GEN Options History — November 2012

In November 2012, GEN traded between $0.42 and $0.47. ATM implied volatility averaged 52.3%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 31.8% (HV 20d: 20.5%). 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 9 of 21 days. Put/call ratio averaged 0.04.

Notable Days

  • 2012-11-14: Highest Volume — 518 contracts
  • 2012-11-15: Largest IV drop — 67.7% change
  • 2012-11-14: Highest IV Rank — 51.6%
  • 2012-11-28: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.45$0.42$0.47$0.47$0.47
Max Pain$0.37$0.37$0.37$0.37$0.37
ATM IV52.3%30.6%100.6%36.3%42.1%
Expected Move10.2%8.2%13.3%10.4%12.1%
HV 20d20.5%17.6%22.7%22.4%22.7%
HV 60d25.4%24.7%27.1%26.9%25.5%
IV Rank18.4%3.5%51.6%7.4%11.4%
IV Percentile36.8%2.8%95.2%9.1%21.0%
Term Structure-2.5%-20.5%16.4%-18.4%-12.4%
Skew 25d1.8%-11.8%15.1%9.4%-1.0%
Skew 10d5.6%-10.7%24.1%15.8%-1.1%
Call IV 25d38.0%27.1%63.5%43.8%28.2%
Put IV 25d39.7%25.9%67.4%53.2%27.2%
Bid-Ask Spread %9.514.9814.364.988.57
Gamma HHI0.580.500.790.520.63
Net GEX3.5K1.1K9.4K4.8K1.4K
Net DEX-1.2M-2.2M-98.4K-2.2M-143.4K
Net VEX-422-711-166-545-242
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.040.000.400.000.00
Total Volume56.571051800
Total OI39,658.6197,70264,20064,2007,729

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$0.47$0.3736.3%10.4%22.4%7.4%0.0%9.4%-18.4%4.8K-2.2M-5450.004.98N/AN/A0052,20012,000
2012-11-02$0.47$0.3743.5%12.5%22.5%12.4%0.0%7.1%-20.5%8.7K-2.1M-7110.007.10N/AN/A0052,20012,000
2012-11-05$0.46$0.0056.7%8.2%20.6%21.4%0.0%15.1%-2.5%5.9K-2.1M-5630.009.37N/AN/A27052,20012,000
2012-11-06$0.47$0.0052.0%8.4%20.6%18.2%0.0%7.7%-2.6%8.3K-2.1M-5740.009.23N/AN/A0051,44211,935
2012-11-07$0.46$0.0073.8%10.0%21.5%33.2%0.0%3.9%13.6%9.1K-2.0M-6390.009.37N/AN/A22051,44211,935
2012-11-08$0.45$0.0071.8%9.3%21.3%31.8%0.0%1.3%12.3%9.2K-2.0M-5740.0011.94N/AN/A0051,46411,935
2012-11-09$0.45$0.0076.2%9.4%21.3%34.8%0.0%1.3%16.2%9.4K-2.0M-5410.0011.53N/AN/A0051,46411,935
2012-11-12$0.44$0.0089.3%9.1%17.6%43.8%0.0%-0.1%16.4%1.4K-2.0M-4040.009.13N/AN/A0051,46411,935
2012-11-13$0.43$0.0096.7%13.0%17.6%48.9%0.0%-11.8%-14.5%1.4K-1.9M-4260.0011.53N/AN/A0051,46411,935
2012-11-14$0.42$0.00100.6%9.7%17.6%51.6%0.0%-8.9%4.6%1.3K-1.9M-4210.4014.36N/AN/A37114751,46411,935
2012-11-15$0.43$0.3732.5%9.3%18.8%4.9%0.0%-1.7%7.5%1.3K-1.9M-4170.059.29N/AN/A120551,44212,076
2012-11-16$0.43$0.3730.6%8.8%19.5%3.5%0.0%-5.1%14.9%1.4K-1.9M-4220.006.36N/AN/A11051,44212,076
2012-11-19$0.43$0.3732.0%9.2%19.7%4.5%0.0%0.6%1.3%1.4K-98.4K-4150.009.19N/AN/A004,7732,967
2012-11-20$0.43$0.3731.4%9.0%19.8%4.1%0.0%0.2%2.3%1.4K-102.2K-3890.009.19N/AN/A6504,7732,967
2012-11-21$0.44$0.3736.3%10.4%20.7%7.5%0.0%-1.0%-10.0%1.4K-103.1K-3840.0011.78N/AN/A504,7352,967
2012-11-23$0.44$0.3737.6%10.8%19.9%8.3%0.0%-1.1%-10.8%1.3K-114.7K-3040.0012.18N/AN/A004,7402,967
2012-11-26$0.44$0.3738.6%11.1%19.9%9.0%0.0%0.9%-11.3%1.2K-121.8K-2490.009.51N/AN/A12004,7402,967
2012-11-27$0.45$0.3740.5%11.6%22.4%10.3%0.0%2.1%-11.6%1.1K-133.7K-1860.005.74N/AN/A004,7402,967
2012-11-28$0.46$0.3746.5%13.3%22.3%14.4%0.0%11.0%-14.9%1.3K-132.8K-2900.0011.87N/AN/A13104,7402,967
2012-11-29$0.46$0.3734.1%9.8%22.5%6.0%0.0%7.5%-12.2%1.1K-143.5K-1660.007.48N/AN/A16404,7402,967
2012-11-30$0.47$0.3742.1%12.1%22.7%11.4%0.0%-1.0%-12.4%1.4K-143.4K-2420.008.57N/AN/A004,7622,967