GEN Options History — October 2011

In October 2011, GEN traded between $0.48 and $0.57. ATM implied volatility averaged 57.0%, placing in the 45.4% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded above realized volatility by 10.4% (HV 20d: 46.6%). 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 1.64.

Notable Days

  • 2011-10-11: Highest Volume — 12,366 contracts
  • 2011-10-12: Largest IV spike — 37.2% change
  • 2011-10-13: Highest IV Rank — 65.4%
  • 2011-10-13: Largest Expected Move — 20.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.51$0.48$0.57$0.49$0.56
Max Pain$0.70$0.55$0.73$0.55$0.73
ATM IV57.0%40.2%72.7%40.2%63.1%
Expected Move17.4%11.5%20.8%11.5%18.1%
HV 20d46.6%41.6%52.1%41.9%47.4%
HV 60d52.4%50.6%55.1%50.7%54.1%
IV Rank45.4%24.0%65.4%24.0%53.2%
IV Percentile83.0%50.0%98.6%50.0%92.5%
Term Structure7.7%-7.1%39.5%29.1%0.3%
VWIV59.0%35.3%70.8%35.3%63.1%
Skew 25d21.6%-5.7%73.9%23.0%21.4%
Skew 10d33.5%-3.5%108.9%41.7%36.8%
Call IV 25d58.0%47.2%67.5%55.1%56.1%
Put IV 25d79.7%58.7%130.8%78.0%77.4%
Bid-Ask Spread %20.3016.3225.1517.6220.44
Gamma HHI0.630.590.680.620.65
Net GEX64.5K46.5K99.3K48.2K95.9K
Net DEX-920.2K-2.2M-335.1K-593.4K-1.9M
Net VEX-15.8K-18.2K-13.5K-16.0K-16.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.640.0024.4424.440.01
Total Volume3,143.048012,3666,2455,602
Total OI260,887.952247,953275,520249,447267,535

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$0.49$0.5540.2%11.5%41.9%24.0%35.3%23.0%29.1%48.2K-593.4K-16.0K24.4417.62N/AN/A2456,000200,71148,736
2011-10-04$0.49$0.5548.2%13.8%41.6%34.2%51.7%36.9%28.0%46.8K-398.0K-14.7K4.4921.10N/AN/A213955200,71147,242
2011-10-05$0.48$0.5552.7%15.1%42.2%40.0%54.0%25.1%25.2%46.5K-418.4K-14.4K0.1218.80N/AN/A2,187273200,76547,640
2011-10-06$0.49$0.5544.1%12.6%42.9%29.0%0.0%42.3%39.5%50.2K-524.1K-15.7K0.0719.54N/AN/A1,511109202,23347,367
2011-10-07$0.50$0.7347.8%20.1%43.6%33.7%0.0%-5.7%0.3%49.4K-444.9K-14.9K0.0019.60N/AN/A055201,81847,476
2011-10-10$0.50$0.7347.9%19.3%43.3%33.8%0.0%-1.7%-1.0%53.0K-551.7K-14.5K0.0018.17N/AN/A6820201,81847,531
2011-10-11$0.52$0.7345.9%20.3%43.8%31.4%70.8%4.9%2.8%55.3K-975.0K-16.9K0.0219.83N/AN/A12,093273202,15647,531
2011-10-12$0.52$0.7363.0%20.5%44.2%53.1%0.0%11.6%-3.3%62.9K-1.1M-16.7K0.0017.99N/AN/A1360212,29147,749
2011-10-13$0.49$0.7372.7%20.8%47.9%65.4%0.0%3.8%-7.1%53.7K-335.1K-13.5K0.0022.37N/AN/A00212,18247,749
2011-10-14$0.51$0.7360.5%17.3%50.1%49.9%60.5%1.5%7.4%57.8K-626.0K-15.1K1.0017.99N/AN/A540540212,18247,749
2011-10-17$0.50$0.7363.2%18.1%49.9%53.4%61.6%13.8%-2.7%57.8K-394.1K-13.5K0.0216.32N/AN/A10,713218212,72248,289
2011-10-18$0.52$0.7362.7%18.0%49.4%52.8%62.8%18.1%5.0%65.8K-923.2K-16.6K0.0323.36N/AN/A4,467125222,64948,049
2011-10-19$0.51$0.7365.3%18.7%49.6%55.9%65.4%14.1%3.6%63.7K-804.1K-16.3K0.3717.78N/AN/A496185226,89848,049
2011-10-20$0.50$0.7360.5%17.3%46.7%49.9%60.5%11.0%8.2%63.6K-608.9K-14.9K0.3024.71N/AN/A725218227,19348,049
2011-10-21$0.52$0.7355.1%15.8%48.1%43.1%55.1%68.8%18.3%68.7K-979.2K-17.0K0.1524.27N/AN/A4,025589227,59647,924
2011-10-24$0.54$0.7366.8%19.1%45.8%57.9%66.8%16.9%-1.1%78.3K-1.6M-17.9K0.0016.43N/AN/A2,8470222,63842,218
2011-10-25$0.51$0.7359.7%17.1%49.0%48.9%59.9%19.8%6.0%71.2K-1.0M-15.1K0.0125.15N/AN/A2,38922223,44042,218
2011-10-26$0.53$0.7359.7%17.1%49.9%48.9%0.0%73.9%0.7%76.2K-1.3M-16.0K0.0019.69N/AN/A4910223,56042,218
2011-10-27$0.56$0.7357.4%16.4%52.1%45.9%57.4%19.4%6.5%89.8K-1.8M-17.6K0.0324.03N/AN/A3,305115223,88742,218
2011-10-28$0.57$0.7360.0%17.2%49.5%49.3%59.9%35.4%-3.3%99.3K-2.2M-18.2K0.0821.11N/AN/A3,404256225,44242,218
2011-10-31$0.56$0.7363.1%18.1%47.4%53.2%63.1%21.4%0.3%95.9K-1.9M-16.9K0.0120.44N/AN/A5,54260225,44242,093