GME Options History — September 2017

In September 2017, GME traded between $4.67 and $5.22. ATM implied volatility averaged 29.8%, placing in the 6.4% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 12.7% (HV 20d: 42.5%). Max pain ranged from $5.25 to $5.75. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.08.

Notable Days

  • 2017-09-27: Highest Volume — 56,192 contracts
  • 2017-09-28: Largest IV drop — 7.1% change
  • 2017-09-05: Highest IV Rank — 14.7%
  • 2017-09-12: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.97$4.67$5.22$4.67$5.17
Max Pain$5.72$5.25$5.75$5.25$5.75
ATM IV29.8%27.9%32.1%31.4%29.8%
Expected Move8.4%7.9%8.9%8.7%8.3%
HV 20d42.5%19.8%50.7%48.9%19.8%
HV 60d33.4%33.0%33.8%33.8%33.3%
IV Rank6.4%0.0%14.7%11.9%7.3%
IV Percentile10.2%0.0%30.6%23.4%8.3%
Term Structure0.4%-1.4%3.3%-0.0%1.2%
VWIV29.6%27.6%31.9%30.0%29.2%
Skew 25d3.1%1.9%6.5%6.5%2.6%
Skew 10d5.9%3.0%10.0%10.0%5.1%
Call IV 25d28.6%26.7%31.3%29.4%28.5%
Put IV 25d31.6%29.5%35.9%35.9%31.1%
Bid-Ask Spread %11.154.2148.618.897.79
Gamma HHI0.190.120.350.200.16
Net GEX-945.2K-2.1M86.5K-1.7M-815.0K
Net DEX56.0M28.4M98.6M98.6M43.7M
Net VEX-302.1K-356.2K-269.8K-271.5K-356.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.322.411.281.70
Total Volume33,850.421,72056,19228,30426,352
Total OI498,003.2426,716581,884581,884513,884

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$4.67$5.2531.4%8.7%48.9%11.9%30.0%6.5%-0.0%-1.7M98.6M-271.5K1.288.89N/AN/A12,38815,916236,484345,400
2017-09-05$4.73$5.7532.1%8.9%49.1%14.7%31.9%3.2%-0.2%-1.8M87.9M-269.8K1.327.18N/AN/A13,23617,524210,376322,912
2017-09-06$4.83$5.7531.1%8.9%50.2%11.0%31.2%3.5%-0.0%-1.8M81.6M-289.7K0.556.88N/AN/A23,10812,800214,020329,744
2017-09-07$4.71$5.7530.6%8.8%50.3%9.1%31.2%3.1%0.7%-1.9M81.3M-286.3K0.654.71N/AN/A23,45215,352212,668331,676
2017-09-08$4.79$5.7531.4%8.7%50.5%12.0%30.8%3.3%-0.6%-1.9M74.6M-291.1K0.565.20N/AN/A22,41212,472220,496326,240
2017-09-11$4.79$5.7531.6%8.8%50.2%12.9%30.6%1.9%-1.2%-2.1M74.3M-283.1K1.004.21N/AN/A16,43616,452199,924322,512
2017-09-12$4.87$5.7531.5%8.9%50.7%12.3%30.7%3.0%-0.0%-1.6M67.0M-293.5K0.7612.43N/AN/A18,39614,064204,224323,224
2017-09-13$5.00$5.7529.3%8.5%50.5%4.3%29.5%2.2%0.3%-865.5K55.9M-300.8K0.684.38N/AN/A19,65613,324205,576323,428
2017-09-14$5.02$5.7529.3%8.2%49.9%4.3%29.0%2.5%-1.4%-310.8K51.8M-291.5K1.055.12N/AN/A15,35616,180207,572323,588
2017-09-15$5.07$5.7528.4%8.0%49.9%1.1%28.7%2.4%-0.4%-458.7K48.8M-301.0K1.587.22N/AN/A17,45227,648208,380326,468
2017-09-18$5.04$5.7528.5%8.0%49.9%1.5%27.6%2.8%1.3%-659.3K41.9M-304.2K0.879.29N/AN/A17,88815,592171,268255,448
2017-09-19$5.04$5.7528.9%8.3%49.8%2.7%28.7%2.9%0.3%-611.0K42.0M-312.8K1.316.41N/AN/A10,96814,388179,992261,536
2017-09-20$5.02$5.7528.5%8.2%48.2%1.4%30.5%3.0%0.8%-614.4K44.3M-313.7K1.6631.61N/AN/A13,36022,220182,272264,364
2017-09-21$4.97$5.7527.9%8.0%48.3%0.0%28.6%2.5%0.6%-622.3K47.1M-302.6K0.866.27N/AN/A11,66810,052186,304262,576
2017-09-22$5.00$5.7527.9%7.9%47.9%0.0%27.6%2.8%0.4%-455.7K45.7M-307.8K0.788.07N/AN/A13,22010,264187,736264,256
2017-09-25$5.11$5.7528.8%8.2%22.6%3.3%28.8%3.9%0.5%-419.9K37.6M-302.2K1.008.13N/AN/A10,98011,024184,956260,260
2017-09-26$5.17$5.7528.9%8.2%21.8%4.0%29.2%2.8%3.3%-398.7K32.5M-308.3K0.3248.61N/AN/A29,0089,248186,776261,660
2017-09-27$5.22$5.7530.8%8.4%20.3%10.7%29.5%3.6%1.8%86.5K28.4M-321.6K1.3022.86N/AN/A24,47631,716192,560262,628
2017-09-28$5.20$5.7528.6%8.2%20.4%2.7%28.8%2.5%0.4%80.0K35.5M-334.7K2.417.77N/AN/A14,96036,000202,240284,436
2017-09-29$5.17$5.7529.8%8.3%19.8%7.3%29.2%2.6%1.2%-815.0K43.7M-356.2K1.707.79N/AN/A9,74416,608206,316307,568