spike — 6.3% change
  • 2016-09-13: Highest IV Rank — 13.1%
  • 2016-09-13: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.92$6.74$7.09$7.00$6.92
Max Pain$7.56$7.50$8.00$8.00$7.50
ATM IV30.4%28.1%33.9%30.9%29.2%
Expected Move8.7%7.9%9.4%8.5%8.3%
HV 20d38.6%18.1%47.0%47.0%18.6%
HV 60d37.2%36.3%38.7%38.7%36.4%
IV Rank3.9%0.0%13.1%0.2%3.1%
IV Percentile3.4%0.0%16.7%0.8%1.2%
Term Structure0.4%-0.5%0.8%0.4%0.3%
VWIV30.3%28.1%33.2%30.1%29.1%
Skew 25d3.0%1.8%4.1%2.6%2.4%
Skew 10d4.0%-7.3%12.3%9.4%5.9%
Call IV 25d29.4%26.7%32.2%30.2%28.7%
Put IV 25d32.4%29.6%36.0%32.8%31.1%
Bid-Ask Spread %10.564.5619.2915.219.91
Gamma HHI0.140.090.340.240.17
Net GEX-1.1M-1.9M237.1K227.8K-1.7M
Net DEX90.3M38.3M132.9M131.0M56.9M
Net VEX-255.6K-288.3K-223.1K-260.9K-288.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.462.460.461.40
Total Volume34,629.52424,81653,82437,11237,448
Total OI444,319.048331,868540,016539,208401,384

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$7.00$8.0030.9%8.5%47.0%0.2%30.1%2.6%0.4%227.8K131.0M-260.9K0.4615.21N/AN/A25,49611,616244,788294,420
2016-09-02$7.08$8.0029.6%7.9%46.9%0.0%28.3%2.1%0.5%-1.3M126.2M-269.3K0.6619.29N/AN/A20,64813,628242,988297,028
2016-09-06$7.09$7.5030.4%8.8%46.9%2.6%29.9%2.7%0.8%-1.6M118.8M-255.6K0.685.76N/AN/A17,69212,024213,696273,440
2016-09-07$7.03$7.7530.1%8.8%46.9%1.6%30.1%3.2%0.6%-1.8M118.4M-256.5K0.8710.56N/AN/A13,24411,572217,168278,800
2016-09-08$6.95$7.5030.4%8.6%46.4%2.5%30.6%1.8%0.1%-1.5M123.3M-242.2K1.6910.28N/AN/A10,77618,256221,192280,764
2016-09-09$6.82$7.5031.4%9.1%44.5%5.4%31.2%2.6%-0.1%-1.2M132.9M-229.7K1.809.86N/AN/A12,10421,844222,040286,788
2016-09-12$6.76$7.5032.5%9.4%44.2%8.7%31.1%3.4%-0.0%-1.4M128.4M-223.1K1.4817.31N/AN/A21,72432,100213,560280,140
2016-09-13$6.74$7.5033.9%9.4%43.6%13.1%33.2%4.1%-0.5%-1.3M130.5M-232.4K1.8211.13N/AN/A14,08825,688221,440288,352
2016-09-14$6.76$7.5032.6%9.4%43.7%9.3%33.1%2.9%0.4%-1.4M129.7M-237.3K1.816.65N/AN/A11,95221,680223,832302,760
2016-09-15$6.81$7.5031.6%9.2%43.9%6.1%31.0%3.3%0.6%-1.4M127.6M-231.5K1.337.06N/AN/A11,76815,696226,460303,368
2016-09-16$6.78$7.5030.7%8.9%43.4%3.5%31.2%3.8%0.6%-1.9M130.4M-230.7K1.299.13N/AN/A16,14020,752228,080303,736
2016-09-19$6.96$7.5029.9%8.6%44.3%1.1%29.6%3.6%0.2%-767.3K46.3M-246.8K0.8410.40N/AN/A20,53617,208149,172182,696
2016-09-20$6.94$7.5030.2%8.7%44.3%1.9%30.3%3.3%0.3%-509.3K45.7M-259.0K1.204.56N/AN/A13,94016,780160,076187,896
2016-09-21$7.04$7.5028.6%8.2%44.0%0.0%28.9%2.9%0.8%-294.4K40.8M-268.9K1.1416.86N/AN/A13,38815,244163,764189,840
2016-09-22$7.06$7.5028.3%8.1%44.1%0.0%28.1%2.8%0.6%66.0K38.6M-264.1K1.2510.43N/AN/A13,44016,744166,072191,584
2016-09-23$7.06$7.5028.1%8.0%43.4%0.0%28.3%2.9%0.3%237.1K38.3M-274.1K1.4310.54N/AN/A13,82419,792168,696193,348
2016-09-26$6.92$7.5029.9%8.5%18.9%5.1%29.8%2.9%0.5%-878.7K49.3M-264.0K2.4610.74N/AN/A11,52828,368160,496194,168
2016-09-27$6.86$7.5030.1%8.8%18.9%5.8%30.8%3.5%0.5%-1.2M59.5M-275.5K2.1110.49N/AN/A14,20029,912162,556211,452
2016-09-28$6.86$7.5030.0%8.6%18.1%5.3%29.8%3.4%0.3%-1.5M61.7M-279.3K1.706.04N/AN/A10,51617,880164,976221,568
2016-09-29$6.81$7.5030.8%8.9%18.2%7.6%30.7%2.7%0.2%-1.7M63.2M-279.3K1.279.60N/AN/A15,82820,156171,420224,696
2016-09-30$6.92$7.5029.2%8.3%18.6%3.1%29.1%2.4%0.3%-1.7M56.9M-288.3K1.409.91N/AN/A15,63221,816173,592227,792