GEN Options History — August 2012

In August 2012, GEN traded between $0.42 and $0.48. ATM implied volatility averaged 58.2%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 3.3% (HV 20d: 61.5%). Max pain ranged from $0.37 to $0.37. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 0.31.

Notable Days

  • 2012-08-16: Highest Volume — 10,991 contracts
  • 2012-08-10: Largest IV spike — 86.6% change
  • 2012-08-15: Highest IV Rank — 71.7%
  • 2012-08-02: Largest Expected Move — 21.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.45$0.42$0.48$0.43$0.46
Max Pain$0.37$0.37$0.37$0.37$0.37
ATM IV58.2%32.6%131.4%61.1%41.9%
Expected Move12.8%9.4%21.2%17.5%12.0%
HV 20d61.5%26.2%89.4%88.7%26.2%
HV 60d69.4%67.9%71.1%70.4%67.9%
IV Rank19.8%1.6%71.7%21.9%8.2%
IV Percentile37.3%1.2%98.8%53.6%9.5%
Term Structure-4.3%-38.8%14.0%-15.6%-12.8%
VWIV56.8%50.7%62.9%62.9%56.9%
Skew 25d5.3%-92.7%21.9%9.7%19.5%
Skew 10d8.4%-108.2%44.9%10.3%26.1%
Call IV 25d50.1%27.8%170.3%54.8%41.6%
Put IV 25d55.4%36.4%77.5%64.5%61.1%
Bid-Ask Spread %20.0714.4440.0414.4416.59
Gamma HHI0.870.500.990.980.88
Net GEX23.1K1.0K50.5K41.0K15.7K
Net DEX-3.4M-5.5M-1.9M-4.0M-2.1M
Net VEX-3.7K-8.7K-597-6.8K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.310.003.500.000.00
Total Volume667.348010,9911627
Total OI151,494.39165,182226,615218,53165,476

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-08-01$0.43$0.3761.1%17.5%88.7%21.9%0.0%9.7%-15.6%41.0K-4.0M-6.8K0.0014.44N/AN/A160151,69666,835
2012-08-02$0.42$0.3774.1%21.2%89.4%31.0%0.0%-6.4%-38.8%50.5K-3.2M-8.7K0.0014.51N/AN/A011151,71366,835
2012-08-03$0.42$0.3753.9%15.5%86.2%16.8%62.9%-10.8%-19.5%47.6K-3.7M-7.1K0.5040.04N/AN/A5527151,71366,845
2012-08-06$0.43$0.3758.2%12.6%85.5%19.8%0.0%-10.1%13.6%44.3K-3.8M-6.2K0.0020.62N/AN/A00151,27165,351
2012-08-07$0.43$0.3759.7%12.6%85.6%20.8%0.0%-7.5%14.0%42.3K-3.9M-6.2K0.0021.50N/AN/A2,2360151,27165,351
2012-08-08$0.45$0.3771.4%12.6%85.8%29.1%0.0%1.5%11.7%34.9K-4.3M-5.5K3.5022.91N/AN/A55191151,25565,351
2012-08-09$0.46$0.3764.4%12.0%85.4%24.2%0.0%-92.7%-12.9%26.8K-4.7M-4.3K0.0019.29N/AN/A1640151,24465,504
2012-08-10$0.46$0.37120.2%13.4%86.0%63.8%0.0%-3.0%7.6%26.9K-4.6M-4.4K0.0017.66N/AN/A4250151,13565,504
2012-08-13$0.46$0.37100.7%15.4%86.0%50.0%0.0%11.8%11.2%1.0K-5.0M-5970.0019.60N/AN/A00150,76465,504
2012-08-14$0.46$0.3778.7%11.6%86.0%34.3%0.0%16.2%-4.9%1.2K-5.1M-6380.0018.04N/AN/A550150,76465,504
2012-08-15$0.46$0.37131.4%15.6%86.3%71.7%0.0%21.9%9.9%1.1K-5.1M-6240.0018.04N/AN/A270150,76465,504
2012-08-16$0.46$0.3736.0%10.3%86.3%4.0%0.0%14.9%0.7%19.1K-4.9M-2.5K0.0019.74N/AN/A10,96427150,36065,411
2012-08-17$0.47$0.3735.1%10.1%85.0%3.4%0.0%20.0%-4.2%23.9K-5.5M-3.6K0.0021.83N/AN/A2730161,20465,411
2012-08-20$0.48$0.3733.7%9.6%30.9%2.3%50.7%8.2%0.1%18.2K-2.1M-2.8K0.0018.62N/AN/A447053,14412,038
2012-08-21$0.47$0.3732.6%9.4%30.1%1.6%0.0%10.8%6.2%16.2K-2.1M-2.8K0.0020.00N/AN/A109053,34512,038
2012-08-22$0.46$0.3735.3%10.1%31.1%3.5%0.0%3.8%-1.0%18.0K-2.0M-3.2K0.0020.56N/AN/A013153,41612,038
2012-08-23$0.46$0.3735.9%10.3%29.7%3.9%0.0%16.8%-9.1%16.4K-1.9M-3.5K0.0018.05N/AN/A0053,41612,038
2012-08-24$0.46$0.3741.6%11.9%29.6%8.0%0.0%19.7%-9.5%18.0K-2.0M-3.2K0.0019.74N/AN/A010953,41612,038
2012-08-27$0.46$0.3738.5%11.0%29.5%5.8%0.0%20.2%-10.7%18.0K-2.0M-3.1K0.0018.05N/AN/A0053,41612,060
2012-08-28$0.46$0.3744.3%12.7%29.6%9.9%0.0%19.5%-11.3%15.9K-2.1M-2.1K0.0020.37N/AN/A0053,41612,060
2012-08-29$0.46$0.3745.2%13.0%29.5%10.6%0.0%19.9%-11.8%16.7K-2.0M-2.4K0.0020.75N/AN/A0053,41612,060
2012-08-30$0.46$0.3745.7%13.1%26.2%10.9%0.0%18.6%-12.6%17.0K-2.0M-2.3K0.0020.75N/AN/A0053,41612,060
2012-08-31$0.46$0.3741.9%12.0%26.2%8.2%56.9%19.5%-12.8%15.7K-2.1M-2.1K0.0016.59N/AN/A27053,41612,060