GEN Options History — July 2012

In July 2012, GEN traded between $0.29 and $0.44. ATM implied volatility averaged 73.8%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 22.7%. IV traded above realized volatility by 2.0% (HV 20d: 71.7%). 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 5 of 21 days. Put/call ratio averaged 0.28.

Notable Days

  • 2012-07-03: Highest Volume — 12,022 contracts
  • 2012-07-23: Largest IV drop — 47.4% change
  • 2012-07-19: Highest IV Rank — 56.9%
  • 2012-07-06: Largest Expected Move — 31.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.35$0.29$0.44$0.32$0.44
Max Pain$0.37$0.37$0.37$0.37$0.37
ATM IV73.8%45.1%110.2%68.9%50.0%
Expected Move22.7%12.9%31.9%19.8%14.3%
HV 20d71.7%47.0%90.8%72.5%89.6%
HV 60d58.2%50.0%71.4%50.0%70.7%
IV Rank31.2%10.5%56.9%29.3%13.9%
IV Percentile64.6%12.7%98.4%80.6%19.0%
Term Structure-4.9%-27.9%57.2%57.2%-13.0%
VWIV84.2%49.7%110.3%59.1%71.7%
Skew 25d-0.3%-20.6%21.1%12.9%-2.4%
Skew 10d11.7%-13.3%36.9%21.2%-4.5%
Call IV 25d80.3%47.1%105.0%94.6%52.1%
Put IV 25d80.0%34.5%117.6%107.4%49.7%
Bid-Ask Spread %17.219.0235.6414.7114.94
Gamma HHI0.980.951.000.971.00
Net GEX30.4K20.2K49.3K23.2K37.2K
Net DEX-1.4M-4.1M260.4K-408.2K-4.1M
Net VEX-8.5K-9.8K-5.8K-9.8K-6.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.001.070.000.00
Total Volume2,265.81012,02234444
Total OI211,083.571199,048218,559199,048218,559

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$0.32$0.3768.9%19.8%72.5%29.3%0.0%12.9%57.2%23.2K-408.2K-9.8K0.0014.71N/AN/A3440137,93561,113
2012-07-03$0.31$0.3753.4%15.3%72.5%17.4%59.1%17.3%46.7%23.1K-269.1K-9.2K0.8913.69N/AN/A6,3495,673137,94561,113
2012-07-05$0.30$0.3757.5%16.5%72.5%20.2%0.0%-5.7%46.2%22.4K-183.6K-9.3K0.1317.70N/AN/A42555144,11566,785
2012-07-06$0.29$0.3773.6%31.9%74.4%31.3%0.0%-12.3%-27.9%20.7K-86.3K-8.7K0.0014.86N/AN/A00144,17566,835
2012-07-09$0.29$0.3779.8%28.7%73.1%35.6%100.3%-20.6%-16.8%20.2K260.4K-7.8K0.0934.81N/AN/A1,227115144,17566,835
2012-07-10$0.29$0.3782.3%30.5%65.5%37.1%0.0%-15.7%-19.9%21.2K66.1K-8.3K0.0024.03N/AN/A0273144,69366,944
2012-07-11$0.30$0.3772.7%30.1%63.3%30.3%105.0%-11.2%-17.4%22.9K-184.8K-8.9K0.0035.64N/AN/A3440144,69367,216
2012-07-12$0.32$0.37104.0%29.8%64.7%52.5%104.9%-2.7%-20.5%23.8K-243.7K-9.2K0.0017.89N/AN/A2,3560144,91667,216
2012-07-13$0.33$0.3796.2%27.6%60.5%46.9%97.4%16.4%-11.2%25.9K-313.3K-9.3K1.0717.98N/AN/A305327145,09667,216
2012-07-16$0.33$0.3796.8%27.8%57.5%47.4%97.0%21.1%-13.5%27.9K-306.3K-9.1K0.0017.37N/AN/A1,2550145,16267,544
2012-07-17$0.33$0.37105.4%30.2%55.9%53.4%105.4%8.7%-21.4%26.5K-531.2K-9.4K0.0019.04N/AN/A4040146,25367,544
2012-07-18$0.33$0.3794.5%27.1%50.8%45.8%95.0%10.3%-10.8%30.2K-393.7K-9.1K0.0019.24N/AN/A3,7960146,25367,544
2012-07-19$0.34$0.37110.2%31.6%47.0%56.9%110.3%12.6%-20.0%25.7K-764.0K-9.6K0.0017.36N/AN/A3710146,17667,489
2012-07-20$0.33$0.3797.7%28.0%49.1%48.0%98.3%10.6%-13.3%30.0K-390.9K-9.0K0.9018.42N/AN/A333300146,07867,489
2012-07-23$0.42$0.3751.3%14.7%90.8%14.9%68.9%-18.6%-12.9%46.3K-3.1M-8.9K0.649.76N/AN/A4,4952,896144,56263,884
2012-07-24$0.41$0.3754.6%15.7%89.5%17.2%50.9%-10.5%-12.2%49.3K-2.7M-8.8K0.1910.60N/AN/A2,073393142,55565,956
2012-07-25$0.42$0.3749.7%14.2%89.5%13.7%49.7%2.7%4.6%44.5K-3.2M-7.4K0.3310.65N/AN/A28493141,20766,109
2012-07-26$0.43$0.3745.1%12.9%89.3%10.5%49.7%-4.1%2.6%34.8K-3.7M-5.8K0.0012.54N/AN/A11,2580141,08266,076
2012-07-27$0.44$0.3757.1%16.4%89.2%19.0%71.7%-8.7%-27.3%44.2K-3.9M-8.1K0.739.02N/AN/A1,036758151,58266,076
2012-07-30$0.44$0.3748.6%13.9%89.4%13.0%0.0%-6.1%-1.8%38.4K-4.1M-6.4K0.0011.07N/AN/A00151,72466,835
2012-07-31$0.44$0.3750.0%14.3%89.6%13.9%0.0%-2.4%-13.0%37.2K-4.1M-6.5K0.0014.94N/AN/A440151,72466,835