GEN Options History — August 2011

In August 2011, GEN traded between $0.51 and $0.72. ATM implied volatility averaged 57.4%, placing in the 58.8% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded below realized volatility by 1.4% (HV 20d: 58.7%). Max pain ranged from $0.73 to $0.73. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 0.92.

Notable Days

2011-08-31: Highest Volume — 36,633 contracts
2011-08-08: Largest IV spike — 37.5% change
2011-08-08: Highest IV Rank — 100.0%
2011-08-19: Largest Expected Move — 19.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.58	$0.51	$0.72	$0.72	$0.56
Max Pain	$0.73	$0.73	$0.73	$0.73	$0.73
ATM IV	57.4%	36.8%	88.4%	36.8%	52.1%
Expected Move	16.0%	10.6%	19.2%	10.6%	14.9%
HV 20d	58.7%	36.2%	71.5%	36.2%	70.5%
HV 60d	42.5%	29.4%	49.1%	29.4%	49.1%
IV Rank	58.8%	32.2%	100.0%	32.2%	45.9%
IV Percentile	90.1%	43.3%	100.0%	43.3%	87.6%
Term Structure	0.4%	-13.1%	10.6%	2.6%	6.8%
VWIV	53.6%	33.1%	63.7%	49.6%	56.1%
Skew 25d	23.0%	-6.8%	53.7%	-3.0%	21.9%
Skew 10d	38.7%	-5.7%	81.5%	-5.6%	49.1%
Call IV 25d	48.4%	31.4%	60.8%	39.9%	55.2%
Put IV 25d	71.4%	36.9%	104.2%	36.9%	77.1%
Bid-Ask Spread %	22.45	16.59	38.73	22.07	23.16
Gamma HHI	0.43	0.30	0.72	0.72	0.45
Net GEX	35.2K	-18.2K	116.2K	116.2K	43.2K
Net DEX	-521.5K	-3.3M	817.6K	-3.3M	-1.2M
Net VEX	-16.5K	-20.6K	-14.2K	-20.6K	-17.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.92	0.00	11.22	1.23	0.00
Total Volume	6,871.696	338	36,633	1,881	36,633
Total OI	208,904.913	170,083	253,691	208,767	184,707

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2011-08-01	$0.72	$0.73	36.8%	10.6%	36.2%	32.2%	0.0%	-3.0%	2.6%	116.2K	-3.3M	-20.6K	1.23	22.07	N/A	N/A	845	1,036	152,945	55,822
2011-08-02	$0.68	$0.73	43.5%	12.5%	40.7%	46.0%	49.6%	-6.3%	-10.2%	83.2K	-2.4M	-20.3K	0.33	19.57	N/A	N/A	693	229	153,453	55,445
2011-08-03	$0.69	$0.73	44.8%	12.9%	40.7%	48.7%	51.3%	-6.8%	-13.1%	84.4K	-2.3M	-19.6K	0.11	16.59	N/A	N/A	2,493	273	153,480	55,675
2011-08-04	$0.65	$0.73	40.9%	11.7%	40.7%	40.6%	44.0%	0.4%	0.3%	55.1K	-1.3M	-17.9K	0.44	18.92	N/A	N/A	900	393	151,402	55,947
2011-08-05	$0.63	$0.73	51.3%	15.8%	38.0%	62.0%	33.1%	24.5%	0.5%	46.7K	-1.0M	-17.7K	2.65	38.73	N/A	N/A	5,302	14,056	151,293	56,253
2011-08-08	$0.57	$0.73	70.5%	19.0%	52.2%	100.0%	0.0%	35.2%	-9.0%	18.3K	599.0K	-14.8K	11.22	35.67	N/A	N/A	824	9,240	151,756	67,347
2011-08-09	$0.57	$0.73	71.2%	16.7%	53.0%	100.0%	0.0%	41.7%	0.8%	23.4K	257.6K	-14.2K	0.10	31.23	N/A	N/A	12,333	1,255	151,751	67,931
2011-08-10	$0.54	$0.73	88.4%	18.7%	54.5%	100.0%	0.0%	25.0%	-8.2%	15.7K	594.4K	-15.4K	0.49	28.34	N/A	N/A	6,060	2,940	160,838	68,656
2011-08-11	$0.57	$0.73	63.7%	18.3%	58.7%	63.2%	63.7%	28.5%	-0.6%	8.6K	341.9K	-16.6K	0.29	21.10	N/A	N/A	1,402	404	165,758	68,422
2011-08-12	$0.55	$0.73	56.5%	16.2%	57.4%	52.5%	0.0%	23.1%	1.3%	17.2K	556.6K	-15.7K	1.36	20.20	N/A	N/A	273	371	166,565	68,471
2011-08-15	$0.59	$0.73	63.0%	18.1%	65.2%	62.2%	63.0%	40.2%	0.1%	27.9K	46.2K	-16.6K	0.32	19.98	N/A	N/A	256	82	166,789	68,744
2011-08-16	$0.58	$0.73	54.8%	15.7%	64.2%	49.9%	0.0%	35.1%	1.0%	22.3K	130.1K	-16.5K	0.33	16.65	N/A	N/A	1,675	545	167,007	68,738
2011-08-17	$0.57	$0.73	55.3%	15.8%	64.5%	50.6%	0.0%	24.1%	-1.0%	10.0K	380.4K	-15.3K	0.34	20.18	N/A	N/A	1,293	442	167,405	68,678
2011-08-18	$0.54	$0.73	62.2%	17.8%	65.8%	60.9%	0.0%	21.8%	-2.4%	-1.9K	817.6K	-14.9K	0.05	19.29	N/A	N/A	23,940	1,167	168,305	68,635
2011-08-19	$0.54	$0.73	66.9%	19.2%	66.5%	68.0%	0.0%	23.4%	-2.4%	-18.2K	429.4K	-16.8K	0.31	18.77	N/A	N/A	4,642	1,462	184,315	69,376
2011-08-22	$0.52	$0.73	57.7%	16.5%	65.5%	54.2%	57.9%	21.8%	4.5%	33.7K	-427.4K	-14.3K	0.13	19.42	N/A	N/A	4,762	627	129,976	40,107
2011-08-23	$0.54	$0.73	50.9%	14.6%	68.4%	44.0%	50.9%	53.7%	8.4%	37.8K	-689.3K	-15.6K	0.47	19.43	N/A	N/A	731	344	133,664	40,429
2011-08-24	$0.53	$0.73	52.6%	15.1%	68.3%	46.7%	52.7%	24.7%	10.6%	37.1K	-637.5K	-15.5K	0.22	18.63	N/A	N/A	453	98	133,833	40,773
2011-08-25	$0.51	$0.73	62.4%	17.9%	68.6%	61.2%	62.4%	20.6%	2.7%	33.7K	-445.1K	-15.0K	0.46	24.50	N/A	N/A	6,556	3,005	134,285	40,871
2011-08-26	$0.52	$0.73	62.7%	18.0%	69.8%	61.7%	0.0%	23.7%	1.6%	34.8K	-686.1K	-16.1K	0.00	19.62	N/A	N/A	1,773	0	137,787	43,865
2011-08-29	$0.54	$0.73	54.9%	15.7%	71.5%	50.1%	54.9%	27.7%	7.9%	39.3K	-898.4K	-17.2K	0.04	22.56	N/A	N/A	4,604	164	138,976	43,865
2011-08-30	$0.55	$0.73	56.5%	16.2%	70.0%	52.4%	56.5%	28.6%	6.8%	41.4K	-890.0K	-16.4K	0.35	21.69	N/A	N/A	1,091	382	140,444	44,029
2011-08-31	$0.56	$0.73	52.1%	14.9%	70.5%	45.9%	56.1%	21.9%	6.8%	43.2K	-1.2M	-17.4K	0.00	23.16	N/A	N/A	36,622	11	140,618	44,089