GEN Options History — October 2012

In October 2012, GEN traded between $0.47 and $0.52. ATM implied volatility averaged 40.1%, placing in the 8.0% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 15.5% (HV 20d: 24.6%). 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 7 of 21 days. Put/call ratio averaged 0.54.

Notable Days

  • 2012-10-03: Highest Volume — 1,227 contracts
  • 2012-10-17: Largest IV spike — 36.9% change
  • 2012-10-08: Highest IV Rank — 17.2%
  • 2012-10-02: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.50$0.47$0.52$0.47$0.47
Max Pain$0.37$0.37$0.37$0.37$0.37
ATM IV40.1%25.5%54.6%48.3%35.2%
Expected Move10.4%7.3%14.8%13.9%10.1%
HV 20d24.6%20.7%31.5%31.5%23.2%
HV 60d41.6%26.7%55.5%55.5%27.0%
IV Rank8.0%0.0%17.2%12.8%6.7%
IV Percentile14.1%0.0%38.9%26.6%7.1%
Term Structure-4.8%-27.1%10.8%-26.9%-17.3%
VWIV44.6%32.4%67.2%67.2%32.4%
Skew 25d16.6%-3.0%45.3%17.9%9.1%
Skew 10d13.6%-6.4%56.5%18.4%15.3%
Call IV 25d34.2%20.1%50.3%26.6%42.6%
Put IV 25d50.8%44.5%90.0%44.5%51.7%
Bid-Ask Spread %13.955.2223.0720.395.22
Gamma HHI0.620.500.790.720.52
Net GEX5.3K2.8K9.5K9.0K4.4K
Net DEX-2.4M-2.6M-2.2M-2.2M-2.2M
Net VEX-717-1.2K-517-1.1K-577
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.002.000.001.33
Total Volume189.52401,227076
Total OI65,230.61964,19466,34365,99564,200

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$0.47$0.3748.3%13.9%31.5%12.8%0.0%17.9%-26.9%9.0K-2.2M-1.1K0.0020.39N/AN/A0053,93512,060
2012-10-02$0.48$0.3751.6%14.8%31.5%15.1%0.0%21.5%-26.6%8.0K-2.3M-9940.0023.07N/AN/A0053,93512,060
2012-10-03$0.48$0.3747.9%13.7%31.0%12.4%67.2%20.3%-27.1%5.8K-2.3M-7260.0017.39N/AN/A1,227053,93512,060
2012-10-04$0.49$0.3745.8%13.1%26.5%11.0%0.0%29.1%-26.0%9.2K-2.4M-9460.0018.86N/AN/A5053,93512,060
2012-10-05$0.50$0.3748.2%9.2%25.1%12.6%0.0%21.6%10.1%5.1K-2.4M-6580.0015.14N/AN/A5053,94012,060
2012-10-08$0.50$0.3754.6%8.6%25.1%17.2%0.0%21.5%10.4%4.2K-2.5M-5540.0014.57N/AN/A27053,94512,060
2012-10-09$0.51$0.3750.9%8.8%24.1%14.6%42.6%24.3%8.5%4.3K-2.5M-5780.0016.92N/AN/A218053,97312,060
2012-10-10$0.51$0.3753.4%10.4%24.0%16.3%0.0%12.7%10.8%9.5K-2.5M-1.2K1.0014.85N/AN/A5554,11512,060
2012-10-11$0.52$0.3740.2%11.5%21.9%7.0%41.1%45.3%-2.8%3.3K-2.6M-5950.6513.46N/AN/A18512054,12012,065
2012-10-12$0.51$0.3728.4%8.1%24.3%0.0%0.0%23.9%9.4%3.9K-2.5M-5940.0013.47N/AN/A016454,26712,071
2012-10-15$0.51$0.3729.6%8.5%24.3%0.9%0.0%25.0%10.2%3.9K-2.5M-5960.0014.60N/AN/A595054,26712,076
2012-10-16$0.51$0.3730.3%8.7%22.7%1.4%39.6%26.8%8.9%4.4K-2.4M-6641.2014.60N/AN/A10913152,40212,076
2012-10-17$0.51$0.3741.5%11.9%22.8%9.2%0.0%-1.5%-6.4%5.7K-2.4M-7972.0015.11N/AN/A5510952,29312,076
2012-10-18$0.51$0.3741.1%11.8%23.0%9.0%0.0%-3.0%-9.1%6.6K-2.4M-8630.0014.67N/AN/A0052,33611,989
2012-10-19$0.51$0.3737.3%10.7%20.7%6.2%0.0%-2.5%-6.3%6.1K-2.4M-7980.0013.64N/AN/A0052,33611,989
2012-10-22$0.50$0.3737.2%10.7%22.0%6.2%0.0%4.5%-5.3%4.9K-2.4M-6770.2912.62N/AN/A49114252,28211,989
2012-10-23$0.49$0.3730.2%8.7%23.4%1.3%32.4%16.5%-3.0%3.4K-2.3M-5521.338.65N/AN/A162252,20511,989
2012-10-24$0.49$0.3725.5%7.3%22.6%0.0%0.0%11.5%-3.3%2.8K-2.3M-5170.007.31N/AN/A0052,20012,011
2012-10-25$0.49$0.3730.3%8.7%23.1%3.3%0.0%13.1%-4.1%3.1K-2.2M-5570.009.07N/AN/A014252,20012,011
2012-10-26$0.48$0.3733.9%9.7%23.8%5.8%0.0%10.6%-5.3%4.3K-2.2M-5880.009.41N/AN/A013152,20012,000
2012-10-31$0.47$0.3735.2%10.1%23.2%6.7%0.0%9.1%-17.3%4.4K-2.2M-5770.005.22N/AN/A07652,20012,000