GEN Options History — January 2011

In January 2011, GEN traded between $0.07 and $0.08. ATM implied volatility averaged 43.1%. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 11.4% (HV 20d: 31.7%). Max pain ranged from $0.06 to $0.07. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.11.

Notable Days

  • 2011-01-10: Highest Volume — 236,836 contracts
  • 2011-01-07: Largest IV spike — 68.3% change
  • 2011-01-20: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.07$0.07$0.08$0.07$0.08
Max Pain$0.06$0.06$0.07$0.07$0.06
ATM IV43.1%31.8%55.2%45.4%43.9%
Expected Move12.2%9.1%14.9%13.0%12.6%
HV 20d31.7%26.7%35.9%29.6%35.9%
Term Structure0.2%-7.7%15.3%-1.7%-6.6%
VWIV44.1%30.4%63.8%45.4%43.9%
Skew 25d9.8%-10.3%70.9%0.0%-3.4%
Skew 10d11.2%-85.4%131.2%-85.4%0.4%
Call IV 25d37.3%30.4%51.1%45.4%51.1%
Put IV 25d47.1%27.0%103.5%45.4%47.7%
Bid-Ask Spread %22.3212.6132.8122.0426.43
Gamma HHI0.700.540.840.840.54
Net GEX118.0K78.8K177.3K177.3K81.6K
Net DEX-3.6M-5.2M-1.1M-1.1M-3.3M
Net VEX-22.8K-25.0K-16.1K-16.1K-22.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.110.000.500.050.00
Total Volume54,201.852,455236,83615,0552,455
Total OI2,113,180.851,596,1092,432,4002,138,8361,596,109

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$0.07$0.0745.4%13.0%29.6%0.0%45.4%0.0%-1.7%177.3K-1.1M-16.1K0.0522.04N/AN/A14,4006551,442,236696,600
2011-01-04$0.07$0.0736.1%10.4%28.9%0.0%63.8%-3.9%-2.4%119.1K-2.1M-20.0K0.2115.81N/AN/A48,87310,1451,450,418696,818
2011-01-05$0.07$0.0739.0%11.2%26.7%0.0%38.9%-3.2%1.3%115.4K-2.7M-21.5K0.0621.46N/AN/A33,4911,8551,492,855700,855
2011-01-06$0.07$0.0732.8%9.4%30.2%0.0%30.4%4.8%15.3%95.5K-1.8M-20.6K0.0812.61N/AN/A69,7095,6731,511,291701,618
2011-01-07$0.07$0.0655.2%11.8%34.4%0.0%41.1%4.8%4.6%117.6K-3.0M-23.0K0.1121.39N/AN/A14,3451,5821,555,800705,709
2011-01-10$0.07$0.0642.0%12.1%32.1%0.0%42.2%12.0%2.6%133.0K-3.7M-22.5K0.5022.10N/AN/A158,29178,5451,562,945707,291
2011-01-11$0.07$0.0634.8%12.3%30.7%0.0%42.7%15.7%-1.2%159.5K-3.5M-24.8K0.0320.54N/AN/A33,7091,0911,615,036776,891
2011-01-12$0.08$0.0648.0%12.8%30.8%0.0%43.6%70.9%-0.9%145.1K-4.0M-25.0K0.0319.69N/AN/A60,9821,6361,624,855777,982
2011-01-13$0.08$0.0638.0%10.9%31.1%0.0%38.0%14.8%3.7%137.0K-3.9M-24.7K0.0022.12N/AN/A101,72701,599,327778,800
2011-01-14$0.08$0.0649.3%14.1%31.3%0.0%49.3%16.7%-3.6%133.8K-4.8M-25.0K0.1318.80N/AN/A26,2913,5451,653,600778,800
2011-01-18$0.08$0.0650.5%14.5%31.2%0.0%50.5%12.8%-3.0%120.6K-5.0M-24.0K0.1723.73N/AN/A40,9647,1451,645,145782,345
2011-01-19$0.08$0.0645.8%13.1%32.6%0.0%45.7%6.7%-2.2%149.5K-4.4M-23.9K0.1524.49N/AN/A18,7642,7271,621,145782,673
2011-01-20$0.08$0.0652.1%14.9%32.4%0.0%52.1%9.4%-7.7%143.2K-4.4M-23.9K0.1120.22N/AN/A24,9272,7271,613,455784,200
2011-01-21$0.08$0.0640.8%11.7%31.5%0.0%40.8%9.5%4.9%91.9K-5.2M-23.7K0.1523.86N/AN/A59,4559,0551,610,018784,200
2011-01-24$0.08$0.0646.5%13.3%31.4%0.0%46.1%15.9%-3.6%78.8K-4.3M-22.8K0.0826.86N/AN/A42,2183,3821,036,582585,709
2011-01-25$0.08$0.0642.5%12.2%32.3%0.0%42.9%10.0%-0.8%93.3K-3.9M-23.4K0.0225.98N/AN/A5,2361091,061,127586,364
2011-01-26$0.08$0.0643.2%12.4%32.1%0.0%43.2%10.5%0.5%89.0K-3.9M-22.7K0.3029.46N/AN/A28,5828,5641,060,909586,473
2011-01-27$0.08$0.0631.8%9.1%32.7%0.0%37.8%-10.3%4.6%93.2K-4.4M-22.7K0.0016.05N/AN/A145,0916001,067,945593,182
2011-01-28$0.07$0.0643.0%12.3%35.8%0.0%0.0%2.1%0.9%86.2K-3.5M-22.6K0.0632.81N/AN/A14,6188731,042,800593,509
2011-01-31$0.08$0.0643.9%12.6%35.9%0.0%43.9%-3.4%-6.6%81.6K-3.3M-22.8K0.0026.43N/AN/A2,45501,002,545593,564