GEN Options History — June 2012

In June 2012, GEN traded between $0.23 and $0.31. ATM implied volatility averaged 76.3%, placing in the 36.0% IV rank vs the trailing year. The 30-day expected move averaged 21.6%. IV traded above realized volatility by 24.3% (HV 20d: 52.0%). Max pain ranged from $0.37 to $0.37. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.85.

Notable Days

  • 2012-06-07: Highest Volume — 27,355 contracts
  • 2012-06-08: Largest IV spike — 79.7% change
  • 2012-06-08: Highest IV Rank — 62.8%
  • 2012-06-22: Largest Expected Move — 27.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.28$0.23$0.31$0.31$0.31
Max Pain$0.37$0.37$0.37$0.37$0.37
ATM IV76.3%52.9%115.5%62.8%64.7%
Expected Move21.6%15.2%27.5%18.0%18.5%
HV 20d52.0%32.9%72.9%36.8%72.3%
HV 60d42.7%35.3%50.1%36.5%50.0%
IV Rank36.0%18.2%62.8%27.7%26.4%
IV Percentile81.6%32.9%98.8%69.4%69.4%
Term Structure20.2%-26.2%60.0%26.9%48.3%
VWIV74.2%59.8%87.1%81.8%87.1%
Skew 25d-0.1%-44.0%39.5%8.3%11.8%
Skew 10d13.3%-8.6%39.6%14.8%17.3%
Call IV 25d91.7%64.4%120.2%78.7%89.6%
Put IV 25d91.7%76.3%110.7%87.1%101.4%
Bid-Ask Spread %19.2010.7135.2723.8218.00
Gamma HHI0.950.890.980.920.98
Net GEX14.4K7.7K25.4K9.4K25.4K
Net DEX77.0K-480.3K671.8K220.2K-323.9K
Net VEX-7.7K-9.7K-4.9K-7.0K-9.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.005.001.284.56
Total Volume3,606.81027,35502,182
Total OI177,797.762140,722199,277140,722195,703

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$0.31$0.3762.8%18.0%36.8%27.7%0.0%8.3%26.9%9.4K220.2K-7.0K0.0023.82N/AN/A0085,44055,282
2012-06-04$0.31$0.3776.5%23.4%36.9%36.8%81.8%8.9%9.1%7.8K225.5K-7.1K1.2833.86N/AN/A68287385,44055,282
2012-06-05$0.30$0.3769.3%19.5%33.4%32.0%0.0%9.0%13.9%7.7K209.3K-6.9K0.0121.48N/AN/A8181186,04055,915
2012-06-06$0.31$0.3771.1%24.0%33.6%33.2%83.6%8.9%8.5%8.2K204.2K-7.2K0.0034.37N/AN/A218086,85855,925
2012-06-07$0.31$0.3764.3%20.0%32.9%28.7%0.0%17.1%9.5%8.3K178.5K-6.9K0.0035.27N/AN/A27,355087,07155,925
2012-06-08$0.30$0.37115.5%20.6%34.3%62.8%64.7%12.8%36.0%13.6K47.4K-8.3K0.6110.71N/AN/A535327114,36555,925
2012-06-11$0.27$0.3791.8%26.3%43.4%47.1%0.0%-19.1%-22.8%16.4K-13.7K-8.8K0.0316.15N/AN/A1,51638141,79156,111
2012-06-12$0.26$0.3781.8%23.5%44.2%40.4%0.0%-44.0%10.5%15.6K95.2K-8.2K0.0011.90N/AN/A5,8910143,14456,133
2012-06-13$0.26$0.3782.9%23.8%43.8%41.1%72.8%-23.6%-4.7%11.2K189.6K-7.1K0.0116.90N/AN/A7,84955120,96056,127
2012-06-14$0.24$0.3771.9%20.6%45.2%33.8%73.8%-15.7%60.0%10.8K252.1K-6.7K0.0314.84N/AN/A3,24598127,12456,182
2012-06-15$0.23$0.3768.5%19.6%44.3%31.5%0.0%39.5%46.1%10.4K537.6K-5.3K0.0416.13N/AN/A1,61560129,76956,275
2012-06-18$0.25$0.3773.1%21.0%51.1%34.6%0.0%18.9%16.6%11.9K671.8K-4.9K5.0017.97N/AN/A1155126,93355,200
2012-06-19$0.27$0.3792.9%26.6%61.1%47.8%0.0%-11.5%-24.4%14.1K30.6K-7.8K0.3019.58N/AN/A4,7071,391126,94455,255
2012-06-20$0.26$0.3791.8%26.3%61.9%47.0%76.6%-22.7%23.5%14.2K192.7K-7.1K0.6316.83N/AN/A1,402878131,39556,438
2012-06-21$0.26$0.3793.3%26.7%62.1%48.0%0.0%-22.4%-26.2%14.2K164.5K-7.4K0.3915.63N/AN/A873344132,70457,311
2012-06-22$0.27$0.3795.9%27.5%65.3%47.9%0.0%-11.2%-26.1%16.1K140.8K-7.7K0.0614.49N/AN/A1,865120133,35357,464
2012-06-25$0.29$0.3756.7%16.2%71.8%20.8%0.0%6.0%53.4%18.8K-157.6K-8.7K0.0116.75N/AN/A6,62255134,49357,584
2012-06-26$0.30$0.3752.9%15.2%72.9%18.2%59.8%6.8%50.2%21.1K-301.9K-9.3K0.4917.06N/AN/A19193138,86757,638
2012-06-27$0.31$0.3770.4%20.2%72.5%30.3%0.0%10.3%57.4%22.7K-480.3K-9.7K2.6513.85N/AN/A142376138,87357,731
2012-06-28$0.31$0.3755.3%15.8%72.4%19.9%68.2%10.3%57.5%23.4K-466.6K-9.7K0.8617.66N/AN/A1,7451,505138,87857,905
2012-06-29$0.31$0.3764.7%18.5%72.3%26.4%87.1%11.8%48.3%25.4K-323.9K-9.4K4.5618.00N/AN/A3931,789137,71657,987