GEN Options History — May 2011

In May 2011, GEN traded between $0.66 and $0.74. ATM implied volatility averaged 39.1%. The 30-day expected move averaged 11.2%. IV traded below realized volatility by 253.6% (HV 20d: 292.7%). Max pain ranged from $0.55 to $0.73. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.92.

Notable Days

  • 2011-05-27: Highest Volume — 19,576 contracts
  • 2011-05-19: Largest IV spike — 39.4% change
  • 2011-05-05: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.70$0.66$0.74$0.71$0.73
Max Pain$0.65$0.55$0.73$0.73$0.55
ATM IV39.1%28.2%54.5%50.3%28.2%
Expected Move11.2%8.1%15.6%14.4%8.1%
HV 20d292.7%29.2%813.7%812.2%29.2%
HV 60d469.9%469.5%470.2%470.0%469.5%
Term Structure-0.1%-15.1%17.1%-9.2%5.9%
VWIV41.4%30.5%53.6%51.0%30.5%
Skew 25d1.8%-10.7%17.8%1.4%17.8%
Skew 10d0.6%-15.9%29.9%2.9%29.9%
Call IV 25d42.7%28.1%55.5%48.5%36.2%
Put IV 25d44.4%28.3%54.1%49.9%54.1%
Bid-Ask Spread %24.2516.7233.1318.7433.13
Gamma HHI0.670.530.860.700.59
Net GEX138.7K82.2K324.2K156.5K104.9K
Net DEX-3.2M-4.6M-1.5M-4.5M-4.1M
Net VEX-25.1K-29.5K-22.1K-29.5K-27.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.920.0020.570.1320.57
Total Volume3,319.2389319,5764911,647
Total OI238,981.905165,900268,238263,421189,987

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$0.71$0.7350.3%14.4%812.2%0.0%51.0%1.4%-9.2%156.5K-4.5M-29.5K0.1318.74N/AN/A43655187,33676,085
2011-05-03$0.71$0.7346.7%13.4%812.0%0.0%0.0%-0.5%-7.8%166.5K-4.1M-28.9K0.0024.94N/AN/A2840187,62076,085
2011-05-04$0.70$0.7351.3%14.7%811.7%0.0%0.0%0.2%-7.9%152.1K-4.0M-28.7K0.0022.94N/AN/A5450187,90476,085
2011-05-05$0.68$0.7354.5%15.6%812.7%0.0%53.6%-5.2%-15.1%132.4K-3.1M-27.5K1.6018.24N/AN/A5587188,24276,085
2011-05-06$0.69$0.7348.9%11.1%812.9%0.0%0.0%-3.1%4.4%148.1K-3.1M-26.8K0.0026.64N/AN/A0164188,29676,167
2011-05-09$0.67$0.7341.5%13.1%813.7%0.0%0.0%-2.0%-3.1%115.8K-1.9M-24.2K0.0025.66N/AN/A1530188,29676,167
2011-05-10$0.68$0.7336.6%11.7%812.2%0.0%41.1%-3.4%-4.0%155.6K-2.1M-23.9K0.0028.60N/AN/A930188,44976,162
2011-05-11$0.69$0.7338.8%11.4%34.6%0.0%39.8%-1.9%-3.8%161.9K-2.3M-24.7K0.0024.44N/AN/A1,8110188,44476,162
2011-05-12$0.68$0.7334.3%9.8%34.7%0.0%0.0%4.1%1.3%144.7K-2.1M-23.9K0.0016.72N/AN/A2,4000188,89676,162
2011-05-13$0.67$0.7335.6%10.2%35.0%0.0%0.0%1.3%1.5%113.7K-1.8M-23.0K0.0028.22N/AN/A1090190,45176,162
2011-05-16$0.66$0.7334.6%9.9%35.0%0.0%0.0%-4.8%-3.0%99.8K-1.5M-22.1K12.5017.25N/AN/A44545190,40776,162
2011-05-17$0.67$0.7341.6%11.9%35.2%0.0%43.7%-7.4%-6.3%114.0K-1.5M-22.3K0.0619.14N/AN/A8,231491190,36976,058
2011-05-18$0.69$0.5530.2%8.6%35.3%0.0%0.0%15.0%17.1%167.6K-2.7M-23.8K0.0220.61N/AN/A49111191,32976,238
2011-05-19$0.69$0.5542.0%12.1%35.1%0.0%42.7%0.9%-3.1%171.7K-2.8M-23.2K0.0026.54N/AN/A1,5550190,83376,249
2011-05-20$0.71$0.5538.2%10.9%32.1%0.0%38.3%1.3%0.8%324.2K-3.7M-24.0K0.0924.95N/AN/A17,2311,467191,98976,249
2011-05-23$0.71$0.5537.7%10.8%31.8%0.0%37.7%15.2%5.2%82.2K-3.9M-24.4K0.1524.27N/AN/A2,416355132,18533,715
2011-05-24$0.73$0.5535.9%10.3%32.8%0.0%35.9%15.8%5.0%88.9K-4.3M-24.9K0.1627.67N/AN/A3,158491133,47334,069
2011-05-25$0.74$0.5536.1%10.3%29.6%0.0%0.0%-5.6%5.2%99.1K-4.4M-24.5K0.7725.09N/AN/A862660135,93834,287
2011-05-26$0.74$0.5530.5%8.7%29.5%0.0%30.5%8.8%6.8%101.2K-4.5M-25.0K0.1529.52N/AN/A3,736545135,96534,336
2011-05-27$0.74$0.5528.3%8.1%29.3%0.0%0.0%-10.7%7.4%112.7K-4.6M-25.0K2.2325.94N/AN/A6,06013,516139,03134,495
2011-05-31$0.73$0.5528.2%8.1%29.2%0.0%0.0%17.8%5.9%104.9K-4.1M-27.3K20.5733.13N/AN/A761,571142,16247,825