GME Options History — September 2020 In September 2020, GME traded between $1.52 and $2.67. ATM implied volatility averaged 137.5%, placing in the 52.3% IV rank vs the trailing year. The 30-day expected move averaged 38.5%. IV traded above realized volatility by 5.2% (HV 20d: 132.3%). Max pain ranged from $1.75 to $2.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.55.
Notable Days 2020-09-10 : Highest Volume — 503,920 contracts2020-09-02 : Largest IV spike — 58.2% change2020-09-02 : Highest IV Rank — 87.9%2020-09-02 : Largest Expected Move — 54.3%Monthly Statistics Metric Avg Min Max Open Close Price $2.13 $1.52 $2.67 $1.95 $2.54 Max Pain $1.98 $1.75 $2.00 $1.75 $2.00 ATM IV 137.5% 97.8% 197.7% 125.0% 106.5% Expected Move 38.5% 26.4% 54.3% 51.2% 29.4% HV 20d 132.3% 94.8% 168.9% 100.6% 147.1% HV 60d 91.1% 72.6% 106.5% 83.4% 105.8% IV Rank 52.3% 28.8% 87.9% 44.9% 33.9% IV Percentile 75.5% 55.2% 98.0% 71.4% 56.0% Term Structure 0.1% -36.3% 25.8% 17.2% 25.8% VWIV 141.4% 104.7% 192.3% 177.9% 112.1% Skew 25d -7.3% -39.1% 77.1% -29.4% -29.9% Skew 10d -21.4% -76.4% 120.3% -22.0% -54.7% Call IV 25d 137.8% 62.4% 180.3% 180.3% 141.7% Put IV 25d 130.6% 97.8% 174.9% 150.9% 111.7% Bid-Ask Spread % 22.34 9.87 46.25 19.04 30.12 Gamma HHI 0.11 0.07 0.30 0.07 0.08 Net GEX 331.5K -391.7K 1.4M 145.6K 813.4K Net DEX -77.5M -144.9M 3.9M -71.9M -113.1M Net VEX -560.1K -647.5K -421.8K -480.0K -632.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.55 0.19 1.99 0.53 0.30 Total Volume 261,302.286 99,384 503,920 294,560 109,816 Total OI 2,191,936.381 1,886,312 2,463,028 1,886,312 2,276,072
Daily Data (21 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 2020-09-01 $1.95 $1.75 125.0% 51.2% 100.6% 44.9% 177.9% -29.4% 17.2% 145.6K -71.9M -480.0K 0.53 19.04 N/A N/A 192,128 102,432 918,376 967,936 2020-09-02 $1.91 $1.75 197.7% 54.3% 102.0% 87.9% 192.3% 77.1% 22.1% 167.3K -70.4M -503.5K 0.61 17.80 N/A N/A 111,820 68,532 990,252 1,034,324 2020-09-03 $1.93 $2.00 175.2% 42.4% 99.5% 74.6% 149.8% -8.1% -36.3% 134.8K -69.5M -510.3K 1.99 46.25 N/A N/A 111,500 221,444 1,005,240 1,074,480 2020-09-04 $1.92 $2.00 179.2% 42.7% 94.8% 77.0% 150.3% 71.0% -19.3% -15.9K -66.3M -521.5K 0.36 36.98 N/A N/A 73,304 26,080 1,030,348 1,117,852 2020-09-08 $1.93 $2.00 168.5% 47.2% 95.0% 70.6% 167.2% 9.0% 8.7% -14.0K -61.5M -520.2K 0.70 22.94 N/A N/A 105,032 73,472 942,616 1,061,208 2020-09-09 $1.86 $2.00 171.6% 45.4% 97.1% 72.5% 159.4% -39.1% -12.6% -11.1K -53.6M -505.4K 0.93 26.03 N/A N/A 136,240 127,216 988,240 1,089,792 2020-09-10 $1.56 $2.00 117.1% 31.0% 120.8% 40.2% 115.2% 7.8% -19.5% -391.7K -4.4M -421.8K 1.34 18.58 N/A N/A 215,756 288,164 1,048,920 1,164,092 2020-09-11 $1.52 $2.00 98.3% 26.4% 121.8% 29.0% 104.7% 13.4% -5.5% -340.9K 3.9M -437.1K 0.80 11.08 N/A N/A 106,200 85,236 1,066,736 1,194,980 2020-09-14 $1.72 $2.00 107.4% 30.0% 127.7% 34.4% 114.9% -14.8% 9.8% -38.8K -24.4M -497.6K 0.35 10.38 N/A N/A 180,460 63,060 986,988 1,145,196 2020-09-15 $1.75 $2.00 97.8% 27.9% 127.0% 28.8% 110.3% -17.8% -3.0% 201.0K -30.7M -495.8K 0.37 11.45 N/A N/A 109,852 40,200 1,067,972 1,167,696 2020-09-16 $2.15 $2.00 141.2% 40.5% 142.6% 54.5% 144.5% -36.3% -5.5% 324.3K -94.0M -578.5K 0.26 14.38 N/A N/A 353,588 90,504 1,096,036 1,176,076 2020-09-17 $2.28 $2.00 145.3% 42.5% 141.5% 56.9% 161.8% -34.8% -7.7% 515.6K -103.7M -615.4K 0.27 19.20 N/A N/A 326,256 89,212 1,140,248 1,210,156 2020-09-18 $2.35 $2.00 128.1% 37.7% 140.3% 46.7% 142.9% -24.9% -8.3% 380.9K -116.2M -626.6K 0.19 9.87 N/A N/A 322,596 59,928 1,216,680 1,246,348 2020-09-21 $2.17 $2.00 138.4% 38.6% 144.7% 52.8% 147.2% -12.2% -3.8% 416.5K -74.0M -594.3K 0.48 22.23 N/A N/A 194,732 93,428 1,092,156 1,066,340 2020-09-22 $2.67 $2.00 151.3% 42.0% 156.1% 60.5% 149.5% -6.2% -4.7% 733.7K -144.9M -647.5K 0.27 15.53 N/A N/A 356,356 96,232 1,116,076 1,107,024 2020-09-23 $2.52 $2.00 133.2% 37.9% 159.6% 49.7% 142.9% -15.7% -1.1% 722.5K -112.7M -632.8K 0.35 17.16 N/A N/A 187,072 65,412 1,104,004 1,128,440 2020-09-24 $2.29 $2.00 119.4% 32.9% 166.7% 41.5% 131.1% -13.7% 21.6% 413.1K -76.0M -612.3K 0.39 25.74 N/A N/A 143,416 56,044 1,119,964 1,151,940 2020-09-25 $2.52 $2.00 129.6% 37.7% 168.4% 47.6% 138.9% -7.2% 15.8% 1.4M -112.8M -642.8K 0.25 24.24 N/A N/A 162,544 40,396 1,164,912 1,158,360 2020-09-28 $2.51 $2.00 136.7% 38.0% 168.9% 51.8% 142.4% -18.1% 4.9% 563.9K -107.5M -639.5K 0.29 31.30 N/A N/A 123,400 35,940 1,069,232 1,100,224 2020-09-29 $2.59 $2.00 120.2% 32.5% 155.8% 42.0% 114.9% -22.5% 3.4% 847.0K -124.2M -647.0K 0.48 38.83 N/A N/A 96,168 46,180 1,111,140 1,115,992 2020-09-30 $2.54 $2.00 106.5% 29.4% 147.1% 33.9% 112.1% -29.9% 25.8% 813.4K -113.1M -632.1K 0.30 30.12 N/A N/A 84,176 25,640 1,130,908 1,145,164
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