GEN Options History — June 2011

In June 2011, GEN traded between $0.68 and $0.74. ATM implied volatility averaged 36.2%, placing in the 29.1% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 10.7% (HV 20d: 25.5%). Max pain ranged from $0.55 to $0.73. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.30.

Notable Days

  • 2011-06-01: Highest Volume — 18,475 contracts
  • 2011-06-23: Largest IV spike — 63.1% change
  • 2011-06-16: Highest IV Rank — 56.7%
  • 2011-06-16: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.70$0.68$0.74$0.72$0.71
Max Pain$0.72$0.55$0.73$0.55$0.73
ATM IV36.2%21.3%48.9%42.0%33.2%
Expected Move10.3%6.1%14.0%12.0%9.5%
HV 20d25.5%22.7%30.0%30.0%24.5%
HV 60d469.5%469.3%469.6%469.4%469.4%
IV Rank29.1%0.0%56.7%36.3%24.7%
IV Percentile36.3%0.0%89.5%49.2%21.7%
Term Structure6.1%-6.8%18.7%-6.8%9.7%
VWIV36.8%24.4%44.7%37.4%24.4%
Skew 25d12.0%-12.1%65.3%-2.2%12.9%
Skew 10d8.6%-20.9%88.9%-4.3%-0.6%
Call IV 25d36.8%20.0%51.2%44.2%36.2%
Put IV 25d48.8%34.7%107.6%42.0%49.1%
Bid-Ask Spread %19.4014.1030.5430.5416.93
Gamma HHI0.510.450.600.560.60
Net GEX81.2K58.3K109.1K91.8K84.6K
Net DEX-3.0M-4.0M-2.3M-3.7M-2.9M
Net VEX-26.3K-29.2K-24.1K-26.8K-24.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.001.780.870.13
Total Volume2,539.227018,47518,47510,920
Total OI206,448.364190,053213,131190,053205,877

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$0.72$0.5542.0%12.0%30.0%0.0%0.0%-2.2%-6.8%91.8K-3.7M-26.8K0.8730.54N/AN/A9,8848,591142,18447,869
2011-06-02$0.71$0.5531.3%9.0%29.7%0.0%0.0%6.9%8.3%92.5K-3.5M-28.7K0.9121.22N/AN/A300273150,62256,351
2011-06-03$0.72$0.7344.9%10.4%27.4%0.0%0.0%1.4%4.9%83.9K-3.4M-28.5K0.2722.54N/AN/A16444150,82456,384
2011-06-06$0.72$0.7337.2%10.7%27.3%0.0%37.4%1.5%4.0%91.4K-3.4M-28.1K0.6020.52N/AN/A911545150,82456,395
2011-06-07$0.72$0.7339.1%10.9%24.0%36.3%37.9%59.1%0.9%94.1K-3.4M-27.7K0.0019.73N/AN/A5730151,27656,940
2011-06-08$0.74$0.7337.7%11.1%23.5%33.2%0.0%-3.0%1.4%98.6K-3.9M-28.9K0.0021.24N/AN/A3710151,68056,940
2011-06-09$0.74$0.7339.3%11.3%23.5%36.6%39.3%-3.0%2.8%109.1K-4.0M-29.2K0.0019.03N/AN/A4800151,51156,940
2011-06-10$0.73$0.7339.9%11.5%23.1%38.0%39.7%-3.3%-1.5%103.3K-3.7M-28.2K1.0019.71N/AN/A109109151,55556,940
2011-06-13$0.70$0.7338.5%11.0%27.0%35.0%0.0%64.2%2.6%86.9K-2.7M-26.4K0.0320.50N/AN/A4,936164151,55557,049
2011-06-14$0.70$0.7337.3%10.7%26.8%32.4%0.0%65.3%2.9%89.6K-2.8M-26.4K0.0817.04N/AN/A4,020305151,78957,104
2011-06-15$0.69$0.7344.1%12.6%28.4%46.6%44.0%-8.8%-3.8%73.3K-2.5M-25.3K0.0020.12N/AN/A0109155,72257,409
2011-06-16$0.68$0.7348.9%14.0%27.3%56.7%44.7%-12.1%-6.7%58.3K-2.4M-25.4K0.0820.52N/AN/A21316155,24757,518
2011-06-17$0.69$0.7341.3%11.8%28.7%40.7%0.0%-6.5%3.1%65.4K-2.9M-26.6K1.7823.69N/AN/A98175155,46057,518
2011-06-20$0.69$0.7338.6%11.1%25.4%35.2%39.2%-4.2%1.1%64.9K-2.4M-25.5K0.0314.10N/AN/A6,202164144,31655,773
2011-06-21$0.69$0.7328.2%8.1%25.4%13.5%24.8%10.8%18.7%69.0K-2.7M-26.1K0.0018.50N/AN/A1,0310148,63155,609
2011-06-22$0.69$0.7321.3%6.1%23.3%0.0%0.0%12.2%18.6%71.8K-2.4M-24.8K0.2214.42N/AN/A491109148,78455,609
2011-06-23$0.69$0.7334.7%9.9%22.9%27.8%0.0%9.9%12.6%69.3K-2.4M-24.5K0.0217.63N/AN/A2,48255148,70255,500
2011-06-24$0.69$0.7329.9%8.6%22.7%17.8%0.0%10.1%14.8%70.3K-2.5M-25.0K0.0015.88N/AN/A1530149,66755,555
2011-06-27$0.68$0.7327.3%7.8%22.7%12.5%0.0%14.1%18.7%68.5K-2.3M-24.2K0.0014.84N/AN/A1,0040149,48255,555
2011-06-28$0.69$0.7329.8%8.6%23.9%17.7%0.0%25.9%18.4%74.7K-2.6M-24.1K0.0018.15N/AN/A8620149,75555,555
2011-06-29$0.69$0.7330.8%8.8%23.2%19.8%0.0%13.7%9.0%75.3K-2.6M-24.3K0.0020.02N/AN/A00150,33355,555
2011-06-30$0.71$0.7333.2%9.5%24.5%24.7%24.4%12.9%9.7%84.6K-2.9M-24.2K0.1316.93N/AN/A9,6221,298150,32255,555