GEN Options History — July 2011

In July 2011, GEN traded between $0.69 and $0.76. ATM implied volatility averaged 34.3%, placing in the 26.9% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 1.4% (HV 20d: 32.9%). Max pain ranged from $0.73 to $0.73. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 5.37.

Notable Days

  • 2011-07-25: Highest Volume — 4,494 contracts
  • 2011-07-11: Largest IV spike — 75.0% change
  • 2011-07-11: Highest IV Rank — 61.7%
  • 2011-07-06: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.73$0.69$0.76$0.71$0.71
Max Pain$0.73$0.73$0.73$0.73$0.73
ATM IV34.3%26.5%51.1%26.5%37.1%
Expected Move9.8%7.6%11.5%7.6%10.6%
HV 20d32.9%24.7%36.6%24.7%35.9%
HV 60d118.3%29.2%469.6%469.4%29.9%
IV Rank26.9%10.8%61.7%10.8%32.7%
IV Percentile31.3%6.3%94.0%6.3%44.8%
Term Structure3.9%-4.1%11.5%9.3%-0.0%
VWIV34.0%29.9%40.3%40.3%36.3%
Skew 25d27.1%1.6%82.3%15.5%3.8%
Skew 10d45.3%1.8%117.6%1.8%4.6%
Call IV 25d33.3%28.8%39.4%31.3%39.0%
Put IV 25d60.3%38.5%120.4%46.8%42.8%
Bid-Ask Spread %20.5414.4726.4520.0626.45
Gamma HHI0.650.570.710.650.70
Net GEX106.0K78.0K123.8K100.3K105.6K
Net DEX-3.8M-4.7M-2.6M-3.2M-3.1M
Net VEX-23.0K-24.5K-21.3K-24.5K-21.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.370.0045.000.050.10
Total Volume947.85224,494605714
Total OI206,626.3205,134208,702208,702208,380

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$0.71$0.7326.5%7.6%24.7%10.8%0.0%15.5%9.3%100.3K-3.2M-24.5K0.0520.06N/AN/A57827154,43554,267
2011-07-05$0.69$0.7333.5%10.9%26.3%25.3%0.0%2.9%0.8%81.9K-2.8M-23.6K6.6717.52N/AN/A1641,091151,39154,278
2011-07-06$0.69$0.7328.7%11.5%26.3%15.3%40.3%1.6%1.3%78.0K-2.6M-23.2K0.0018.06N/AN/A2130151,33654,824
2011-07-07$0.73$0.7334.4%8.9%32.6%27.2%31.2%53.7%6.1%103.5K-3.6M-23.6K0.0523.13N/AN/A2,476125151,21654,785
2011-07-08$0.76$0.7329.2%10.0%34.8%16.4%34.9%42.4%3.7%105.9K-4.7M-24.4K0.3122.26N/AN/A1,745545151,37554,813
2011-07-11$0.74$0.7351.1%10.1%36.0%61.7%35.3%9.5%2.3%101.9K-4.1M-24.2K0.1817.93N/AN/A1,222218151,66954,447
2011-07-12$0.73$0.7329.9%9.6%32.8%17.8%0.0%9.0%3.1%105.9K-3.9M-23.5K0.0014.47N/AN/A0218152,11154,447
2011-07-13$0.74$0.7342.8%10.2%32.9%44.5%0.0%10.5%3.8%105.7K-4.3M-24.0K0.0020.01N/AN/A2730152,11154,578
2011-07-14$0.73$0.7336.8%10.5%31.3%32.1%0.0%10.0%0.2%102.4K-4.0M-23.8K0.0018.71N/AN/A220151,94754,578
2011-07-15$0.75$0.7336.3%10.4%31.8%31.1%36.3%48.4%4.6%109.4K-4.5M-24.2K0.0019.81N/AN/A4960151,95354,578
2011-07-18$0.73$0.7333.9%9.7%33.2%26.0%33.9%61.1%2.6%106.8K-3.8M-22.8K0.0821.32N/AN/A72555151,12954,005
2011-07-19$0.74$0.7331.2%8.9%33.5%20.4%31.2%52.4%7.1%115.4K-4.2M-23.1K1.0515.87N/AN/A600633151,40254,044
2011-07-20$0.73$0.7332.2%9.2%34.3%22.7%32.3%9.8%11.5%112.7K-3.9M-22.6K1.0225.26N/AN/A218224151,55554,442
2011-07-21$0.74$0.7329.9%8.6%34.3%17.7%29.9%9.6%9.3%118.8K-3.9M-22.3K0.0020.44N/AN/A3600151,49554,496
2011-07-22$0.74$0.7333.3%9.5%34.3%24.8%33.3%62.5%6.4%113.2K-3.8M-22.3K8.5022.64N/AN/A22185151,39654,496
2011-07-25$0.75$0.7330.9%8.9%34.7%20.0%30.9%50.2%7.0%123.8K-4.4M-21.8K0.0822.75N/AN/A4,156338151,40254,682
2011-07-26$0.74$0.7332.8%9.4%35.6%23.9%31.1%3.3%4.4%119.1K-3.9M-21.9K45.0020.31N/AN/A16736152,66754,965
2011-07-27$0.72$0.7339.3%11.3%36.6%37.3%39.2%3.5%-4.1%103.1K-3.3M-21.6K39.0019.64N/AN/A5213152,66255,702
2011-07-28$0.72$0.7336.3%10.4%36.6%31.0%36.3%82.3%-0.6%107.2K-3.2M-21.3K0.0024.24N/AN/A3440152,66755,800
2011-07-29$0.71$0.7337.1%10.6%35.9%32.7%0.0%3.8%-0.0%105.6K-3.1M-21.4K0.1026.45N/AN/A64965152,58055,800