GME Options History — February 2017

In February 2017, GME traded between $6.08 and $6.63. ATM implied volatility averaged 33.5%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 6.6% (HV 20d: 26.8%). Max pain ranged from $6.00 to $6.25. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 1.60.

Notable Days

  • 2017-02-28: Highest Volume — 121,572 contracts
  • 2017-02-28: Largest IV spike — 17.2% change
  • 2017-02-28: Highest IV Rank — 69.5%
  • 2017-02-28: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.34$6.08$6.63$6.08$6.08
Max Pain$6.17$6.00$6.25$6.25$6.25
ATM IV33.5%28.7%44.3%36.2%44.3%
Expected Move8.9%8.0%10.6%9.1%10.6%
HV 20d26.8%15.8%39.2%38.5%39.2%
HV 60d35.9%32.1%37.4%37.4%36.8%
IV Rank22.5%2.4%69.5%32.9%69.5%
IV Percentile22.2%1.2%62.7%35.7%62.7%
Term Structure1.0%-3.0%7.9%-3.0%-1.7%
VWIV31.9%29.7%38.5%32.8%38.5%
Skew 25d3.4%2.1%5.7%2.2%3.2%
Skew 10d3.8%-15.2%10.2%6.6%9.5%
Call IV 25d32.0%26.4%44.4%34.8%44.4%
Put IV 25d35.4%30.2%47.7%37.0%47.7%
Bid-Ask Spread %25.309.0074.8727.2325.07
Gamma HHI0.160.090.410.130.09
Net GEX148.8K-1.0M1.7M-448.4K-1.0M
Net DEX-7.8M-27.6M41.9M5.6M41.9M
Net VEX-308.1K-355.0K-267.7K-314.0K-355.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.600.647.441.192.35
Total Volume43,159.57918,952121,57218,952121,572
Total OI377,055.158344,324431,996346,624398,548

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$6.08$6.2536.2%9.1%38.5%32.9%32.8%2.2%-3.0%-448.4K5.6M-314.0K1.1927.23N/AN/A8,66010,292154,252192,372
2017-02-02$6.09$6.0034.1%9.9%37.0%24.5%34.3%3.7%-0.2%-247.3K4.4M-314.4K1.0213.20N/AN/A10,20810,384155,936193,028
2017-02-03$6.20$6.0032.5%9.3%35.5%17.9%33.0%3.8%0.8%-422.6K-4.6M-310.0K0.6418.64N/AN/A16,54410,516156,352194,764
2017-02-06$6.17$6.0033.0%9.3%35.0%19.9%33.3%4.3%-1.0%-341.6K-1.1M-275.2K1.0612.63N/AN/A10,29210,860152,296192,028
2017-02-07$6.16$6.0031.9%9.0%34.9%15.2%32.3%3.9%-0.4%-452.2K-197.4K-267.7K1.1812.04N/AN/A14,83217,440153,684195,544
2017-02-08$6.20$6.0031.5%9.0%34.9%13.9%30.3%3.3%0.5%-198.9K-4.1M-281.4K1.119.54N/AN/A13,82415,380160,676204,696
2017-02-09$6.33$6.0031.4%8.7%35.7%13.7%30.5%2.1%-1.0%500.3K-15.9M-280.9K1.6414.02N/AN/A16,01626,288164,776205,572
2017-02-10$6.42$6.2530.0%8.1%36.0%7.6%30.4%4.1%-1.2%589.8K-22.7M-314.5K0.8219.95N/AN/A21,76017,936170,228215,188
2017-02-13$6.35$6.2532.3%8.9%18.2%17.1%31.5%3.9%1.8%376.9K-16.5M-289.4K1.0741.35N/AN/A18,18819,412170,732210,212
2017-02-14$6.42$6.2528.7%8.2%15.8%2.4%29.7%4.1%1.6%1.2M-23.3M-291.9K1.1116.23N/AN/A13,00014,468178,620216,540
2017-02-15$6.45$6.2529.8%8.6%15.8%7.1%32.1%3.3%7.9%1.4M-27.6M-293.6K1.7725.71N/AN/A19,96035,372181,292218,464
2017-02-16$6.35$6.2530.7%8.7%16.7%10.7%31.0%3.2%2.6%638.7K-11.2M-307.3K1.2612.91N/AN/A19,98025,100181,804240,060
2017-02-17$6.39$6.2530.6%8.0%16.5%10.2%30.3%3.8%7.4%1.7M-13.4M-311.4K0.949.00N/AN/A21,65620,432184,424247,572
2017-02-21$6.56$6.2533.9%8.4%17.9%24.0%30.2%2.3%2.8%337.3K-20.5M-293.4K2.3674.87N/AN/A16,92039,940156,796187,900
2017-02-22$6.55$6.2535.5%8.5%17.8%30.9%30.9%2.2%1.2%-169.6K-10.9M-336.6K0.9140.62N/AN/A11,86010,848161,120218,400
2017-02-23$6.39$6.2535.8%8.6%20.3%32.8%31.0%2.5%1.8%-242.9K1.2M-336.9K1.6535.15N/AN/A11,25618,584164,724220,396
2017-02-24$6.57$6.2536.3%8.5%22.1%35.0%31.1%5.7%-0.5%-369.7K-13.5M-340.0K0.7932.23N/AN/A24,52819,404166,252226,080
2017-02-27$6.63$6.2537.8%9.1%22.2%41.6%32.1%2.6%-1.5%-111.0K-15.7M-341.4K7.4440.34N/AN/A12,60093,720162,684210,036
2017-02-28$6.08$6.2544.3%10.6%39.2%69.5%38.5%3.2%-1.7%-1.0M41.9M-355.0K2.3525.07N/AN/A36,31285,260164,728233,820