GEN Options History — February 2012

In February 2012, GEN traded between $0.38 and $0.45. ATM implied volatility averaged 50.2%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded above realized volatility by 4.8% (HV 20d: 45.4%). Max pain ranged from $0.37 to $0.55. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.67.

Notable Days

  • 2012-02-29: Highest Volume — 26,422 contracts
  • 2012-02-16: Largest IV spike — 47.5% change
  • 2012-02-16: Highest IV Rank — 32.4%
  • 2012-02-16: Largest Expected Move — 20.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.42$0.38$0.45$0.38$0.45
Max Pain$0.38$0.37$0.55$0.55$0.37
ATM IV50.2%31.6%69.8%51.7%50.8%
Expected Move15.1%11.5%20.0%14.8%14.6%
HV 20d45.4%32.7%58.7%55.5%45.9%
HV 60d46.9%45.1%50.0%50.0%48.8%
IV Rank19.3%6.9%32.4%20.3%19.7%
IV Percentile55.3%12.7%94.8%59.5%54.4%
Term Structure1.3%-28.9%19.7%-6.2%-10.2%
VWIV55.6%34.5%73.4%66.9%49.4%
Skew 25d1.6%-57.6%26.5%-57.6%4.5%
Skew 10d27.9%-68.9%75.3%-68.9%4.9%
Call IV 25d51.9%42.4%94.1%94.1%48.0%
Put IV 25d53.5%29.9%74.3%36.6%52.5%
Bid-Ask Spread %21.9311.4756.4115.1356.41
Gamma HHI0.660.530.830.660.76
Net GEX10.7K6.1K14.1K6.1K13.3K
Net DEX-181.5K-501.5K181.9K181.9K-455.1K
Net VEX-3.3K-4.3K-2.7K-2.7K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.670.0021.023.3321.02
Total Volume3,121.1512026,42270926,422
Total OI91,837.351,790113,411106,56564,304

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$0.38$0.5551.7%14.8%55.5%20.3%66.9%-57.6%-6.2%6.1K181.9K-2.7K3.3315.13N/AN/A16454586,49820,067
2012-02-02$0.39$0.5541.8%12.0%56.8%13.7%0.0%-44.0%19.7%6.8K107.3K-2.7K0.3815.31N/AN/A1425586,66219,325
2012-02-03$0.40$0.3731.6%16.4%58.0%6.9%57.3%26.5%2.0%7.2K52.7K-2.8K0.0226.45N/AN/A3,1315586,71619,380
2012-02-06$0.39$0.3736.3%14.3%57.7%10.0%0.0%18.5%11.4%8.2K29.9K-3.0K0.8516.21N/AN/A1,02586789,25819,435
2012-02-07$0.41$0.3749.2%17.8%58.3%18.6%62.0%15.9%-3.9%9.0K-36.9K-3.2K0.0113.00N/AN/A2,9733390,28419,658
2012-02-08$0.40$0.3758.2%16.4%58.7%24.6%57.3%15.5%2.8%10.4K-37.4K-3.2K0.5812.31N/AN/A1,46285192,88019,680
2012-02-09$0.40$0.3754.6%15.6%49.3%22.2%0.0%17.2%4.2%10.1K-60.3K-3.1K0.0018.87N/AN/A818093,15819,435
2012-02-10$0.41$0.3764.4%18.5%50.7%28.8%0.0%16.4%-6.4%10.8K-126.9K-3.3K0.0014.50N/AN/A665093,97619,435
2012-02-13$0.42$0.3765.2%18.7%50.8%29.3%61.8%20.0%1.3%11.4K-170.1K-3.3K0.8914.27N/AN/A61654593,84519,435
2012-02-14$0.42$0.3742.8%12.3%49.3%14.3%0.0%-14.2%11.6%10.9K-151.6K-3.4K0.8414.72N/AN/A47539892,72719,042
2012-02-15$0.41$0.3747.3%13.6%34.0%17.4%65.4%-20.6%-4.0%10.2K-70.3K-3.2K0.7611.47N/AN/A1,03678591,96919,385
2012-02-16$0.42$0.3769.8%20.0%33.4%32.4%0.0%16.6%-10.2%10.8K-123.0K-3.1K0.0017.17N/AN/A120092,89619,058
2012-02-17$0.42$0.3740.3%11.5%32.7%12.7%0.0%4.3%18.8%10.8K-133.1K-2.9K0.0917.13N/AN/A3823392,87519,058
2012-02-21$0.43$0.3745.7%13.1%32.9%16.3%40.2%12.5%13.4%11.2K-382.6K-3.2K1.2021.49N/AN/A16419640,98510,805
2012-02-22$0.45$0.3758.4%16.8%35.5%24.8%73.4%4.9%-28.9%13.4K-454.2K-3.2K1.5844.36N/AN/A7091,11841,04010,805
2012-02-23$0.45$0.3744.9%12.9%35.5%15.8%44.9%7.7%-7.0%12.8K-501.5K-3.3K0.3120.32N/AN/A1,90960041,43310,544
2012-02-24$0.45$0.3750.9%14.6%35.3%19.7%34.5%0.7%10.6%13.7K-485.6K-3.4K0.9539.00N/AN/A6,9386,59540,65811,144
2012-02-27$0.45$0.3750.6%14.5%36.2%19.6%52.4%-0.4%6.0%14.1K-447.1K-4.3K0.1417.13N/AN/A3825547,57516,860
2012-02-28$0.42$0.3749.2%14.1%42.1%18.7%57.0%-12.9%1.7%12.0K-366.8K-4.1K0.5333.28N/AN/A1045547,82516,631
2012-02-29$0.45$0.3750.8%14.6%45.9%19.7%49.4%4.5%-10.2%13.3K-455.1K-4.1K21.0256.41N/AN/A1,20025,22247,86416,440