GEN Options History — December 2012

In December 2012, GEN traded between $0.47 and $0.53. ATM implied volatility averaged 37.0%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 17.7% (HV 20d: 19.3%). Max pain ranged from $0.37 to $0.37. Net GEX was positive for 10 of 10 trading days. Term structure was in contango for 5 of 10 days. Put/call ratio averaged 0.00.

Notable Days

2012-12-05: Highest Volume — 115 contracts
2012-12-10: Largest IV spike — 24.5% change
2012-12-05: Highest IV Rank — 13.7%
2012-12-05: Largest Expected Move — 13.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.49	$0.47	$0.53	$0.47	$0.53
Max Pain	$0.37	$0.37	$0.37	$0.37	$0.37
ATM IV	37.0%	25.7%	45.4%	39.6%	27.2%
Expected Move	9.5%	6.0%	13.0%	11.4%	7.8%
HV 20d	19.3%	12.0%	22.8%	22.3%	16.9%
HV 60d	22.9%	21.9%	25.3%	25.3%	23.2%
IV Rank	7.9%	0.2%	13.7%	9.7%	1.2%
IV Percentile	13.1%	0.4%	27.4%	15.5%	0.8%
Term Structure	-2.6%	-15.0%	12.0%	-14.4%	12.0%
VWIV	47.8%	47.8%	47.8%	47.8%	47.8%
Skew 25d	10.7%	-4.4%	16.4%	8.4%	16.4%
Skew 10d	10.5%	-4.8%	21.2%	13.4%	11.1%
Call IV 25d	33.3%	24.4%	42.6%	42.6%	27.8%
Put IV 25d	44.0%	32.7%	58.6%	51.0%	44.2%
Bid-Ask Spread %	11.01	6.03	16.55	11.57	16.55
Gamma HHI	0.79	0.63	1.00	0.63	1.00
Net GEX	1.6K	1.4K	1.9K	1.4K	1.9K
Net DEX	-162.0K	-192.0K	-142.6K	-142.6K	-192.0K
Net VEX	-222	-262	-156	-235	-195
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	25.7	0	115	55	11
Total OI	7,767.5	7,729	7,783	7,729	7,756

Daily Data (10 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	Spread %	Call Wall	Put Wall	Call Vol	Call OI	Put OI
2012-12-03	$0.47	$0.37	39.6%	11.4%	22.3%	9.7%	0.0%	8.4%	-14.4%	1.4K	-142.6K	-235	11.57	N/A	N/A	55	4,762	2,967
2012-12-04	$0.47	$0.37	41.5%	11.9%	22.3%	11.0%	0.0%	10.8%	-15.0%	1.5K	-144.7K	-242	11.57	N/A	N/A	0	4,816	2,967
2012-12-05	$0.48	$0.37	45.4%	13.0%	22.8%	13.7%	0.0%	16.1%	-14.8%	1.4K	-152.1K	-201	13.90	N/A	N/A	115	4,816	2,967
2012-12-06	$0.48	$0.37	35.4%	10.2%	21.3%	6.8%	0.0%	-4.4%	-14.7%	1.6K	-156.0K	-262	6.03	N/A	N/A	0	4,811	2,967
2012-12-07	$0.48	$0.37	35.5%	6.0%	20.3%	6.9%	0.0%	9.6%	1.5%	1.6K	-155.5K	-243	6.03	N/A	N/A	0	4,811	2,967
2012-12-10	$0.49	$0.37	44.2%	6.9%	20.9%	12.9%	47.8%	12.0%	-5.1%	1.5K	-163.7K	-156	13.70	N/A	N/A	33	4,811	2,967
2012-12-11	$0.50	$0.37	41.2%	10.6%	19.0%	10.8%	0.0%	14.5%	8.3%	1.7K	-169.5K	-227	13.98	N/A	N/A	38	4,811	2,967
2012-12-12	$0.50	$0.37	34.0%	9.6%	15.1%	5.8%	0.0%	13.9%	8.2%	1.7K	-169.2K	-231	6.26	N/A	N/A	5	4,789	2,967
2012-12-13	$0.50	$0.37	25.7%	7.4%	12.0%	0.2%	0.0%	10.0%	7.9%	1.7K	-174.2K	-223	10.53	N/A	N/A	0	4,789	2,967
2012-12-14	$0.53	$0.37	27.2%	7.8%	16.9%	1.2%	0.0%	16.4%	12.0%	1.9K	-192.0K	-195	16.55	N/A	N/A	11	4,789	2,967