GEN Options History — December 2010

In December 2010, GEN traded between $0.06 and $0.07. ATM implied volatility averaged 44.3%. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 14.1% (HV 20d: 30.1%). Max pain ranged from $0.07 to $0.07. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.30.

Notable Days

  • 2010-12-29: Highest Volume — 128,455 contracts
  • 2010-12-15: Largest IV drop — 54.8% change
  • 2010-12-06: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.07$0.06$0.07$0.07$0.07
Max Pain$0.07$0.07$0.07$0.07$0.07
ATM IV44.3%29.9%69.6%41.6%38.2%
Expected Move11.3%8.6%14.7%14.7%10.9%
HV 20d30.1%29.3%30.9%30.3%30.0%
Term Structure1.9%-11.9%20.5%-11.9%5.5%
VWIV44.1%35.9%64.0%51.4%42.1%
Skew 25d17.3%-39.7%88.4%6.3%18.4%
Skew 10d14.2%-96.4%117.8%7.7%-30.4%
Call IV 25d58.6%30.4%147.2%54.6%41.3%
Put IV 25d75.9%32.5%192.3%60.8%59.7%
Bid-Ask Spread %28.3114.5189.9889.9814.51
Gamma HHI0.780.410.990.530.83
Net GEX95.3K304180.3K64.9K159.5K
Net DEX-845.1K-2.8M583.2K-1.2M-784.9K
Net VEX-12.6K-19.0K-676-19.0K-15.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.003.400.180.08
Total Volume34,975.1051,091128,4551,0917,690
Total OI1,947,760.7371,824,3822,148,6541,824,4372,133,218

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-06$0.07$0.0741.6%14.7%0.0%0.0%51.4%6.3%-11.9%64.9K-1.2M-19.0K0.1889.98N/AN/A9271641,242,382582,055
2010-12-07$0.07$0.0750.2%11.6%0.0%0.0%43.2%11.2%-4.2%62.0K-833.8K-17.9K0.0659.13N/AN/A9,4365451,243,964580,418
2010-12-08$0.07$0.0752.5%11.7%0.0%0.0%47.1%88.4%-4.5%72.0K50.5K-10.0K0.0073.66N/AN/A24,10901,247,564580,964
2010-12-09$0.07$0.0765.7%11.1%0.0%0.0%44.8%10.8%2.2%89.7K-603.4K-16.0K0.0023.53N/AN/A34,52701,253,509580,745
2010-12-10$0.07$0.0750.5%11.2%0.0%0.0%44.6%9.4%-5.8%16.2K91.8K-12.6K0.0025.99N/AN/A60,76401,275,818580,745
2010-12-13$0.06$0.0754.6%11.6%0.0%0.0%64.0%11.0%0.9%18.8K583.2K-1.6K0.1017.28N/AN/A28,6912,7821,313,836580,745
2010-12-14$0.07$0.0769.6%11.8%0.0%0.0%0.0%73.5%2.2%16.1K427.8K-1.1K0.9515.84N/AN/A3,4363,2731,342,091581,564
2010-12-15$0.07$0.0731.5%9.0%0.0%0.0%0.0%45.8%17.5%304506.8K-6760.1119.06N/AN/A26,1273,0001,345,527583,200
2010-12-16$0.07$0.0729.9%8.6%0.0%0.0%0.0%45.1%20.5%7.1K97.9K-7.3K0.0416.50N/AN/A5,6182181,351,091586,200
2010-12-17$0.07$0.0736.3%10.4%0.0%0.0%0.0%35.7%15.7%100.9K-485.6K-11.1K0.0014.89N/AN/A23,89101,356,382586,200
2010-12-20$0.07$0.0746.3%13.3%0.0%0.0%46.2%0.1%-5.1%97.3K-498.8K-10.9K0.1922.14N/AN/A35,1826,6551,340,564579,273
2010-12-21$0.07$0.0736.2%10.4%0.0%0.0%38.1%-27.3%4.0%115.6K-1.2M-16.6K0.0818.46N/AN/A33,9822,6731,373,018578,782
2010-12-22$0.07$0.0736.1%10.4%0.0%0.0%35.9%0.2%3.4%169.1K-1.9M-13.8K0.1522.79N/AN/A34,7455,2361,400,836579,873
2010-12-23$0.07$0.0740.7%11.7%0.0%0.0%40.8%13.4%1.1%165.7K-1.9M-16.1K0.1017.26N/AN/A21,0552,1821,421,291584,727
2010-12-27$0.07$0.0740.9%11.7%0.0%0.0%40.8%0.5%-3.7%123.3K-2.2M-16.8K0.1216.14N/AN/A48,8186,0001,433,345586,909
2010-12-28$0.07$0.0742.5%12.2%30.3%0.0%42.6%16.3%-5.1%172.7K-2.8M-18.8K0.0022.72N/AN/A25,25501,438,309587,455
2010-12-29$0.07$0.0736.0%10.3%29.3%0.0%36.0%-39.7%5.7%180.3K-2.5M-18.7K3.4022.57N/AN/A29,18299,2731,439,455586,745
2010-12-30$0.07$0.0741.9%12.0%30.9%0.0%42.1%9.3%-2.3%179.6K-1.1M-15.5K0.1625.42N/AN/A68,12710,9641,463,018685,636
2010-12-31$0.07$0.0738.2%10.9%30.0%0.0%0.0%18.4%5.5%159.5K-784.9K-15.1K0.0814.51N/AN/A7,1455451,436,618696,600