GEN Options History — May 2012

In May 2012, GEN traded between $0.31 and $0.40. ATM implied volatility averaged 70.7%, placing in the 33.0% IV rank vs the trailing year. The 30-day expected move averaged 20.2%. IV traded above realized volatility by 35.9% (HV 20d: 34.8%). Max pain ranged from $0.37 to $0.55. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.34.

Notable Days

  • 2012-05-09: Highest Volume — 45,415 contracts
  • 2012-05-29: Largest IV drop — 36.3% change
  • 2012-05-17: Highest IV Rank — 45.0%
  • 2012-05-17: Largest Expected Move — 25.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.36$0.31$0.40$0.39$0.32
Max Pain$0.39$0.37$0.55$0.55$0.37
ATM IV70.7%44.8%88.7%65.0%62.1%
Expected Move20.2%12.8%25.4%18.6%17.8%
HV 20d34.8%27.7%40.8%27.7%39.3%
HV 60d39.3%35.9%40.9%39.5%36.4%
IV Rank33.0%15.7%45.0%29.1%27.2%
IV Percentile83.5%26.6%97.6%82.5%66.7%
Term Structure8.9%-27.3%37.2%-11.7%26.5%
VWIV77.0%47.6%105.1%64.7%105.1%
Skew 25d14.4%-32.5%41.1%16.5%10.5%
Skew 10d24.5%9.0%49.6%48.4%16.5%
Call IV 25d71.5%46.7%107.2%68.6%75.6%
Put IV 25d85.9%74.7%102.0%85.1%86.1%
Bid-Ask Spread %24.4611.2641.3411.2620.23
Gamma HHI0.680.460.910.660.91
Net GEX1.1K-6.6K9.9K-6.6K9.5K
Net DEX-33.0K-425.0K313.3K294.1K168.1K
Net VEX-9.1K-11.6K-7.1K-10.1K-7.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.002.160.010.00
Total Volume4,211.6362245,4154,566900
Total OI155,301.273126,758182,280166,964140,231

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$0.39$0.5565.0%18.6%27.7%29.1%0.0%16.5%-11.7%-6.6K294.1K-10.1K0.0111.26N/AN/A4,5333389,44977,515
2012-05-02$0.37$0.5564.7%18.5%30.2%29.0%64.7%13.1%10.8%-6.2K313.3K-10.3K0.0222.75N/AN/A5,42710991,89377,520
2012-05-03$0.38$0.5563.1%18.1%31.4%27.9%0.0%18.4%6.7%-4.8K54.8K-11.0K0.0116.13N/AN/A7,28710496,77577,629
2012-05-04$0.38$0.3765.4%23.2%30.6%29.4%47.6%6.3%6.2%-3.0K-94.2K-11.4K0.2624.45N/AN/A1,609420102,81377,629
2012-05-07$0.39$0.3781.9%21.9%31.6%40.4%0.0%6.8%9.8%-915-105.7K-11.3K0.0019.31N/AN/A0567103,85577,673
2012-05-08$0.40$0.3786.9%21.0%30.4%43.8%73.3%-32.5%11.4%3.0K-345.0K-11.6K0.1421.22N/AN/A856120103,85577,744
2012-05-09$0.40$0.3766.0%19.2%30.3%29.9%0.0%13.2%10.8%-2.0K-313.5K-11.4K1.6235.28N/AN/A17,34028,075104,42777,853
2012-05-10$0.40$0.3768.3%19.6%30.0%31.4%0.0%16.4%12.5%3.7K-425.0K-9.3K0.0033.22N/AN/A76094,06463,005
2012-05-11$0.40$0.3769.7%20.0%30.3%32.3%0.0%4.3%12.8%-1.0K-384.2K-9.4K0.9533.22N/AN/A11510994,11863,005
2012-05-14$0.40$0.3769.4%19.9%29.5%32.1%0.0%11.2%12.0%-1.1K-319.2K-9.2K0.0430.40N/AN/A2,94510993,94462,815
2012-05-15$0.38$0.3772.6%20.8%34.7%34.3%72.6%7.5%13.2%-3.1K-116.5K-9.0K0.0329.79N/AN/A2,1716096,61162,804
2012-05-16$0.37$0.3774.4%21.3%34.6%35.4%73.9%4.2%8.5%-3.0K-65.4K-8.8K0.0030.86N/AN/A02298,70562,864
2012-05-17$0.35$0.3788.7%25.4%39.2%45.0%88.7%35.0%0.5%-3.8K80.0K-8.6K0.4317.64N/AN/A1,98585698,70562,875
2012-05-18$0.35$0.3783.9%24.1%38.8%41.8%83.9%41.1%8.8%-4.6K106.0K-8.6K2.1625.26N/AN/A5451,178100,60963,671
2012-05-21$0.34$0.3779.2%22.7%40.3%38.6%79.2%32.1%-2.2%5.9K-18.9K-8.1K0.0641.34N/AN/A2,28014272,08254,676
2012-05-22$0.34$0.3781.3%23.3%40.8%40.1%81.2%32.5%-2.8%6.0K-55.4K-8.1K0.0437.12N/AN/A2511174,16054,747
2012-05-23$0.33$0.3779.4%22.8%39.9%38.8%0.0%26.1%0.3%6.1K-49.1K-7.8K0.0015.16N/AN/A08774,38954,742
2012-05-24$0.32$0.3757.9%16.6%39.5%24.4%0.0%12.3%23.3%6.6K252.9K-7.1K0.3718.67N/AN/A95534974,38954,742
2012-05-25$0.33$0.3770.3%20.1%38.3%32.7%0.0%16.1%28.2%6.2K115.7K-7.6K0.0419.39N/AN/A9,00039374,93555,058
2012-05-29$0.33$0.3744.8%12.8%37.8%15.7%0.0%13.8%37.2%9.9K115.5K-7.6K0.2720.71N/AN/A1203383,74455,282
2012-05-30$0.31$0.3760.0%17.2%40.0%25.9%105.1%12.0%-27.3%8.2K66.6K-7.4K0.0114.71N/AN/A1,4622283,74455,282
2012-05-31$0.32$0.3762.1%17.8%39.3%27.2%0.0%10.5%26.5%9.5K168.1K-7.4K0.0020.23N/AN/A900084,94955,282