GEN Options History — March 2011

In March 2011, GEN traded between $0.07 and $0.08. ATM implied volatility averaged 31.6%. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 3.3% (HV 20d: 34.9%). Max pain ranged from $0.07 to $0.07. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.15.

Notable Days

  • 2011-03-01: Highest Volume — 107,345 contracts
  • 2011-03-21: Largest IV drop — 42.3% change
  • 2011-03-07: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.07$0.07$0.08$0.08$0.07
Max Pain$0.07$0.07$0.07$0.07$0.07
ATM IV31.6%21.8%40.7%24.9%28.3%
Expected Move9.5%6.2%12.3%7.1%8.1%
HV 20d34.9%29.6%37.0%31.8%29.6%
HV 60d33.2%32.2%33.8%32.2%33.5%
Term Structure10.4%-0.3%24.5%21.4%14.0%
VWIV34.3%17.2%48.6%17.2%20.8%
Skew 25d16.6%-6.3%94.8%4.3%33.0%
Skew 10d14.7%-12.1%131.9%-0.9%31.2%
Call IV 25d35.2%18.5%48.8%30.1%29.7%
Put IV 25d51.8%32.3%129.1%34.4%62.7%
Bid-Ask Spread %22.0115.1625.5224.6318.05
Gamma HHI0.340.290.410.340.31
Net GEX12.4K1.3K29.2K7.9K27.5K
Net DEX-1.5M-3.0M-833.5K-3.0M-2.1M
Net VEX-23.9K-25.0K-23.1K-23.6K-24.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.150.000.540.200.00
Total Volume35,976.174164107,345107,34527,000
Total OI1,816,256.8261,695,9821,959,4371,699,0361,850,945

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$0.08$0.0724.9%7.1%31.8%0.0%17.2%4.3%21.4%7.9K-3.0M-23.6K0.2024.63N/AN/A89,34518,000990,327708,709
2011-03-02$0.07$0.0730.8%8.8%34.1%0.0%37.2%-1.4%3.5%1.3K-2.3M-24.2K0.0124.07N/AN/A72,218545998,727725,018
2011-03-03$0.07$0.0732.5%9.3%34.6%0.0%32.5%-6.3%5.8%8.3K-1.7M-24.7K0.5424.77N/AN/A37,63620,4551,063,145725,564
2011-03-04$0.07$0.0726.2%11.0%34.1%0.0%0.0%3.8%2.3%16.5K-1.2M-24.8K0.0021.74N/AN/A88,20001,092,109726,655
2011-03-07$0.07$0.0730.9%12.3%34.3%0.0%43.4%8.5%-0.3%6.5K-886.8K-23.7K0.0621.84N/AN/A36,0002,2361,097,400726,655
2011-03-08$0.07$0.0729.4%11.7%33.5%0.0%41.1%2.3%0.7%7.2K-1.1M-24.7K0.1219.69N/AN/A24,4362,8361,113,382728,836
2011-03-09$0.07$0.0736.6%10.1%34.6%0.0%34.4%94.8%7.2%5.3K-1.6M-24.5K0.0024.17N/AN/A5,29101,114,691729,655
2011-03-10$0.07$0.0737.9%10.9%36.8%0.0%39.3%4.1%5.6%7.2K-833.5K-23.6K0.0724.48N/AN/A22,3641,6361,115,182729,655
2011-03-11$0.07$0.0740.7%11.7%36.9%0.0%40.7%7.1%3.0%10.0K-1.0M-24.2K0.0622.38N/AN/A5,5643271,137,545728,018
2011-03-14$0.07$0.0740.1%11.5%37.0%0.0%39.7%-4.5%0.9%10.0K-945.2K-23.6K0.5024.92N/AN/A109551,141,091728,345
2011-03-15$0.07$0.0739.2%11.2%37.0%0.0%39.2%-4.4%5.6%9.4K-980.5K-23.7K0.3225.19N/AN/A15,7645,0181,141,091728,400
2011-03-16$0.07$0.0739.9%11.4%36.4%0.0%39.9%5.7%5.3%11.3K-1.1M-23.8K0.1524.07N/AN/A14,4552,2361,155,709730,691
2011-03-17$0.07$0.0740.5%11.6%36.4%0.0%48.6%8.2%-0.2%6.6K-1.0M-23.2K0.0123.71N/AN/A92,3457641,165,909731,236
2011-03-18$0.07$0.0740.5%11.6%36.8%0.0%0.0%0.8%0.8%12.8K-1.1M-24.3K0.0025.52N/AN/A26,67301,227,764731,673
2011-03-21$0.07$0.0723.4%6.7%36.7%0.0%28.5%27.9%22.2%9.5K-1.6M-23.2K0.3515.16N/AN/A26,8919,4911,087,582608,400
2011-03-22$0.07$0.0722.7%6.5%36.5%0.0%0.0%23.2%19.3%10.3K-1.5M-23.2K0.0016.39N/AN/A25,63601,108,473617,836
2011-03-23$0.07$0.0728.0%8.0%35.4%0.0%0.0%26.2%21.0%11.8K-1.6M-23.3K0.0319.41N/AN/A20,2916001,118,345617,836
2011-03-24$0.07$0.0735.6%10.2%36.4%0.0%22.4%19.4%18.6%15.1K-2.0M-23.1K0.0221.48N/AN/A24,4916001,133,945618,436
2011-03-25$0.07$0.0723.9%6.9%35.6%0.0%23.9%27.2%17.1%23.1K-2.0M-24.6K0.4320.58N/AN/A47,29120,2361,147,800619,036
2011-03-28$0.07$0.0721.8%6.2%34.2%0.0%20.8%13.3%17.5%15.6K-2.0M-23.9K0.3217.94N/AN/A16,2005,2361,183,745639,273
2011-03-29$0.07$0.0730.0%8.6%33.1%0.0%0.0%44.0%23.3%23.5K-1.8M-23.8K0.1623.68N/AN/A10,2001,6361,195,909643,418
2011-03-30$0.07$0.0723.9%6.9%31.0%0.0%0.0%44.0%24.5%29.2K-2.2M-25.0K0.0022.38N/AN/A7,14501,204,691645,055
2011-03-31$0.07$0.0728.3%8.1%29.6%0.0%0.0%33.0%14.0%27.5K-2.1M-24.1K0.0018.05N/AN/A27,00001,205,945645,000