GME Options History — November 2016

In November 2016, GME traded between $5.18 and $6.54. ATM implied volatility averaged 44.1%, placing in the 46.2% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 5.4% (HV 20d: 49.5%). Max pain ranged from $5.75 to $6.75. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.06.

Notable Days

  • 2016-11-23: Highest Volume — 152,504 contracts
  • 2016-11-23: Largest IV drop — 14.6% change
  • 2016-11-03: Highest IV Rank — 64.8%
  • 2016-11-14: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.75$5.18$6.54$5.90$6.16
Max Pain$5.96$5.75$6.75$6.75$6.13
ATM IV44.1%35.3%50.5%48.9%35.3%
Expected Move12.3%10.5%13.7%11.0%10.5%
HV 20d49.5%20.5%60.3%20.5%59.9%
HV 60d37.9%31.3%39.9%31.3%38.1%
IV Rank46.2%20.8%64.8%60.1%20.8%
IV Percentile53.9%25.0%82.5%75.4%25.0%
Term Structure-1.0%-4.1%1.9%-1.5%0.3%
VWIV44.3%37.1%49.2%37.2%49.2%
Skew 25d4.4%2.1%6.7%6.7%3.1%
Skew 10d8.0%-1.6%17.2%17.2%13.8%
Call IV 25d42.2%34.7%47.1%44.3%34.7%
Put IV 25d46.6%37.9%53.1%50.9%37.9%
Bid-Ask Spread %39.6214.2490.9090.5572.18
Gamma HHI0.160.120.350.130.12
Net GEX-429.3K-961.7K2.6M-593.5K-961.7K
Net DEX71.9M-14.0M106.9M85.3M49.8M
Net VEX-291.5K-379.5K-190.0K-292.8K-357.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.441.721.721.62
Total Volume48,944.76222,760152,50439,34049,416
Total OI530,179.429478,988653,052478,988546,004

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$5.90$6.7548.9%11.0%20.5%60.1%37.2%6.7%-1.5%-593.5K85.3M-292.8K1.7290.55N/AN/A14,44024,900213,808265,180
2016-11-02$5.23$6.7547.7%11.2%44.6%56.6%40.1%2.9%-1.3%-839.3K106.9M-190.0K1.0883.91N/AN/A51,94055,936216,332273,484
2016-11-03$5.18$6.0050.5%12.8%44.5%64.8%45.2%4.7%-3.6%-464.2K103.7M-206.1K0.5714.24N/AN/A23,65613,496232,980284,760
2016-11-04$5.18$6.0050.0%13.2%44.5%63.2%45.7%6.3%-4.1%-696.2K98.6M-211.9K0.7220.57N/AN/A22,01215,916239,404283,696
2016-11-07$5.29$6.0046.5%12.9%45.8%53.2%44.0%4.8%-1.3%-790.2K99.2M-224.5K0.7624.58N/AN/A15,17611,608217,884280,212
2016-11-08$5.25$6.0047.3%13.0%45.5%55.4%45.3%3.7%-1.8%-722.5K99.7M-222.2K1.3719.70N/AN/A9,98413,704223,776282,380
2016-11-09$5.38$6.0047.0%12.7%47.0%54.7%45.1%6.0%-2.9%-683.6K97.5M-233.6K1.2930.02N/AN/A9,95212,808225,260283,028
2016-11-10$5.47$6.0044.9%12.5%47.7%48.6%44.3%4.5%-1.0%-626.0K93.5M-249.1K1.3019.09N/AN/A13,55217,576226,736285,644
2016-11-11$5.58$6.0045.0%13.2%48.7%48.8%45.2%6.4%1.9%-786.5K90.9M-270.8K1.2524.60N/AN/A13,94817,480229,832290,400
2016-11-14$5.74$5.7547.4%13.7%49.5%55.6%47.8%4.9%-1.8%-769.0K82.4M-296.8K1.2119.28N/AN/A17,83621,556231,152290,112
2016-11-15$5.66$5.7545.9%13.2%49.5%51.5%47.3%4.4%-0.9%-786.3K87.4M-295.0K1.2816.33N/AN/A11,69615,024233,856298,936
2016-11-16$5.78$5.7546.2%13.2%50.2%52.3%45.9%4.5%-1.5%-814.7K83.1M-304.2K0.9823.32N/AN/A14,44414,212237,988302,116
2016-11-17$5.87$5.7544.8%12.9%50.6%48.3%45.7%4.8%-1.5%-673.9K76.0M-292.1K1.6219.95N/AN/A10,18016,456242,152305,416
2016-11-18$5.87$5.7545.2%13.2%50.6%49.3%46.8%3.4%-2.3%-275.2K77.2M-320.0K0.8660.06N/AN/A17,01214,644243,528308,472
2016-11-21$5.85$5.7542.9%12.8%50.6%42.8%44.7%3.9%-1.3%-623.4K55.6M-317.6K0.9724.78N/AN/A22,24821,560215,960267,616
2016-11-22$6.02$5.7544.4%13.3%51.5%46.9%47.7%5.3%-1.0%-430.8K45.6M-344.4K0.7725.23N/AN/A65,56050,500228,172276,808
2016-11-23$6.54$5.7537.9%10.9%59.6%28.2%40.9%3.6%1.8%1.4M-14.0M-367.3K0.9690.90N/AN/A77,62874,876286,664309,536
2016-11-25$6.46$5.7536.0%10.7%58.5%22.7%37.1%2.1%0.0%2.6M1.5M-378.9K0.4480.94N/AN/A51,18022,692305,228347,824
2016-11-28$6.28$5.7536.3%10.7%59.5%23.6%45.9%3.3%1.1%-496.6K36.3M-366.0K0.8119.16N/AN/A28,36822,884250,700306,348
2016-11-29$6.12$6.0036.0%10.6%60.3%22.9%39.5%3.0%0.7%-929.5K53.9M-379.5K0.6252.57N/AN/A18,37211,412235,628308,756
2016-11-30$6.16$6.1335.3%10.5%59.9%20.8%49.2%3.1%0.3%-961.7K49.8M-357.6K1.6272.18N/AN/A18,85630,560236,328309,676