GEN Options History — April 2012

In April 2012, GEN traded between $0.35 and $0.39. ATM implied volatility averaged 54.4%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded above realized volatility by 19.1% (HV 20d: 35.2%). Max pain ranged from $0.37 to $0.55. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.39.

Notable Days

  • 2012-04-19: Highest Volume — 26,618 contracts
  • 2012-04-04: Largest IV spike — 56.0% change
  • 2012-04-13: Highest IV Rank — 28.5%
  • 2012-04-10: Largest Expected Move — 19.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.37$0.35$0.39$0.39$0.39
Max Pain$0.51$0.37$0.55$0.37$0.55
ATM IV54.4%39.4%64.0%43.5%46.1%
Expected Move15.9%11.3%19.4%12.5%13.2%
HV 20d35.2%29.1%40.4%40.4%29.7%
HV 60d43.0%39.7%49.3%49.3%39.7%
IV Rank22.1%12.1%28.5%14.8%16.5%
IV Percentile54.9%25.4%80.2%34.1%34.5%
Term Structure3.4%-7.8%15.8%15.8%5.0%
VWIV56.0%50.5%67.8%52.7%50.5%
Skew 25d13.9%-16.3%43.2%-12.9%-12.1%
Skew 10d36.0%14.1%75.9%49.5%38.1%
Call IV 25d62.8%56.4%72.6%58.5%61.2%
Put IV 25d76.7%42.9%114.7%45.5%49.1%
Bid-Ask Spread %20.5911.4741.0018.5111.47
Gamma HHI0.810.670.910.670.81
Net GEX-15.7K-22.2K-11.5K-14.5K-11.8K
Net DEX1.1M495.0K1.4M1.1M495.0K
Net VEX-8.0K-9.4K-6.7K-8.8K-9.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.001.790.010.01
Total Volume2,391026,6184209,747
Total OI145,900.35138,333160,734138,442158,106

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$0.39$0.3743.5%12.5%40.4%14.8%0.0%-12.9%15.8%-14.5K1.1M-8.8K0.0118.51N/AN/A415560,33378,109
2012-04-03$0.39$0.3739.4%11.3%40.2%12.1%0.0%-16.3%11.4%-17.1K1.2M-8.1K0.0023.15N/AN/A017560,49178,109
2012-04-04$0.38$0.3761.5%17.6%40.4%26.8%0.0%29.7%-0.3%-16.1K1.3M-7.9K0.0022.61N/AN/A1,020060,49178,175
2012-04-05$0.37$0.3758.6%16.8%37.6%24.9%0.0%43.2%-0.2%-16.4K1.3M-7.8K0.0041.00N/AN/A333060,43177,902
2012-04-09$0.36$0.5560.1%16.3%36.0%25.9%52.7%10.4%3.9%-16.6K1.2M-7.6K1.7919.58N/AN/A22940960,45377,902
2012-04-10$0.36$0.5557.0%19.4%36.3%23.8%67.8%9.9%-6.4%-15.8K1.4M-7.2K0.5518.66N/AN/A45825160,45378,147
2012-04-11$0.36$0.5547.2%18.1%35.0%17.3%0.0%9.7%-1.0%-16.6K1.3M-7.3K0.0016.53N/AN/A393060,84078,136
2012-04-12$0.36$0.5559.3%17.0%37.0%25.4%0.0%18.6%-0.5%-17.8K1.3M-7.3K0.0019.75N/AN/A191061,01578,136
2012-04-13$0.36$0.5564.0%18.3%35.2%28.5%0.0%16.8%-7.8%-18.8K1.4M-7.2K0.6717.32N/AN/A22915360,87878,136
2012-04-16$0.36$0.5557.6%16.5%33.9%24.2%0.0%19.4%-3.0%-20.3K1.4M-6.8K0.9817.91N/AN/A61160060,88978,136
2012-04-17$0.36$0.5552.5%15.1%35.4%20.8%53.1%20.7%2.4%-22.2K1.4M-6.7K1.4123.93N/AN/A9491,34261,50078,404
2012-04-18$0.36$0.5553.7%15.4%35.2%21.6%53.7%20.7%1.4%-21.2K1.4M-6.9K0.0024.49N/AN/A169062,06778,644
2012-04-19$0.35$0.5559.8%17.1%34.4%25.7%59.6%20.4%7.4%-17.3K1.3M-7.3K0.0021.38N/AN/A26,50910962,20978,644
2012-04-20$0.36$0.5555.5%15.9%34.8%22.8%0.0%21.4%11.2%-11.5K896.5K-9.0K0.0025.66N/AN/A0082,08578,649
2012-04-23$0.36$0.5558.6%16.8%34.3%24.9%0.0%22.6%-1.1%-11.5K909.4K-8.7K0.4425.94N/AN/A49121880,22578,038
2012-04-24$0.36$0.5551.7%14.8%34.1%20.3%52.0%24.9%5.8%-12.4K934.5K-8.8K0.5816.18N/AN/A52930580,22577,825
2012-04-25$0.37$0.5554.5%15.6%35.3%22.2%0.0%20.4%12.1%-11.8K836.0K-8.9K0.0022.55N/AN/A218080,53677,880
2012-04-26$0.38$0.5548.2%13.8%29.1%18.0%0.0%6.6%9.4%-13.5K838.3K-8.9K0.5613.29N/AN/A29516480,55377,880
2012-04-27$0.39$0.5558.5%16.8%30.1%24.8%58.3%3.8%2.6%-11.6K659.1K-9.2K0.0211.89N/AN/A1,2762779,94277,433
2012-04-30$0.39$0.5546.1%13.2%29.7%16.5%50.5%-12.1%5.0%-11.8K495.0K-9.4K0.0111.47N/AN/A9,6658280,67377,433