GEN Options History — September 2012 In September 2012, GEN traded between $0.46 and $0.49. ATM implied volatility averaged 44.3%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 15.0% (HV 20d: 29.2%). Max pain ranged from $0.37 to $0.37. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2012-09-10 : Highest Volume — 387 contracts2012-09-13 : Largest IV drop — 37.8% change2012-09-12 : Highest IV Rank — 18.4%2012-09-04 : Largest Expected Move — 14.0%Monthly Statistics Metric Avg Min Max Open Close Price $0.48 $0.46 $0.49 $0.47 $0.46 Max Pain $0.37 $0.37 $0.37 $0.37 $0.37 ATM IV 44.3% 35.0% 56.3% 48.7% 48.2% Expected Move 11.9% 9.5% 14.0% 14.0% 13.8% HV 20d 29.2% 26.5% 31.2% 26.5% 30.9% HV 60d 59.9% 56.7% 67.1% 67.1% 56.7% IV Rank 9.9% 3.3% 18.4% 13.0% 12.7% IV Percentile 15.6% 3.6% 37.3% 20.6% 25.4% Term Structure -7.8% -25.5% 15.9% -6.2% -25.5% VWIV 39.4% 39.4% 39.4% 39.4% 39.4% Skew 25d 15.4% 5.7% 36.6% 30.0% 11.5% Skew 10d 14.7% 0.4% 41.5% 34.6% 17.7% Call IV 25d 38.0% 28.1% 50.2% 41.0% 29.2% Put IV 25d 53.4% 35.3% 77.0% 71.0% 40.6% Bid-Ask Spread % 18.47 15.41 21.58 15.41 20.56 Gamma HHI 0.81 0.72 0.89 0.89 0.81 Net GEX 13.5K 8.9K 16.9K 16.9K 12.4K Net DEX -2.2M -2.3M -1.9M -1.9M -2.2M Net VEX -2.0K -3.5K -1.1K -3.5K -1.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 50 0 387 0 0 Total OI 65,796.737 65,449 65,995 65,449 65,995
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2012-09-04 $0.47 $0.37 48.7% 14.0% 26.5% 13.0% 0.0% 30.0% -6.2% 16.9K -1.9M -3.5K 0.00 15.41 N/A N/A 0 0 53,389 12,060 2012-09-05 $0.46 $0.37 47.6% 13.7% 27.5% 12.3% 0.0% 5.7% -7.7% 15.5K -2.1M -2.0K 0.00 18.58 N/A N/A 60 0 53,389 12,060 2012-09-06 $0.49 $0.37 43.6% 12.5% 29.1% 9.4% 0.0% 36.6% -6.0% 14.9K -2.2M -2.5K 0.00 16.77 N/A N/A 0 0 53,389 12,060 2012-09-07 $0.48 $0.00 48.3% 11.6% 28.1% 12.7% 0.0% 31.8% 15.9% 15.8K -2.1M -2.9K 0.00 18.66 N/A N/A 27 0 53,389 12,060 2012-09-10 $0.48 $0.00 45.8% 9.8% 27.6% 11.0% 0.0% 10.7% 7.1% 14.6K -2.1M -2.5K 0.00 17.99 N/A N/A 387 0 53,416 12,060 2012-09-11 $0.49 $0.00 52.5% 12.3% 28.6% 15.8% 39.4% 19.3% -7.5% 14.9K -2.2M -2.3K 0.00 17.63 N/A N/A 164 0 53,744 12,060 2012-09-12 $0.49 $0.37 56.3% 9.5% 28.4% 18.4% 0.0% 19.3% -7.4% 15.1K -2.2M -2.5K 0.00 16.79 N/A N/A 11 0 53,798 12,060 2012-09-13 $0.47 $0.37 35.0% 10.0% 31.2% 3.3% 0.0% 11.3% -8.8% 16.2K -2.1M -2.4K 0.00 17.81 N/A N/A 44 0 53,809 12,060 2012-09-14 $0.48 $0.37 35.9% 10.3% 31.2% 3.9% 0.0% 12.9% -9.0% 8.9K -2.3M -1.2K 0.00 16.53 N/A N/A 115 0 53,787 12,060 2012-09-17 $0.48 $0.37 37.5% 10.7% 29.1% 5.1% 0.0% 11.8% -9.9% 10.4K -2.3M -1.3K 0.00 17.85 N/A N/A 0 0 53,902 12,060 2012-09-18 $0.47 $0.37 40.9% 11.7% 29.3% 7.5% 0.0% 10.9% -11.0% 11.6K -2.2M -1.4K 0.00 18.60 N/A N/A 0 0 53,902 12,060 2012-09-19 $0.47 $0.37 41.9% 12.0% 28.9% 8.2% 0.0% 10.5% -11.3% 13.5K -2.2M -1.7K 0.00 19.32 N/A N/A 0 0 53,902 12,060 2012-09-20 $0.47 $0.37 41.8% 12.0% 27.8% 8.1% 0.0% 7.6% -5.1% 15.2K -2.1M -1.9K 0.00 19.32 N/A N/A 0 0 53,902 12,060 2012-09-21 $0.48 $0.37 40.7% 11.7% 29.9% 7.3% 0.0% 15.4% -4.5% 16.4K -2.1M -2.5K 0.00 21.58 N/A N/A 0 0 53,880 12,060 2012-09-24 $0.48 $0.37 43.0% 12.3% 29.9% 9.0% 0.0% 16.2% -5.7% 10.3K -2.3M -1.3K 0.00 20.93 N/A N/A 87 0 53,825 12,060 2012-09-25 $0.48 $0.37 43.0% 12.3% 30.1% 9.0% 0.0% 6.5% -6.5% 12.1K -2.2M -1.5K 0.00 20.00 N/A N/A 0 0 53,880 12,060 2012-09-26 $0.47 $0.37 47.6% 13.7% 30.6% 12.3% 0.0% 16.8% -14.9% 11.8K -2.2M -1.3K 0.00 18.26 N/A N/A 0 0 53,880 12,060 2012-09-27 $0.47 $0.37 42.8% 12.3% 30.6% 8.8% 0.0% 8.7% -23.8% 9.9K -2.2M -1.1K 0.00 18.35 N/A N/A 55 0 53,880 12,060 2012-09-28 $0.46 $0.37 48.2% 13.8% 30.9% 12.7% 0.0% 11.5% -25.5% 12.4K -2.2M -1.3K 0.00 20.56 N/A N/A 0 0 53,935 12,060
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