GME Options History — December 2016

In December 2016, GME traded between $6.07 and $6.62. ATM implied volatility averaged 41.9%, placing in the 44.7% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 2.7% (HV 20d: 39.2%). Max pain ranged from $6.13 to $7.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.50.

Notable Days

  • 2016-12-27: Highest Volume — 49,644 contracts
  • 2016-12-12: Largest IV spike — 12.8% change
  • 2016-12-27: Highest IV Rank — 69.9%
  • 2016-12-30: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.38$6.07$6.62$6.14$6.32
Max Pain$7.17$6.13$7.50$6.13$7.00
ATM IV41.9%33.7%48.3%36.7%48.1%
Expected Move12.7%10.5%14.8%11.1%14.8%
HV 20d39.2%34.7%43.0%39.1%34.7%
HV 60d39.8%38.1%41.8%38.1%41.5%
IV Rank44.7%16.0%69.9%24.7%69.1%
IV Percentile49.5%18.3%77.4%31.0%77.0%
Term Structure1.3%-3.0%10.3%0.6%-1.2%
VWIV45.2%37.3%53.1%43.1%53.1%
Skew 25d3.4%1.2%4.5%2.9%4.2%
Skew 10d5.6%-1.8%17.2%2.5%9.4%
Call IV 25d41.0%33.1%47.4%36.1%47.4%
Put IV 25d44.3%34.7%51.6%39.0%51.6%
Bid-Ask Spread %30.607.6271.2431.3346.31
Gamma HHI0.140.110.270.140.15
Net GEX-992.2K-2.5M-385.9K-1.2M-1.3M
Net DEX40.1M18.0M61.7M55.6M47.5M
Net VEX-370.1K-405.3K-334.3K-391.5K-360.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.500.872.880.941.44
Total Volume32,48421,68849,64433,68425,436
Total OI549,985.905514,224590,240562,164569,288

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$6.14$6.1336.7%11.1%39.1%24.7%43.1%2.9%0.6%-1.2M55.6M-391.5K0.9431.33N/AN/A17,32416,360237,920324,244
2016-12-02$6.07$6.1335.4%10.5%39.3%21.1%37.3%3.5%1.1%-1.2M61.7M-387.4K0.8716.33N/AN/A16,98014,700237,876326,868
2016-12-05$6.15$7.5035.1%12.3%39.3%20.1%44.7%3.9%8.1%-1.1M55.3M-383.3K1.3416.60N/AN/A16,90822,720221,424313,112
2016-12-06$6.21$7.5033.7%12.2%39.0%16.0%43.5%1.5%9.8%-932.9K49.7M-387.7K1.2616.54N/AN/A13,56017,096224,196319,728
2016-12-07$6.50$7.5034.1%12.1%40.7%17.3%42.7%1.8%10.0%-385.9K24.5M-365.1K1.1415.20N/AN/A17,99620,448226,120316,516
2016-12-08$6.47$7.5037.1%12.3%40.7%25.9%43.0%3.5%9.2%-2.5M36.4M-405.3K1.1713.65N/AN/A17,66020,704229,408356,372
2016-12-09$6.52$7.5036.8%12.0%40.6%25.1%42.3%1.2%10.3%-796.5K23.9M-394.1K1.5713.60N/AN/A9,38814,700230,924359,316
2016-12-12$6.60$7.5041.5%12.3%40.4%38.7%45.0%2.4%-1.0%-724.8K21.9M-387.4K1.5111.24N/AN/A11,42017,288225,452327,280
2016-12-13$6.62$7.5042.0%12.2%39.8%40.1%42.7%2.5%-0.2%-643.2K18.0M-382.0K1.6514.98N/AN/A11,70419,316227,684330,936
2016-12-14$6.34$7.5045.3%12.7%43.0%52.6%44.7%3.4%-1.2%-910.4K44.8M-365.2K2.2919.13N/AN/A12,93629,676228,292330,228
2016-12-15$6.35$7.2545.1%12.9%42.7%51.8%44.0%4.0%0.1%-1.0M45.6M-370.5K1.309.24N/AN/A11,81215,372228,992340,992
2016-12-16$6.35$7.2544.5%12.8%42.5%51.7%44.5%3.8%0.1%-1.1M46.8M-369.0K1.097.62N/AN/A13,38814,648231,332343,572
2016-12-19$6.45$7.2542.9%12.2%42.6%48.7%40.7%4.2%-2.6%-908.8K40.9M-358.2K1.5219.76N/AN/A13,82421,080216,216298,008
2016-12-20$6.52$7.2543.0%12.3%42.6%51.4%43.1%2.9%-1.8%-664.7K29.7M-359.3K1.0854.69N/AN/A11,84012,804221,100295,372
2016-12-21$6.59$7.2542.9%12.3%41.8%51.3%43.5%3.5%-2.7%-500.5K22.6M-361.4K1.1824.24N/AN/A9,96811,720223,292296,980
2016-12-22$6.26$7.0045.6%13.2%35.2%60.5%46.5%4.0%-2.3%-1.1M50.1M-343.4K1.8257.99N/AN/A10,53219,200226,012297,280
2016-12-23$6.35$7.0046.8%13.7%35.4%64.5%48.6%4.3%-3.0%-809.4K42.9M-354.8K2.4451.44N/AN/A11,60028,340229,180297,172
2016-12-27$6.49$7.0048.3%14.7%34.8%69.9%52.5%4.2%-1.7%-802.8K33.1M-355.3K1.3666.51N/AN/A21,07228,572225,772304,300
2016-12-28$6.33$7.0047.9%14.6%34.8%68.5%51.3%4.5%-1.7%-960.1K44.3M-356.7K2.8871.24N/AN/A9,59227,632237,644309,432
2016-12-29$6.33$7.0048.1%14.7%34.7%69.0%53.0%4.3%-1.9%-1.2M45.7M-334.3K1.6165.04N/AN/A9,52815,320240,732323,140
2016-12-30$6.32$7.0048.1%14.8%34.7%69.1%53.1%4.2%-1.2%-1.3M47.5M-360.0K1.4446.31N/AN/A10,40415,032243,416325,872