GEN Options History — February 2015 In February 2015, GEN traded between $6.89 and $8.84. ATM implied volatility averaged 67.2%, placing in the 30.2% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded below realized volatility by 930.2% (HV 20d: 997.4%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 9 of 18 trading days. Term structure was in contango for 9 of 18 days. Put/call ratio averaged 0.48.
Notable Days 2015-02-18 : Highest Volume — 816 contracts2015-02-06 : Largest IV spike — 84.2% change2015-02-09 : Highest IV Rank — 100.0%2015-02-04 : Largest Expected Move — 22.3%Monthly Statistics Metric Avg Min Max Open Close Price $8.06 $6.89 $8.84 $8.72 $7.10 Max Pain $9.55 $7.50 $10.00 $7.50 $10.00 ATM IV 67.2% 37.5% 180.3% 60.2% 48.8% Expected Move 14.8% 10.8% 22.3% 17.3% 14.0% HV 20d 997.4% 993.1% 1003.2% 993.1% 1003.1% HV 60d 576.7% 575.5% 578.4% 575.5% 578.3% IV Rank 30.2% 7.8% 100.0% 23.8% 15.1% IV Percentile 51.8% 14.7% 100.0% 59.5% 40.1% Term Structure 7.0% -42.8% 63.5% -23.3% 1.3% VWIV 51.3% 34.0% 64.6% 49.3% 52.8% Skew 25d 11.3% -10.3% 36.3% 9.8% 20.9% Skew 10d 28.4% -4.2% 91.5% 11.6% 19.0% Call IV 25d 48.0% 27.5% 63.8% 47.2% 61.5% Put IV 25d 59.3% 36.3% 82.4% 57.0% 82.4% Bid-Ask Spread % 76.62 39.34 115.66 66.27 115.66 Gamma HHI 0.41 0.32 0.57 0.46 0.50 Net GEX -235 -2.2K 992 -558 -1.5K Net DEX -179.8K -281.6K -30.0K -281.6K -46.9K Net VEX -901 -1.1K -699 -862 -816 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.48 0.00 1.76 0.55 0.14 Total Volume 481.222 9 816 567 401 Total OI 985.5 924 1,190 924 969
Daily Data (18 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 2015-02-03 $8.72 $7.50 60.2% 17.3% 993.1% 23.8% 49.3% 9.8% -23.3% -558 -281.6K -862 0.55 66.27 N/A N/A 365 202 580 344 2015-02-04 $8.47 $7.50 77.8% 22.3% 993.8% 49.4% 55.2% -10.3% -42.8% -150 -255.6K -907 0.55 66.27 N/A N/A 365 202 590 344 2015-02-05 $8.82 $0.00 51.8% 12.8% 993.2% 24.9% 0.0% 36.3% 15.4% 737 -262.6K -877 0.55 53.04 N/A N/A 365 202 590 344 2015-02-06 $8.29 $0.00 95.4% 18.4% 994.9% 66.0% 0.0% 14.0% -16.9% -56 -256.1K -857 0.55 53.04 N/A N/A 365 202 590 344 2015-02-09 $8.44 $0.00 160.3% 15.3% 994.6% 100.0% 0.0% 32.5% 40.1% 783 -231.3K -1.0K 0.57 104.14 N/A N/A 365 207 590 344 2015-02-10 $8.10 $0.00 180.3% 13.1% 995.6% 100.0% 0.0% 13.7% 63.5% 831 -197.3K -1.1K 0.57 52.08 N/A N/A 365 207 590 344 2015-02-11 $8.49 $0.00 57.9% 16.6% 995.2% 20.9% 0.0% 25.8% 33.1% 896 -222.3K -1.1K 0.57 86.73 N/A N/A 365 207 590 349 2015-02-12 $8.44 $0.00 38.1% 10.9% 995.6% 8.2% 0.0% -6.5% 46.5% 950 -229.6K -1.0K 0.59 112.10 N/A N/A 365 217 590 349 2015-02-13 $8.62 $0.00 47.5% 13.6% 995.4% 14.2% 44.3% 27.1% 40.8% 992 -233.1K -1.0K 0.65 55.77 N/A N/A 365 237 590 354 2015-02-17 $8.84 $10.00 37.5% 10.8% 995.1% 7.8% 44.0% 0.0% 23.9% 209 -235.0K -950 0.65 69.24 N/A N/A 365 237 590 374 2015-02-18 $8.78 $10.00 44.5% 12.8% 995.2% 12.3% 43.9% -9.6% 7.0% 345 -252.2K -963 0.41 63.52 N/A N/A 579 237 800 374 2015-02-19 $8.79 $10.00 47.4% 13.6% 995.3% 14.2% 34.0% -9.3% -7.2% 315 -276.5K -898 0.00 63.28 N/A N/A 9 0 809 374 2015-02-20 $7.21 $10.00 44.7% 12.8% 1001.9% 12.5% 0.0% 3.3% -3.0% -1.5K -60.6K -699 1.76 72.82 N/A N/A 25 44 816 374 2015-02-23 $6.94 $10.00 55.4% 15.9% 1002.9% 19.3% 64.6% 1.6% -14.8% -1.5K -73.8K -778 0.12 39.34 N/A N/A 351 43 560 386 2015-02-24 $6.89 $10.00 48.2% 13.8% 1003.0% 14.7% 55.0% 11.8% -6.7% -1.2K -30.0K -795 0.14 104.22 N/A N/A 351 50 560 399 2015-02-25 $7.12 $10.00 59.8% 17.1% 1002.8% 22.1% 63.2% 3.0% -15.7% -1.7K -39.5K -787 0.14 98.28 N/A N/A 351 50 560 409 2015-02-26 $7.04 $10.00 53.8% 15.4% 1003.2% 18.3% 57.9% 27.7% -15.4% -2.2K -51.4K -785 0.14 103.34 N/A N/A 351 50 560 409 2015-02-27 $7.10 $10.00 48.8% 14.0% 1003.1% 15.1% 52.8% 20.9% 1.3% -1.5K -46.9K -816 0.14 115.66 N/A N/A 351 50 560 409
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