GME Options History — October 2016

In October 2016, GME traded between $5.97 and $6.96. ATM implied volatility averaged 37.3%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 16.7% (HV 20d: 20.5%). Max pain ranged from $6.75 to $7.50. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.20.

Notable Days

  • 2016-10-12: Highest Volume — 80,048 contracts
  • 2016-10-13: Largest IV spike — 12.4% change
  • 2016-10-31: Highest IV Rank — 62.0%
  • 2016-10-31: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.39$5.97$6.96$6.96$6.01
Max Pain$7.01$6.75$7.50$7.50$6.75
ATM IV37.3%29.8%49.6%29.8%49.6%
Expected Move10.0%8.6%11.2%8.6%11.2%
HV 20d20.5%18.2%22.4%18.2%20.8%
HV 60d32.6%30.9%35.6%35.6%31.2%
IV Rank26.4%4.8%62.0%4.8%62.0%
IV Percentile31.3%2.0%78.2%2.0%78.2%
Term Structure1.2%-4.2%7.2%1.1%-3.2%
VWIV35.2%30.7%38.9%31.2%38.2%
Skew 25d4.4%0.2%15.1%3.8%4.6%
Skew 10d6.2%-9.0%48.9%9.9%10.0%
Call IV 25d35.6%28.8%44.8%28.8%43.4%
Put IV 25d40.0%32.6%50.9%32.6%48.0%
Bid-Ask Spread %49.669.0795.4215.8895.42
Gamma HHI0.140.100.330.140.10
Net GEX-1.0M-1.9M934.0K-1.4M-429.8K
Net DEX80.8M52.5M107.1M52.5M73.9M
Net VEX-292.7K-308.2K-267.8K-287.0K-278.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.472.571.092.57
Total Volume42,856.95225,57680,04832,12463,592
Total OI462,508.381395,480552,804395,480445,824

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$6.96$7.5029.8%8.6%18.2%4.8%31.2%3.8%1.1%-1.4M52.5M-287.0K1.0915.88N/AN/A15,39216,732169,592225,888
2016-10-04$6.80$7.5031.0%8.9%19.8%8.2%30.9%4.1%0.9%-1.4M63.3M-275.9K2.3110.01N/AN/A10,64824,620177,240228,104
2016-10-05$6.81$7.5030.9%8.8%19.7%8.0%30.7%3.4%0.9%-1.5M64.4M-286.6K1.749.07N/AN/A9,32816,248178,496235,984
2016-10-06$6.67$7.0032.2%9.7%20.7%11.7%34.2%3.0%2.1%-1.6M74.2M-274.1K1.7710.11N/AN/A24,01642,600180,068237,840
2016-10-07$6.67$7.0032.1%9.6%19.7%11.5%32.9%3.9%3.1%-1.5M75.1M-306.8K1.2910.80N/AN/A15,68020,288190,900256,836
2016-10-10$6.69$7.0031.4%9.7%19.5%9.4%33.6%2.8%2.1%-1.5M71.1M-303.6K1.2511.85N/AN/A14,14417,676188,108251,944
2016-10-11$6.52$7.0033.1%9.9%21.4%14.5%34.6%4.2%1.7%-1.4M82.0M-284.7K1.5612.87N/AN/A15,75624,576193,024254,864
2016-10-12$6.54$7.0034.3%10.6%21.4%17.7%36.5%3.0%3.2%-1.1M79.2M-288.4K1.4930.16N/AN/A32,18047,868197,784255,428
2016-10-13$6.39$7.0038.5%10.6%22.4%30.0%37.6%15.1%-4.2%-1.3M90.2M-308.2K1.7972.03N/AN/A23,28841,604214,768272,604
2016-10-14$6.36$7.0035.5%10.2%22.4%21.4%36.1%4.3%-1.4%-1.9M98.7M-303.1K0.9162.77N/AN/A29,06426,484217,536285,456
2016-10-17$6.19$7.0038.4%11.1%20.8%29.8%38.9%2.3%4.6%-1.8M107.1M-289.3K0.4775.76N/AN/A52,81625,088219,572294,384
2016-10-18$6.21$7.0037.8%10.9%21.0%28.0%37.1%3.2%2.2%-1.1M102.8M-306.0K0.8467.30N/AN/A16,00413,496240,456296,960
2016-10-19$6.25$7.0035.1%10.1%20.2%20.2%36.7%2.0%7.2%-983.5K103.4M-301.1K1.0567.84N/AN/A14,50415,272243,256297,796
2016-10-20$6.27$7.0036.9%10.4%20.3%25.3%36.0%0.2%3.1%-625.9K97.9M-307.4K0.8665.77N/AN/A17,70015,248247,656296,580
2016-10-21$6.25$7.0037.1%10.1%20.2%25.9%35.5%3.3%3.9%934.0K101.1M-307.2K0.8762.54N/AN/A20,80418,028253,984298,820
2016-10-24$6.28$7.0039.5%9.7%19.7%32.9%34.4%5.5%2.0%-586.7K63.0M-306.3K0.6371.70N/AN/A16,61210,440191,944224,612
2016-10-25$6.17$6.7542.4%10.2%20.1%41.4%35.3%6.0%-1.6%-428.6K67.6M-297.2K0.6470.13N/AN/A16,62010,564197,744227,248
2016-10-26$6.19$6.7544.3%9.8%20.2%46.7%35.8%4.5%-0.5%-395.3K69.1M-294.2K0.7880.44N/AN/A15,61212,184200,976230,528
2016-10-27$6.00$6.7546.1%10.1%22.2%52.0%36.2%7.6%-0.7%-843.2K78.2M-267.8K0.6552.84N/AN/A27,11217,672205,060233,340
2016-10-28$5.97$6.7546.6%10.3%20.8%53.3%37.4%4.9%-1.8%-977.0K81.7M-273.1K0.5887.45N/AN/A20,48411,952210,820242,652
2016-10-31$6.01$6.7549.6%11.2%20.8%62.0%38.2%4.6%-3.2%-429.8K73.9M-278.9K2.5795.42N/AN/A17,81645,776209,260236,564