GME Options History — November 2017

In November 2017, GME traded between $4.00 and $4.88. ATM implied volatility averaged 57.4%, placing in the 50.4% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded above realized volatility by 25.8% (HV 20d: 31.6%). Max pain ranged from $4.50 to $5.75. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.71.

Notable Days

  • 2017-11-22: Highest Volume — 238,484 contracts
  • 2017-11-21: Largest IV spike — 93.0% change
  • 2017-11-02: Highest IV Rank — 100.0%
  • 2017-11-21: Largest Expected Move — 23.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.35$4.00$4.88$4.65$4.70
Max Pain$4.73$4.50$5.75$5.75$4.75
ATM IV57.4%34.8%112.4%67.1%41.3%
Expected Move15.0%10.2%23.3%15.2%12.6%
HV 20d31.6%22.3%45.4%23.7%45.4%
HV 60d32.6%26.6%36.4%34.0%31.5%
IV Rank50.4%8.2%100.0%97.9%15.9%
IV Percentile87.2%46.4%100.0%99.6%59.5%
Term Structure-2.9%-36.1%24.2%-16.2%-5.6%
VWIV52.4%43.3%82.8%45.9%44.8%
Skew 25d12.2%-2.6%51.9%-2.6%6.8%
Skew 10d19.8%-3.3%69.0%29.0%26.2%
Call IV 25d51.8%32.9%97.0%65.6%37.1%
Put IV 25d64.0%36.4%126.9%63.0%44.0%
Bid-Ask Spread %27.656.73108.96108.9646.10
Gamma HHI0.150.120.180.180.17
Net GEX-1.8M-2.5M-901.4K-1.8M-1.7M
Net DEX108.2M31.6M155.2M93.7M57.7M
Net VEX-327.8K-404.3K-269.8K-359.7K-381.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.710.454.191.070.91
Total Volume86,173.90529,728238,48430,66867,376
Total OI727,998.667588,908941,028588,908701,132

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$4.65$5.7567.1%15.2%23.7%97.9%45.9%-2.6%-16.2%-1.8M93.7M-359.7K1.07108.96N/AN/A14,80815,860199,228389,680
2017-11-02$4.63$4.7575.9%13.4%22.7%100.0%43.3%32.3%-36.1%-1.8M98.2M-350.0K1.7511.77N/AN/A10,81618,912204,196391,768
2017-11-03$4.53$4.7551.4%13.6%22.4%49.1%43.9%10.7%2.8%-1.7M103.2M-328.8K1.526.73N/AN/A12,08018,352206,608391,088
2017-11-06$4.46$4.7555.0%14.5%22.3%56.5%51.3%7.9%-5.7%-1.7M107.8M-304.9K1.4411.10N/AN/A15,60022,420204,744391,256
2017-11-07$4.28$4.7556.1%14.8%25.1%58.8%51.0%6.5%-4.8%-1.4M116.1M-271.2K3.417.32N/AN/A17,96061,212208,412398,024
2017-11-08$4.30$4.7555.4%14.9%23.9%57.4%49.3%14.9%-5.1%-1.8M121.9M-284.7K1.047.51N/AN/A16,69617,400213,204444,524
2017-11-09$4.39$4.7587.2%15.8%25.9%100.0%55.0%51.9%-34.1%-1.8M113.6M-318.5K2.9637.23N/AN/A20,84861,744215,744448,636
2017-11-10$4.11$4.7556.7%16.8%33.2%48.5%58.0%3.2%4.6%-1.9M134.8M-279.0K2.6332.22N/AN/A30,94481,268222,796482,860
2017-11-13$4.05$4.7556.1%16.1%33.1%47.6%55.0%7.4%20.7%-2.3M147.5M-279.1K2.469.06N/AN/A23,67658,256229,904523,996
2017-11-14$4.03$4.7555.2%15.8%32.1%46.1%52.0%7.9%-4.4%-2.5M150.9M-269.8K2.2023.25N/AN/A19,53642,924232,596535,884
2017-11-15$4.00$4.7555.8%16.0%30.0%47.0%55.5%6.9%24.2%-2.5M155.2M-279.8K2.1917.33N/AN/A18,79641,216237,656558,592
2017-11-16$4.04$4.7559.6%17.4%30.7%53.5%53.8%7.2%-8.3%-2.4M148.5M-313.2K4.1915.19N/AN/A20,13684,368242,672560,388
2017-11-17$4.07$4.7561.9%17.5%31.1%57.3%61.0%6.2%7.4%-2.1M154.8M-308.5K1.9513.88N/AN/A20,68440,364248,100602,552
2017-11-20$4.11$4.7558.3%18.4%31.0%51.2%62.8%18.1%-5.7%-2.2M122.5M-312.9K1.0146.25N/AN/A55,86856,492202,252523,052
2017-11-21$4.19$4.50112.4%23.3%32.7%100.0%82.8%29.9%1.8%-2.0M105.7M-365.6K1.0378.25N/AN/A114,292117,560242,392556,536
2017-11-22$4.34$4.5049.9%14.1%36.1%26.1%51.9%18.1%7.1%-1.6M88.9M-404.3K0.7147.20N/AN/A139,24499,240310,104623,848
2017-11-24$4.36$4.5042.0%12.5%36.2%16.8%45.7%8.0%0.4%-901.4K94.6M-359.7K0.6218.53N/AN/A40,84825,456317,724623,304
2017-11-27$4.54$4.5036.9%11.5%39.9%10.7%43.5%5.9%-2.8%-1.5M77.1M-350.5K1.0313.03N/AN/A32,86433,936255,972475,456
2017-11-28$4.76$4.5035.4%10.2%42.5%9.0%44.0%3.5%-2.8%-1.5M49.0M-375.6K1.2813.05N/AN/A41,47253,240260,204475,120
2017-11-29$4.88$4.5034.8%10.7%43.2%8.2%48.6%5.4%1.9%-1.3M31.6M-386.4K0.4516.58N/AN/A85,90838,980266,972468,796
2017-11-30$4.70$4.7541.3%12.6%45.4%15.9%44.8%6.8%-5.6%-1.7M57.7M-381.6K0.9146.10N/AN/A35,26832,108233,432467,700