GEN Options History — January 2012

In January 2012, GEN traded between $0.38 and $0.48. ATM implied volatility averaged 60.9%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded above realized volatility by 8.7% (HV 20d: 52.2%). Max pain ranged from $0.46 to $0.55. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 2.22.

Notable Days

  • 2012-01-20: Highest Volume — 31,800 contracts
  • 2012-01-31: Largest IV spike — 44.2% change
  • 2012-01-10: Highest IV Rank — 35.8%
  • 2012-01-19: Largest Expected Move — 20.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.42$0.38$0.48$0.48$0.39
Max Pain$0.54$0.46$0.55$0.46$0.55
ATM IV60.9%32.8%74.9%68.1%47.3%
Expected Move16.4%9.4%20.8%19.5%13.6%
HV 20d52.2%42.6%62.6%42.6%55.0%
HV 60d52.7%50.1%56.5%50.8%51.0%
IV Rank26.5%7.7%35.8%31.2%17.4%
IV Percentile77.4%13.9%98.0%94.8%52.8%
Term Structure0.6%-29.7%27.5%-10.5%3.9%
VWIV61.6%49.1%83.7%83.7%50.4%
Skew 25d11.4%-36.5%40.8%22.6%-20.1%
Skew 10d42.9%-53.8%82.0%63.8%-23.5%
Call IV 25d58.4%35.1%80.4%72.0%62.9%
Put IV 25d69.7%40.9%111.0%94.6%42.8%
Bid-Ask Spread %13.709.0120.2020.209.01
Gamma HHI0.590.350.780.400.74
Net GEX-731-10.7K5.8K4.9K5.0K
Net DEX933.6K191.4K2.2M457.7K237.0K
Net VEX-3.1K-5.0K-1.5K-5.0K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.220.0010.470.040.57
Total Volume3,869.31131,800113,109
Total OI231,353.9105,529314,694296,601105,802

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$0.48$0.4668.1%19.5%42.6%31.2%83.7%22.6%-10.5%4.9K457.7K-5.0K0.0020.20N/AN/A011235,93660,665
2012-01-04$0.47$0.4668.1%19.5%42.9%31.2%0.0%33.2%-8.9%300706.8K-4.7K0.0013.99N/AN/A027235,93660,567
2012-01-05$0.47$0.4665.0%18.6%42.9%29.2%70.4%35.3%-29.7%-5.4K914.2K-3.9K0.0418.68N/AN/A27311235,93660,556
2012-01-06$0.45$0.5561.1%15.0%43.5%26.6%0.0%1.0%6.6%-7.4K1.2M-3.6K0.0713.10N/AN/A825235,78960,507
2012-01-09$0.43$0.5571.7%18.0%45.7%33.7%64.8%-6.5%-13.3%-2.6K1.3M-3.8K7.6012.32N/AN/A55415235,87160,502
2012-01-10$0.43$0.5574.9%14.5%45.4%35.8%0.0%-6.9%2.7%-7.2K1.4M-2.9K0.0012.79N/AN/A1150235,92560,911
2012-01-11$0.47$0.5564.3%9.7%51.4%28.7%0.0%8.2%13.5%-8.5K769.1K-3.2K2.5614.18N/AN/A235600235,93160,911
2012-01-12$0.45$0.5556.5%16.2%51.2%23.5%50.5%19.8%9.5%-9.8K1.0M-3.2K0.0111.27N/AN/A9495236,07860,856
2012-01-13$0.45$0.5559.1%16.9%51.1%25.2%0.0%18.5%3.7%-9.5K1.2M-3.1K0.0014.70N/AN/A1200236,16560,851
2012-01-17$0.43$0.5562.2%17.8%52.6%27.3%0.0%10.2%4.0%-10.7K1.9M-2.0K0.5715.30N/AN/A5,8913,382236,25360,851
2012-01-18$0.39$0.5560.5%17.3%62.6%26.1%60.3%18.6%3.5%3.3K2.0M-1.5K0.2713.39N/AN/A829224242,11658,947
2012-01-19$0.39$0.5572.5%20.8%61.0%34.1%74.8%40.2%-8.6%3.2K1.9M-1.5K7.6412.60N/AN/A1,84414,089242,19358,773
2012-01-20$0.38$0.5569.6%20.0%60.5%32.2%69.6%40.8%-2.5%-7202.2M-2.5K0.0315.71N/AN/A31,009791243,45871,236
2012-01-23$0.39$0.5562.2%17.8%61.3%27.3%62.8%22.6%3.1%3.5K350.7K-3.2K10.4711.57N/AN/A4855,08482,96425,871
2012-01-24$0.39$0.5557.2%16.4%56.9%24.0%53.5%24.7%12.2%4.9K264.4K-3.0K4.6213.34N/AN/A3551,63683,32422,325
2012-01-25$0.39$0.5557.5%16.5%55.9%24.2%49.2%19.2%0.1%5.1K263.7K-2.9K1.0113.48N/AN/A2,1932,20983,56921,960
2012-01-26$0.39$0.5560.5%17.4%53.5%26.2%49.1%4.9%-6.9%5.6K237.9K-2.9K1.8214.21N/AN/A30054584,35521,453
2012-01-27$0.39$0.5547.4%13.6%53.7%17.4%0.0%-22.4%1.6%5.5K225.3K-2.9K0.0014.96N/AN/A131084,58421,289
2012-01-30$0.40$0.5532.8%9.4%55.1%7.7%0.0%-36.5%27.5%5.8K191.4K-2.8K2.639.24N/AN/A10427384,57321,289
2012-01-31$0.39$0.5547.3%13.6%55.0%17.4%50.4%-20.1%3.9%5.0K237.0K-2.8K0.579.01N/AN/A1,9851,12484,62721,175