GEN Options History — December 2011

In December 2011, GEN traded between $0.43 and $0.50. ATM implied volatility averaged 71.4%, placing in the 39.5% IV rank vs the trailing year. The 30-day expected move averaged 18.6%. IV traded above realized volatility by 29.5% (HV 20d: 41.9%). Max pain ranged from $0.46 to $0.55. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 16.66.

Notable Days

  • 2011-12-02: Highest Volume — 11,007 contracts
  • 2011-12-12: Largest IV spike — 167.8% change
  • 2011-12-12: Highest IV Rank — 100.0%
  • 2011-12-09: Largest Expected Move — 22.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.47$0.43$0.50$0.50$0.48
Max Pain$0.47$0.46$0.55$0.55$0.46
ATM IV71.4%34.1%171.2%34.1%65.4%
Expected Move18.6%9.8%22.4%9.8%18.7%
HV 20d41.9%34.5%55.5%55.5%43.2%
HV 60d51.4%50.8%52.3%51.1%51.0%
IV Rank39.5%16.3%100.0%16.3%29.4%
IV Percentile80.0%19.2%100.0%19.2%90.9%
Term Structure-1.3%-21.5%43.4%43.4%-10.6%
VWIV61.6%36.8%76.4%36.8%76.4%
Skew 25d25.4%16.8%31.4%31.4%19.1%
Skew 10d47.5%36.8%59.2%51.3%58.6%
Call IV 25d59.9%43.5%66.7%43.5%66.1%
Put IV 25d85.3%74.9%94.1%74.9%85.2%
Bid-Ask Spread %16.7211.6921.5717.2420.86
Gamma HHI0.530.400.740.740.43
Net GEX22.0K-2.2K60.5K60.5K8.2K
Net DEX423.4K-734.9K1.2M-734.9K359.6K
Net VEX-7.7K-13.0K-4.9K-13.0K-5.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio16.660.00198.670.950.05
Total Volume2,625.429011,0074,494114
Total OI291,794.619279,813296,673279,813296,487

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$0.50$0.5534.1%9.8%55.5%16.3%36.8%31.4%43.4%60.5K-734.9K-13.0K0.9517.24N/AN/A2,3072,187233,74946,064
2011-12-02$0.49$0.5538.3%11.0%52.1%21.6%39.7%22.4%40.7%54.7K-453.5K-12.3K2.2115.66N/AN/A3,4317,576235,92548,251
2011-12-05$0.49$0.4644.2%21.6%49.9%29.2%0.0%30.3%-9.7%49.1K-261.3K-11.9K0.0017.36N/AN/A2450236,18755,015
2011-12-06$0.49$0.4644.7%19.9%49.0%29.8%0.0%26.7%0.2%44.4K-136.2K-10.9K0.0018.55N/AN/A1150236,34055,015
2011-12-07$0.48$0.4643.5%21.5%41.9%28.3%0.0%29.2%-6.1%44.0K-69.6K-10.9K0.0019.30N/AN/A00236,45555,015
2011-12-08$0.47$0.4660.6%21.3%35.9%50.1%74.3%27.7%-7.8%36.2K200.1K-9.8K0.0018.81N/AN/A5450236,45555,015
2011-12-09$0.48$0.4657.3%22.4%34.5%45.8%0.0%29.6%-11.0%39.8K104.5K-10.1K0.0012.78N/AN/A50236,72755,015
2011-12-12$0.45$0.46153.4%19.6%37.5%100.0%68.5%25.7%-10.0%21.3K632.7K-7.2K0.6011.89N/AN/A420251236,68455,015
2011-12-13$0.44$0.46139.1%20.9%39.0%89.2%50.4%23.4%-6.2%14.5K935.2K-6.1K0.3513.98N/AN/A4,0471,413237,00555,015
2011-12-14$0.45$0.46171.2%19.0%38.1%100.0%66.4%25.2%-4.9%11.6K980.9K-5.8K198.6714.48N/AN/A163,251236,52056,242
2011-12-15$0.45$0.4667.5%19.3%38.5%30.8%0.0%26.1%-21.5%12.4K972.2K-6.3K80.0015.76N/AN/A11873236,52059,307
2011-12-16$0.45$0.4664.0%18.3%38.6%28.5%63.0%26.2%2.0%8.7K1.1M-6.1K25.6311.69N/AN/A872,236236,52060,153
2011-12-19$0.43$0.4665.4%18.8%40.3%29.5%65.4%27.1%-0.1%2.3K1.1M-4.9K7.6313.97N/AN/A9657,364228,86254,093
2011-12-20$0.44$0.4662.4%17.9%37.8%27.4%62.4%28.5%7.5%-2.2K1.2M-5.3K1.0314.87N/AN/A3,9164,015229,41859,285
2011-12-21$0.44$0.4663.4%18.2%36.2%28.1%63.4%29.7%7.8%5731.1M-5.4K1.0015.13N/AN/A382382232,83859,285
2011-12-22$0.47$0.4660.2%17.3%41.8%26.0%60.2%26.4%-7.4%856805.9K-5.3K0.2320.30N/AN/A5,3731,260233,22059,285
2011-12-23$0.48$0.4664.0%18.4%42.4%28.5%65.6%27.2%-6.2%9.6K514.1K-6.4K0.5616.84N/AN/A9855235,56560,180
2011-12-27$0.49$0.4666.8%19.1%43.3%30.3%66.8%16.8%-9.8%16.4K159.2K-6.4K4.4821.57N/AN/A2401,075235,56560,180
2011-12-28$0.49$0.4665.2%18.7%43.2%29.3%65.1%17.6%-5.6%12.8K271.9K-6.1K1.0619.54N/AN/A169180235,73560,889
2011-12-29$0.49$0.4669.6%20.0%41.6%32.2%76.4%17.5%-11.6%16.7K172.3K-6.3K8.7020.53N/AN/A55475235,77360,818
2011-12-30$0.48$0.4665.4%18.7%43.2%29.4%0.0%19.1%-10.6%8.2K359.6K-5.6K0.0520.86N/AN/A1095235,82760,660