GEN Options History — November 2011

In November 2011, GEN traded between $0.47 and $0.55. ATM implied volatility averaged 57.5%, placing in the 46.1% IV rank vs the trailing year. The 30-day expected move averaged 16.6%. IV traded below realized volatility by 5.5% (HV 20d: 63.0%). Max pain ranged from $0.18 to $0.73. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 8.51.

Notable Days

  • 2011-11-15: Highest Volume — 18,960 contracts
  • 2011-11-10: Largest IV spike — 27.2% change
  • 2011-11-07: Highest IV Rank — 66.1%
  • 2011-11-15: Largest Expected Move — 19.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.50$0.47$0.55$0.52$0.50
Max Pain$0.52$0.18$0.73$0.73$0.55
ATM IV57.5%33.1%73.3%67.0%33.1%
Expected Move16.6%9.5%19.7%19.2%9.5%
HV 20d63.0%55.2%69.2%56.2%55.7%
HV 60d51.3%50.4%52.7%51.7%51.1%
IV Rank46.1%15.1%66.1%58.2%15.1%
IV Percentile77.0%16.1%98.7%95.6%16.1%
Term Structure9.2%-18.0%43.1%1.0%43.1%
VWIV55.7%35.7%68.2%64.7%35.7%
Skew 25d16.1%1.3%54.1%25.4%54.1%
Skew 10d21.8%1.2%78.9%36.1%78.9%
Call IV 25d59.0%41.8%71.1%65.8%42.2%
Put IV 25d75.1%62.8%96.4%91.2%96.4%
Bid-Ask Spread %23.6813.5443.2128.4243.21
Gamma HHI0.640.570.750.600.74
Net GEX62.1K46.5K79.3K78.2K58.2K
Net DEX-638.5K-1.4M23.1K-1.2M-638.4K
Net VEX-13.5K-18.0K-10.3K-15.4K-12.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.510.0070.270.002.06
Total Volume4,814.571018,9601,369267
Total OI284,067.952257,994310,309271,904279,638

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$0.52$0.7367.0%19.2%56.2%58.2%0.0%25.4%1.0%78.2K-1.2M-15.4K0.0028.42N/AN/A1,3690229,81142,093
2011-11-02$0.52$0.7364.7%18.5%55.2%55.2%64.7%17.5%-1.7%79.3K-1.2M-14.4K66.9724.97N/AN/A21314,247230,35142,093
2011-11-03$0.55$0.7364.6%18.5%57.4%55.2%0.0%29.9%4.3%70.4K-1.4M-18.0K0.6021.08N/AN/A382229230,50454,982
2011-11-04$0.52$0.5568.8%18.4%60.3%60.4%0.0%12.0%0.4%67.3K-1.0M-16.1K0.0023.29N/AN/A022230,82554,431
2011-11-07$0.51$0.5573.3%17.7%61.2%66.1%61.9%8.8%2.7%61.7K-659.4K-14.7K0.0021.83N/AN/A1,0420230,82554,453
2011-11-08$0.54$0.5559.4%18.4%65.0%48.5%0.0%10.5%-18.0%61.9K-925.3K-14.4K0.0121.88N/AN/A8,575120231,35554,453
2011-11-09$0.51$0.5546.9%18.2%69.2%32.5%63.5%9.0%-0.8%56.3K-296.2K-13.9K0.0024.30N/AN/A6,9160239,25354,573
2011-11-10$0.49$0.5559.6%17.1%67.1%48.8%0.0%4.2%0.6%57.2K23.1K-12.1K0.0230.12N/AN/A5,225120240,19154,573
2011-11-11$0.50$0.5568.0%19.5%66.5%59.4%68.2%3.5%1.2%59.7K-394.3K-13.9K0.0024.27N/AN/A3,4420242,10054,453
2011-11-14$0.49$0.5558.2%16.7%66.7%46.9%60.4%7.4%8.7%68.6K-279.8K-12.3K0.0030.37N/AN/A1640243,82951,475
2011-11-15$0.51$0.5568.6%19.7%66.7%60.2%0.0%1.3%1.1%59.2K-519.2K-13.2K1.0023.15N/AN/A9,4699,491243,99351,475
2011-11-16$0.51$0.5561.9%17.7%66.4%51.7%0.0%7.2%4.3%63.7K-426.6K-14.8K0.0023.21N/AN/A00251,66258,647
2011-11-17$0.50$0.5560.5%17.3%66.6%49.9%60.5%8.1%7.4%70.9K-326.0K-14.2K0.0026.71N/AN/A5,70022248,93555,920
2011-11-18$0.51$0.5558.0%16.6%65.7%46.6%0.0%9.4%3.9%72.5K-236.3K-13.9K0.0926.10N/AN/A62255253,79555,942
2011-11-21$0.48$0.5553.3%15.3%67.1%40.8%59.6%10.4%5.8%65.1K-943.7K-12.3K0.1020.32N/AN/A2,029213228,21829,918
2011-11-22$0.47$0.5563.7%18.3%66.0%53.9%0.0%14.0%2.6%52.3K-578.4K-10.3K0.0017.16N/AN/A6380229,58229,973
2011-11-23$0.47$0.1853.2%15.3%63.9%40.6%45.9%25.3%31.0%57.9K-956.4K-11.6K70.2717.00N/AN/A26218,398230,01827,976
2011-11-25$0.47$0.1848.8%14.0%60.3%35.0%0.0%11.1%25.7%47.2K-523.6K-12.1K0.0013.54N/AN/A00230,20941,525
2011-11-28$0.48$0.1836.4%10.4%60.2%19.3%36.4%29.0%33.3%46.5K-460.4K-11.1K0.9621.71N/AN/A6,0165,793230,20941,525
2011-11-29$0.48$0.5539.5%11.3%60.2%23.2%0.0%39.6%37.3%50.6K-438.7K-12.2K11.0014.67N/AN/A560233,69545,949
2011-11-30$0.50$0.5533.1%9.5%55.7%15.1%35.7%54.1%43.1%58.2K-638.4K-12.5K2.0643.21N/AN/A87180233,68945,949