GEN Options History — March 2015

In March 2015, GEN traded between $6.82 and $7.49. ATM implied volatility averaged 45.2%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded below realized volatility by 100.5% (HV 20d: 145.6%). Max pain ranged from $5.00 to $10.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.12.

Notable Days

  • 2015-03-30: Highest Volume — 1,444 contracts
  • 2015-03-31: Largest IV spike — 32.9% change
  • 2015-03-04: Highest IV Rank — 22.1%
  • 2015-03-04: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.11$6.82$7.49$7.10$7.12
Max Pain$7.61$5.00$10.00$10.00$5.00
ATM IV45.2%33.1%59.7%43.6%49.0%
Expected Move12.5%9.5%17.1%12.5%14.1%
HV 20d145.6%27.4%1003.9%1003.3%34.4%
HV 60d578.1%577.8%578.3%578.3%577.9%
IV Rank12.7%4.9%22.1%11.7%15.2%
IV Percentile31.5%6.7%63.5%26.2%44.4%
Term Structure0.4%-11.8%14.3%6.2%-5.1%
VWIV54.2%39.7%70.5%44.2%59.8%
Skew 25d12.7%2.4%56.2%10.6%6.8%
Skew 10d20.6%6.7%52.0%10.2%11.6%
Call IV 25d45.5%30.5%75.0%48.0%47.3%
Put IV 25d58.2%37.6%101.6%58.6%54.1%
Bid-Ask Spread %113.8943.32133.9943.32115.18
Gamma HHI0.670.510.950.520.92
Net GEX-6.0K-17.3K-1.5K-1.7K-16.3K
Net DEX33.9K-111.6K335.5K-49.8K335.5K
Net VEX-1.1K-2.2K-547-788-1.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.003.200.143.20
Total Volume336.68201,4444111,444
Total OI1,216.2279321,9329691,886

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$7.10$10.0043.6%12.5%1003.3%11.7%44.2%10.6%6.2%-1.7K-49.8K-7880.1443.32N/AN/A36150560409
2015-03-03$7.11$10.0054.3%15.6%1003.9%18.6%56.4%35.3%-2.8%-1.6K-55.0K-8040.14110.14N/AN/A36150570409
2015-03-04$7.11$10.0059.7%17.1%82.8%22.1%64.6%20.6%-7.2%-1.6K-75.4K-7630.14116.70N/AN/A36150570399
2015-03-05$7.12$7.5051.3%13.4%82.6%16.7%56.6%38.4%-2.7%-1.8K-58.0K-7470.14110.63N/AN/A36150570399
2015-03-06$7.05$7.5043.3%13.9%80.5%11.5%54.0%56.2%-5.5%-1.6K-51.1K-7310.14109.26N/AN/A36150570399
2015-03-09$7.00$7.5053.6%10.6%78.2%18.2%0.0%30.6%5.3%-2.3K-52.1K-6670.00116.92N/AN/A00570379
2015-03-10$6.82$7.5059.2%11.7%77.8%21.8%0.0%3.3%-0.5%-1.5K-32.4K-6570.00118.77N/AN/A00570379
2015-03-11$7.00$7.5043.9%12.6%78.0%11.9%0.0%2.8%3.8%-1.7K-51.6K-6740.00116.79N/AN/A00570379
2015-03-12$7.10$7.5033.1%9.5%75.8%4.9%0.0%3.8%14.3%-3.3K-57.7K-6300.00117.94N/AN/A00570379
2015-03-13$7.14$7.5042.2%12.1%76.0%10.8%0.0%11.0%1.7%-2.5K-67.8K-6520.00119.68N/AN/A00570379
2015-03-16$6.96$7.5042.1%12.1%75.4%10.7%0.0%3.3%-2.7%-2.0K-48.7K-6220.00118.57N/AN/A00570379
2015-03-17$7.05$7.5044.6%12.8%74.7%12.4%0.0%2.4%0.4%-2.2K-55.9K-6100.00118.39N/AN/A00570379
2015-03-18$7.11$7.5045.6%13.1%75.0%13.0%0.0%5.3%-1.6%-2.3K-64.9K-6260.00121.29N/AN/A00570379
2015-03-19$7.10$7.5043.1%12.4%75.0%11.4%0.0%6.3%3.5%-2.7K-58.2K-5970.00118.63N/AN/A00570379
2015-03-20$6.98$7.5035.2%10.1%27.4%6.3%0.0%3.9%13.6%-3.1K-38.7K-5470.00120.07N/AN/A00570379
2015-03-23$7.46$7.5043.3%12.4%33.4%11.5%0.0%7.8%-1.0%-4.2K-111.6K-5940.00133.99N/AN/A01,000553379
2015-03-24$7.49$7.5047.5%13.6%33.2%14.2%0.0%7.6%-11.8%-16.1K220.9K-2.2K0.00119.92N/AN/A1005531,379
2015-03-25$7.27$7.5043.5%12.5%33.4%11.7%0.0%7.3%-3.0%-14.8K261.0K-2.2K0.00126.74N/AN/A005431,379
2015-03-26$7.11$7.5044.1%12.7%34.2%12.1%70.5%4.5%-3.6%-14.1K297.6K-2.1K2.97122.40N/AN/A3441,0205531,379
2015-03-27$7.19$7.5034.4%9.9%34.3%5.8%41.4%8.9%0.2%-17.3K335.1K-2.1K0.00109.72N/AN/A0905431,379
2015-03-30$7.14$5.0036.9%10.6%34.4%7.4%39.7%3.5%7.7%-16.9K224.6K-2.0K3.20100.56N/AN/A3441,1005531,333
2015-03-31$7.12$5.0049.0%14.1%34.4%15.2%59.8%6.8%-5.1%-16.3K335.5K-1.9K3.20115.18N/AN/A3441,1005531,333