GEN Options History — September 2011

In September 2011, GEN traded between $0.51 and $0.59. ATM implied volatility averaged 61.4%, placing in the 53.7% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded above realized volatility by 16.7% (HV 20d: 44.7%). 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 15 of 21 days. Put/call ratio averaged 1.47.

Notable Days

  • 2011-09-23: Highest Volume — 11,024 contracts
  • 2011-09-13: Largest IV drop — 49.3% change
  • 2011-09-12: Highest IV Rank — 100.0%
  • 2011-09-12: Largest Expected Move — 20.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.55$0.51$0.59$0.57$0.51
Max Pain$0.57$0.55$0.73$0.73$0.55
ATM IV61.4%50.6%99.9%55.1%57.0%
Expected Move17.4%14.6%20.3%15.8%16.3%
HV 20d44.7%34.2%69.0%68.9%40.0%
HV 60d49.7%48.8%51.7%49.2%50.8%
IV Rank53.7%37.3%100.0%50.3%45.4%
IV Percentile90.9%78.8%100.0%90.9%87.9%
Term Structure3.6%-11.1%17.2%11.8%10.3%
VWIV62.5%54.4%71.1%68.4%59.8%
Skew 25d29.5%14.2%73.6%43.4%19.3%
Skew 10d44.0%19.1%104.4%102.1%19.2%
Call IV 25d52.7%39.4%71.0%52.9%60.9%
Put IV 25d82.2%59.1%124.9%96.3%80.2%
Bid-Ask Spread %25.9216.8334.1525.7516.83
Gamma HHI0.570.510.630.530.62
Net GEX63.3K50.0K79.9K58.0K52.1K
Net DEX-1.7M-2.6M-867.9K-1.8M-1.0M
Net VEX-20.8K-24.0K-17.2K-21.4K-17.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.470.0018.620.000.06
Total Volume3,097.333011,0245,9670
Total OI233,015209,045249,447209,045249,447

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$0.57$0.7355.1%15.8%68.9%50.3%0.0%43.4%11.8%58.0K-1.8M-21.4K0.0025.75N/AN/A5,9670164,94544,100
2011-09-02$0.56$0.7354.6%15.6%69.0%49.6%0.0%16.7%3.8%57.5K-1.7M-21.5K0.0023.42N/AN/A1,7560168,61644,100
2011-09-06$0.57$0.5568.0%19.9%57.2%69.6%68.4%24.6%-4.8%58.5K-1.8M-21.1K0.0028.25N/AN/A10,7510170,25844,100
2011-09-07$0.56$0.5560.9%17.6%57.1%59.1%61.4%20.6%3.6%67.7K-2.0M-21.3K0.0022.99N/AN/A600180,74744,100
2011-09-08$0.57$0.5574.9%17.5%53.4%79.8%61.0%22.1%3.9%68.3K-2.0M-22.3K0.0823.86N/AN/A6,698545180,80244,100
2011-09-09$0.56$0.5567.6%19.8%51.0%69.0%0.0%24.4%-3.2%68.8K-2.1M-22.8K0.0022.52N/AN/A1090186,93844,645
2011-09-12$0.57$0.5599.9%20.3%49.9%100.0%70.8%51.2%-4.0%69.7K-2.1M-22.0K0.0024.76N/AN/A220187,04744,645
2011-09-13$0.58$0.5550.6%19.8%42.7%37.3%0.0%28.8%-3.4%72.2K-2.6M-23.9K0.0026.40N/AN/A2,3450187,05844,645
2011-09-14$0.59$0.5555.9%18.1%42.4%44.0%0.0%18.3%2.6%75.4K-2.6M-24.0K0.0027.79N/AN/A1,6910189,21844,645
2011-09-15$0.58$0.5564.5%18.5%41.2%55.0%71.1%18.6%-11.1%78.3K-2.6M-23.2K0.0325.22N/AN/A1,83355190,90944,645
2011-09-16$0.58$0.5558.6%16.8%35.1%47.5%0.0%19.7%4.9%79.9K-2.4M-23.2K1.3325.74N/AN/A327436192,29544,645
2011-09-19$0.57$0.5560.9%17.5%35.8%50.4%63.2%46.2%-1.0%73.2K-1.9M-20.3K0.1725.29N/AN/A21838189,31641,187
2011-09-20$0.55$0.5556.6%16.2%36.6%44.9%56.6%23.0%4.2%70.6K-1.8M-19.9K18.6228.49N/AN/A3165,891189,53541,225
2011-09-21$0.54$0.5553.4%15.3%34.2%40.8%0.0%47.3%12.0%57.0K-1.4M-19.3K0.0931.35N/AN/A1,227109189,69846,947
2011-09-22$0.52$0.5554.6%15.6%37.7%42.4%54.4%17.7%8.1%50.0K-867.9K-17.2K8.9134.15N/AN/A1851,653189,82447,056
2011-09-23$0.51$0.5557.9%16.6%35.2%46.5%58.4%15.7%5.0%51.2K-953.8K-18.1K0.0029.76N/AN/A11,0240189,79148,709
2011-09-26$0.54$0.5551.1%14.6%38.7%37.9%0.0%73.6%17.2%53.9K-1.3M-19.7K0.0030.39N/AN/A4090196,87648,709
2011-09-27$0.54$0.5559.7%17.1%36.2%48.9%59.8%23.3%6.8%58.1K-1.4M-19.7K0.0030.30N/AN/A7,3800196,87648,709
2011-09-28$0.52$0.5567.1%19.2%38.0%58.3%0.0%14.2%2.2%52.7K-1.1M-18.6K0.0021.69N/AN/A1,0910196,87648,682
2011-09-29$0.53$0.5560.8%17.4%39.0%50.3%0.0%50.3%6.7%56.7K-1.1M-18.8K0.0619.32N/AN/A2,744164197,96748,682
2011-09-30$0.51$0.5557.0%16.3%40.0%45.4%0.0%19.3%10.3%52.1K-1.0M-17.8K0.0016.83N/AN/A00200,71148,736