GEN Options History — February 2011

In February 2011, GEN traded between $0.07 and $0.08. ATM implied volatility averaged 38.7%. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 6.4% (HV 20d: 32.4%). Max pain ranged from $0.06 to $0.07. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.47.

Notable Days

  • 2011-02-28: Highest Volume — 175,691 contracts
  • 2011-02-02: Largest IV spike — 45.5% change
  • 2011-02-28: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.07$0.07$0.08$0.08$0.07
Max Pain$0.07$0.06$0.07$0.06$0.07
ATM IV38.7%24.9%48.2%24.9%47.3%
Expected Move11.1%7.1%13.5%7.1%13.5%
HV 20d32.4%29.2%37.4%35.9%29.2%
HV 60d31.6%30.9%32.7%32.7%31.7%
Term Structure1.8%-4.3%18.0%18.0%0.4%
VWIV39.4%24.1%47.3%24.1%47.3%
Skew 25d7.1%-10.0%55.8%-3.5%3.1%
Skew 10d14.2%-12.3%124.5%-8.4%4.7%
Call IV 25d35.5%29.0%44.2%32.0%44.2%
Put IV 25d42.5%28.5%85.0%28.5%47.3%
Bid-Ask Spread %23.0817.7829.6819.3420.59
Gamma HHI0.580.290.900.610.30
Net GEX117.5K-14.8K518.2K105.5K1.5K
Net DEX-2.7M-3.9M-951.8K-3.9M-2.0M
Net VEX-22.3K-23.7K-21.7K-21.9K-22.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.004.230.030.69
Total Volume42,746.5262,454175,69181,709175,691
Total OI1,628,488.9471,401,1091,759,2541,598,0731,568,346

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-02-01$0.08$0.0624.9%7.1%35.9%0.0%24.1%-3.5%18.0%105.5K-3.9M-21.9K0.0319.34N/AN/A79,6912,0181,004,509593,564
2011-02-02$0.08$0.0636.2%10.4%37.1%0.0%35.9%4.3%3.5%102.5K-3.3M-22.3K2.0017.78N/AN/A8181,6361,004,455595,036
2011-02-03$0.08$0.0646.4%13.3%37.4%0.0%46.0%4.9%-3.6%93.5K-3.4M-22.3K0.1126.76N/AN/A47,1824,9641,004,455596,673
2011-02-04$0.07$0.0740.9%10.1%36.1%0.0%0.0%13.7%5.5%104.3K-3.2M-22.5K0.0023.84N/AN/A4,69101,039,309601,582
2011-02-07$0.08$0.0748.2%12.0%32.6%0.0%41.6%55.8%2.7%94.8K-3.6M-22.2K1.2923.59N/AN/A4,2555,5091,034,782601,582
2011-02-08$0.08$0.0733.7%11.7%32.7%0.0%40.7%16.6%2.4%124.8K-3.6M-22.0K0.0220.77N/AN/A29,6735451,036,255602,236
2011-02-09$0.08$0.0735.5%11.3%33.0%0.0%39.4%9.3%3.4%115.2K-3.3M-22.3K0.3222.68N/AN/A7,6362,4551,065,164602,236
2011-02-10$0.07$0.0740.1%11.5%32.1%0.0%0.0%9.1%1.3%125.1K-3.1M-22.1K0.0222.78N/AN/A29,3455451,069,036603,873
2011-02-11$0.07$0.0739.0%11.2%32.2%0.0%0.0%5.6%-0.7%130.0K-3.1M-22.7K0.0123.34N/AN/A3,764551,097,018604,418
2011-02-14$0.07$0.0736.5%10.5%31.4%0.0%42.6%-1.5%-0.3%175.5K-2.7M-22.0K0.0022.52N/AN/A19,09101,096,527604,418
2011-02-15$0.07$0.0741.1%11.8%31.9%0.0%40.4%7.7%0.6%190.5K-3.3M-22.2K4.2322.11N/AN/A14,89163,0551,109,400604,418
2011-02-16$0.07$0.0739.4%11.3%31.2%0.0%0.0%7.3%1.9%172.5K-3.1M-22.4K0.0124.57N/AN/A21,4912731,095,927663,327
2011-02-17$0.07$0.0736.9%10.6%31.2%0.0%0.0%5.8%2.2%208.0K-3.0M-22.0K0.0022.22N/AN/A25,63601,094,727663,327
2011-02-18$0.07$0.0733.4%9.6%29.4%0.0%33.4%4.7%7.2%518.2K-2.5M-21.7K0.0424.54N/AN/A47,8911,9641,076,291663,327
2011-02-22$0.07$0.0738.5%11.0%29.7%0.0%38.5%-0.1%-1.4%-14.8K-1.1M-21.8K0.0823.84N/AN/A79,2556,109762,164638,945
2011-02-23$0.07$0.0739.8%11.4%30.6%0.0%39.9%1.4%-3.6%-7.5K-951.8K-21.7K0.0829.68N/AN/A76,2556,327818,782642,545
2011-02-24$0.07$0.0734.7%10.0%30.6%0.0%38.5%-10.0%-0.4%-5.9K-1.1M-23.1K0.0224.05N/AN/A31,745655883,527643,418
2011-02-25$0.07$0.0743.8%12.5%30.6%0.0%43.9%0.6%-4.3%-996-1.5M-23.7K0.0023.44N/AN/A17,0730911,618644,073
2011-02-28$0.07$0.0747.3%13.5%29.2%0.0%47.3%3.1%0.4%1.5K-2.0M-22.8K0.6920.59N/AN/A103,80071,891924,273644,073