GEN Options History — April 2011

In April 2011, GEN traded between $0.07 and $0.72. ATM implied volatility averaged 41.5%. The 30-day expected move averaged 11.4%. IV traded below realized volatility by 496.7% (HV 20d: 538.2%). Max pain ranged from $0.07 to $0.73. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.31.

Notable Days

  • 2011-04-11: Highest Volume — 109,691 contracts
  • 2011-04-14: Largest IV drop — 33.2% change
  • 2011-04-28: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.47$0.07$0.72$0.07$0.72
Max Pain$0.50$0.07$0.73$0.07$0.73
ATM IV41.5%31.5%59.3%37.8%38.1%
Expected Move11.4%9.0%13.1%10.8%10.9%
HV 20d538.2%27.1%812.7%30.4%811.6%
HV 60d317.0%31.7%470.3%33.9%469.9%
Term Structure0.5%-8.9%15.9%15.9%-4.7%
VWIV43.7%35.9%61.0%39.8%38.1%
Skew 25d3.4%-8.4%76.0%36.5%-0.3%
Skew 10d2.7%-12.2%112.6%34.8%-1.3%
Call IV 25d42.2%30.6%48.3%34.6%43.9%
Put IV 25d45.6%34.9%115.5%71.1%43.7%
Bid-Ask Spread %18.7010.2927.7318.6816.10
Gamma HHI0.520.300.750.420.75
Net GEX85.8K14.2K185.8K30.1K185.8K
Net DEX-2.7M-4.9M-1.6M-2.6M-4.9M
Net VEX-25.8K-30.0K-23.0K-24.1K-30.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.0013.790.020.24
Total Volume12,831.45240109,6919,1093,393
Total OI820,291.1198,5511,890,7641,876,364262,292

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$0.07$0.0737.8%10.8%30.4%0.0%0.0%36.5%15.9%30.1K-2.6M-24.1K0.0218.68N/AN/A8,8912181,231,364645,000
2011-04-04$0.07$0.0733.4%11.0%29.0%0.0%0.0%-1.4%1.1%30.7K-2.3M-24.1K0.0021.26N/AN/A5,23601,237,964645,164
2011-04-05$0.07$0.0737.4%11.8%29.6%0.0%39.8%-4.3%-0.4%26.2K-2.1M-24.0K0.0023.89N/AN/A08,1821,239,818645,164
2011-04-06$0.07$0.0741.4%10.9%29.6%0.0%0.0%-1.6%6.6%27.6K-2.2M-23.2K1.0224.67N/AN/A2,6732,7271,239,818645,164
2011-04-07$0.07$0.0744.8%11.6%27.1%0.0%0.0%2.6%4.1%27.2K-2.8M-24.6K0.0018.97N/AN/A10,63601,240,745647,891
2011-04-08$0.07$0.0736.9%10.3%27.1%0.0%0.0%76.0%5.9%35.9K-2.7M-24.2K1.3221.39N/AN/A1,0361,3641,241,018647,891
2011-04-11$0.07$0.0747.8%10.3%32.1%0.0%36.2%-5.0%-0.8%25.5K-2.1M-23.0K13.7927.16N/AN/A7,418102,2731,241,509649,255
2011-04-12$0.68$0.7348.6%12.4%812.6%0.0%45.0%-3.2%-0.8%14.2K-1.6M-23.9K0.0018.54N/AN/A54,60076124,26074,291
2011-04-13$0.68$0.7359.3%11.4%812.3%0.0%61.0%-1.9%3.2%115.0K-2.8M-27.9K0.7421.24N/AN/A567420175,39674,313
2011-04-14$0.67$0.7339.6%11.4%812.5%0.0%0.0%-1.0%0.6%98.4K-2.2M-26.4K0.0215.21N/AN/A2355175,41374,149
2011-04-15$0.67$0.7339.9%11.4%812.2%0.0%43.6%-1.1%-1.2%99.1K-2.0M-25.3K0.6410.29N/AN/A2,1931,402175,63174,149
2011-04-18$0.66$0.7341.1%11.8%812.5%0.0%46.1%-7.0%-4.9%86.3K-2.1M-25.1K0.0317.73N/AN/A17,678545166,74069,027
2011-04-19$0.65$0.7341.5%11.9%812.6%0.0%47.7%-8.4%-6.0%94.9K-2.4M-26.4K0.0016.00N/AN/A1,1620178,89869,093
2011-04-20$0.66$0.7331.5%9.0%812.7%0.0%0.0%8.3%13.2%100.3K-1.9M-24.2K0.2115.45N/AN/A1,031218179,39569,093
2011-04-21$0.69$0.7336.5%10.5%812.3%0.0%35.9%-4.8%-5.0%145.4K-3.2M-26.8K0.7614.82N/AN/A2,0621,576179,42269,147
2011-04-25$0.69$0.7343.0%12.3%812.4%0.0%42.9%-2.4%-0.5%134.0K-3.2M-26.5K1.1413.16N/AN/A1,5601,784180,12569,911
2011-04-26$0.69$0.7343.9%12.6%811.9%0.0%43.4%-5.4%-1.0%127.4K-3.2M-26.4K4.7213.33N/AN/A1,0965,176180,07670,456
2011-04-27$0.71$0.7341.7%12.0%811.7%0.0%42.1%-4.4%-5.9%159.6K-4.0M-29.4K0.1127.73N/AN/A4,969551180,86775,262
2011-04-28$0.71$0.7345.7%13.1%812.0%0.0%45.7%-3.0%-8.9%152.5K-4.4M-30.0K0.1418.46N/AN/A3,229447184,83875,813
2011-04-29$0.72$0.7338.1%10.9%811.6%0.0%38.1%-0.3%-4.7%185.8K-4.9M-30.0K0.2416.10N/AN/A2,738655186,20776,085