GEN Options History — March 2012

In March 2012, GEN traded between $0.38 and $0.48. ATM implied volatility averaged 60.5%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 15.3% (HV 20d: 45.2%). Max pain ranged from $0.37 to $0.37. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.97.

Notable Days

  • 2012-03-28: Highest Volume — 25,429 contracts
  • 2012-03-20: Largest IV spike — 72.1% change
  • 2012-03-13: Highest IV Rank — 53.9%
  • 2012-03-29: Largest Expected Move — 20.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.45$0.38$0.48$0.45$0.38
Max Pain$0.37$0.37$0.37$0.37$0.37
ATM IV60.5%30.4%102.0%59.7%53.8%
Expected Move13.2%8.7%20.0%17.1%15.4%
HV 20d45.2%38.2%48.2%43.3%38.2%
HV 60d48.6%46.9%50.2%48.7%48.8%
IV Rank26.2%6.1%53.9%25.6%21.7%
IV Percentile64.2%8.3%98.8%71.4%54.4%
Term Structure17.1%-11.1%35.0%-4.8%-0.6%
VWIV43.4%34.2%54.1%45.6%54.1%
Skew 25d16.7%2.3%30.1%4.9%25.7%
Skew 10d22.8%-14.5%68.3%7.2%65.9%
Call IV 25d42.2%27.4%65.2%51.2%60.9%
Put IV 25d58.9%39.5%95.3%56.2%86.6%
Bid-Ask Spread %18.8811.3532.8614.4821.20
Gamma HHI0.530.470.730.480.73
Net GEX3.0K-14.8K11.2K4.7K-14.8K
Net DEX182.2K-323.6K1.1M-18.1K1.1M
Net VEX-9.1K-10.2K-7.0K-7.0K-8.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.970.0021.350.721.79
Total Volume3,590.3186525,42913,718943
Total OI117,232.95587,273137,93487,273137,880

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$0.45$0.3759.7%17.1%43.3%25.6%0.0%4.9%-4.8%4.7K-18.1K-7.0K0.7214.48N/AN/A7,9915,72747,79839,475
2012-03-02$0.47$0.3747.0%13.5%44.4%17.2%0.0%17.0%-11.1%8.3K-234.8K-8.7K0.8911.35N/AN/A6,6165,90755,20045,147
2012-03-05$0.46$0.3765.7%15.4%46.4%29.7%0.0%2.3%5.9%7.9K-223.8K-9.6K11.0023.27N/AN/A56061,23850,716
2012-03-06$0.45$0.3766.6%13.7%47.6%30.2%0.0%6.1%13.1%6.7K-72.3K-9.2K0.0824.37N/AN/A6605561,13550,771
2012-03-07$0.44$0.3772.8%12.8%46.0%34.4%0.0%2.4%18.4%6.2K-19.7K-9.0K0.0016.56N/AN/A273061,12450,825
2012-03-08$0.46$0.3775.9%13.1%46.0%36.4%45.6%6.9%18.2%8.7K-135.0K-9.2K1.0318.83N/AN/A73675861,39650,825
2012-03-09$0.47$0.3780.6%11.3%45.8%39.6%36.3%11.5%19.7%8.9K-143.9K-9.1K0.8319.60N/AN/A655561,48450,869
2012-03-12$0.46$0.3786.4%10.0%45.1%43.4%0.0%15.5%29.6%8.1K-168.3K-9.2K2.8620.81N/AN/A7621861,54450,924
2012-03-13$0.47$0.37102.0%10.6%45.2%53.9%0.0%27.4%27.7%9.6K-235.9K-9.4K0.0020.13N/AN/A164061,62050,995
2012-03-14$0.47$0.37101.0%9.3%45.5%53.2%0.0%26.6%35.0%8.9K-239.1K-9.4K0.0023.54N/AN/A213061,75150,995
2012-03-15$0.47$0.3730.4%8.7%45.4%6.1%34.2%27.1%33.7%10.1K-323.6K-9.7K0.0216.72N/AN/A5781161,83850,995
2012-03-16$0.48$0.3741.2%11.8%45.4%13.3%36.2%18.8%26.8%11.2K-313.0K-9.5K0.0014.58N/AN/A404061,50051,000
2012-03-19$0.47$0.3730.6%8.8%46.7%6.3%0.0%5.3%28.0%9.4K-113.4K-9.1K21.3519.98N/AN/A75316,06957,71550,335
2012-03-20$0.46$0.3752.8%15.1%47.2%21.0%53.7%29.0%30.8%2.1K299.3K-10.2K0.0218.72N/AN/A267558,36966,382
2012-03-21$0.46$0.3734.7%10.0%45.0%9.0%0.0%26.9%24.2%2.0K346.4K-10.2K0.0015.33N/AN/A2,182058,34266,382
2012-03-22$0.45$0.3753.8%15.4%46.9%21.7%0.0%20.7%15.1%899424.6K-10.0K0.0014.38N/AN/A573060,27366,382
2012-03-23$0.43$0.3753.5%15.3%47.7%21.5%0.0%17.9%14.2%-1.6K563.3K-9.6K0.0013.64N/AN/A98060,63366,382
2012-03-26$0.42$0.3754.0%15.5%48.2%21.8%0.0%10.9%15.4%-5.5K702.1K-8.9K0.5817.63N/AN/A82447560,63366,382
2012-03-27$0.42$0.3754.4%15.6%43.4%22.1%0.0%12.8%19.2%-5.2K754.0K-8.6K0.0018.20N/AN/A513060,26266,649
2012-03-28$0.40$0.3744.5%12.8%42.1%15.5%0.0%20.5%23.4%-9.1K965.0K-7.8K0.0019.07N/AN/A025,42960,37666,649
2012-03-29$0.39$0.3769.8%20.0%42.2%32.4%0.0%30.1%-5.6%-12.5K1.1M-8.9K0.2432.86N/AN/A2295560,37677,558
2012-03-30$0.38$0.3753.8%15.4%38.2%21.7%54.1%25.7%-0.6%-14.8K1.1M-8.7K1.7921.20N/AN/A33860560,37677,504