GME Options History — March 2017 In March 2017, GME traded between $5.22 and $6.32. ATM implied volatility averaged 39.7%, placing in the 49.8% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 5.3% (HV 20d: 45.0%). Max pain ranged from $6.25 to $6.50. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 1.74.
Notable Days 2017-03-24 : Highest Volume — 227,300 contracts2017-03-24 : Largest IV drop — 24.5% change2017-03-06 : Highest IV Rank — 76.2%2017-03-23 : Largest Expected Move — 12.3%Monthly Statistics Metric Avg Min Max Open Close Price $5.96 $5.22 $6.32 $6.13 $5.64 Max Pain $6.47 $6.25 $6.50 $6.25 $6.50 ATM IV 39.7% 29.0% 45.8% 44.4% 29.2% Expected Move 10.5% 7.8% 12.3% 10.1% 7.8% HV 20d 45.0% 38.9% 60.4% 38.9% 55.6% HV 60d 38.2% 34.6% 44.7% 36.8% 44.4% IV Rank 49.8% 3.8% 76.2% 69.8% 4.6% IV Percentile 47.5% 1.6% 72.2% 63.1% 2.0% Term Structure -1.6% -4.4% 1.1% -1.4% 0.3% VWIV 37.2% 27.6% 43.6% 36.4% 27.6% Skew 25d 2.9% 0.7% 4.5% 3.4% 2.2% Skew 10d 6.6% -3.6% 13.6% -3.6% 4.7% Call IV 25d 38.9% 28.1% 45.2% 43.5% 28.1% Put IV 25d 41.8% 30.4% 49.3% 46.9% 30.4% Bid-Ask Spread % 23.42 4.89 78.52 78.52 7.93 Gamma HHI 0.14 0.09 0.31 0.10 0.14 Net GEX -2.1M -3.8M -1.3M -1.4M -1.6M Net DEX 61.6M 23.5M 184.0M 41.0M 83.0M Net VEX -345.0K -395.5K -224.7K -355.3K -284.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.74 0.72 3.90 2.55 0.93 Total Volume 58,638.435 25,408 227,300 44,608 32,244 Total OI 505,683.826 439,868 682,428 439,868 552,656
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2017-03-01 $6.13 $6.25 44.4% 10.1% 38.9% 69.8% 36.4% 3.4% -1.4% -1.4M 41.0M -355.3K 2.55 78.52 N/A N/A 12,552 32,056 173,412 266,456 2017-03-02 $6.26 $6.25 44.6% 9.9% 39.5% 70.8% 36.5% 4.2% -2.0% -1.4M 32.5M -395.5K 2.83 59.26 N/A N/A 12,728 36,000 175,240 278,348 2017-03-03 $6.32 $6.25 44.9% 9.3% 39.6% 72.3% 33.3% 4.5% -2.1% -1.4M 25.4M -381.9K 1.07 17.49 N/A N/A 16,484 17,720 177,012 285,204 2017-03-06 $6.24 $6.50 45.8% 12.0% 39.5% 76.2% 42.2% 3.7% -2.1% -1.3M 30.6M -372.6K 1.43 6.56 N/A N/A 11,036 15,824 171,536 272,320 2017-03-07 $6.17 $6.50 44.4% 11.5% 39.7% 70.1% 41.6% 3.1% -1.8% -1.5M 39.0M -374.7K 1.04 7.60 N/A N/A 12,460 12,948 175,620 276,680 2017-03-08 $6.26 $6.50 43.1% 11.2% 39.9% 64.3% 40.6% 3.9% -1.9% -1.4M 31.7M -370.9K 1.04 8.17 N/A N/A 12,504 13,020 178,728 279,632 2017-03-09 $6.26 $6.50 43.0% 11.5% 39.9% 63.9% 40.7% 0.7% -2.9% -1.3M 31.0M -372.3K 1.79 5.51 N/A N/A 14,252 25,540 182,872 282,232 2017-03-10 $6.30 $6.50 42.7% 11.5% 39.2% 62.8% 40.7% 2.0% -0.6% -1.5M 23.5M -384.3K 0.79 4.89 N/A N/A 17,652 13,944 179,116 294,976 2017-03-13 $6.04 $6.50 45.4% 12.0% 41.4% 74.4% 42.6% 3.3% -2.9% -1.9M 49.1M -377.6K 1.32 6.65 N/A N/A 17,852 23,616 174,896 287,484 2017-03-14 $6.15 $6.50 44.7% 11.8% 41.8% 71.3% 42.4% 2.9% -4.2% -2.3M 41.4M -390.4K 1.11 47.58 N/A N/A 12,032 13,384 182,920 297,892 2017-03-15 $6.18 $6.50 43.1% 11.5% 41.7% 64.3% 41.4% 2.2% -3.5% -2.6M 39.7M -385.5K 2.02 25.67 N/A N/A 13,464 27,240 185,056 302,588 2017-03-16 $6.08 $6.50 40.8% 11.1% 41.9% 54.6% 39.2% 3.1% -2.7% -2.9M 56.3M -378.8K 2.93 44.87 N/A N/A 13,940 40,780 187,944 320,516 2017-03-17 $6.15 $6.50 38.7% 10.1% 42.0% 45.4% 36.5% 1.7% -4.4% -3.5M 46.1M -361.1K 3.27 14.55 N/A N/A 18,912 61,884 191,432 322,800 2017-03-20 $5.98 $6.50 39.6% 11.1% 42.8% 49.4% 39.0% 2.2% 0.3% -1.8M 55.9M -360.5K 3.90 54.85 N/A N/A 23,752 92,636 176,092 290,764 2017-03-21 $6.00 $6.50 40.8% 11.6% 41.5% 54.4% 40.5% 2.7% -1.2% -3.1M 67.0M -372.6K 3.19 16.32 N/A N/A 21,228 67,720 178,544 345,684 2017-03-22 $6.01 $6.50 42.2% 12.1% 41.5% 60.8% 43.0% 4.3% -1.7% -3.6M 73.3M -383.0K 1.62 45.30 N/A N/A 26,044 42,068 181,224 379,240 2017-03-23 $5.98 $6.50 42.7% 12.3% 40.8% 62.7% 43.6% 4.5% -2.4% -3.8M 78.3M -385.8K 1.41 21.28 N/A N/A 50,320 71,172 196,312 403,624 2017-03-24 $5.22 $6.50 32.3% 9.1% 60.4% 17.8% 30.1% 3.8% 1.1% -3.5M 184.0M -224.7K 2.41 20.53 N/A N/A 66,564 160,736 227,740 454,688 2017-03-27 $5.22 $6.50 31.0% 8.8% 60.0% 12.2% 30.2% 2.6% -0.6% -1.5M 112.9M -227.3K 0.91 12.41 N/A N/A 30,884 28,072 198,280 323,700 2017-03-28 $5.42 $6.50 30.9% 8.7% 55.6% 11.9% 30.1% 2.0% -0.5% -1.3M 97.8M -259.9K 0.78 12.09 N/A N/A 28,700 22,288 206,332 323,088 2017-03-29 $5.50 $6.50 30.0% 8.2% 55.8% 8.1% 29.0% 2.3% 0.2% -1.3M 92.8M -277.4K 0.92 11.54 N/A N/A 16,456 15,140 215,652 327,296 2017-03-30 $5.61 $6.50 29.0% 8.0% 55.8% 3.8% 28.1% 2.2% -0.2% -1.6M 84.0M -257.8K 0.72 9.02 N/A N/A 19,092 13,744 216,988 329,912 2017-03-31 $5.64 $6.50 29.2% 7.8% 55.6% 4.6% 27.6% 2.2% 0.3% -1.6M 83.0M -284.1K 0.93 7.93 N/A N/A 16,676 15,568 221,880 330,776
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