GEN Options History — May 2015

In May 2015, GEN traded between $6.34 and $7.31. ATM implied volatility averaged 58.3%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 20.1% (HV 20d: 38.2%). Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.59.

Notable Days

  • 2015-05-14: Highest Volume — 1,205 contracts
  • 2015-05-12: Largest IV spike — 55.8% change
  • 2015-05-12: Highest IV Rank — 43.4%
  • 2015-05-29: Largest Expected Move — 17.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.78$6.34$7.31$6.94$6.36
ATM IV58.3%42.4%92.7%57.1%60.5%
Expected Move14.0%10.8%17.3%16.4%17.3%
HV 20d38.2%22.2%45.3%22.6%42.6%
HV 60d43.8%33.0%52.8%52.8%34.0%
IV Rank21.2%10.9%43.4%20.4%22.6%
IV Percentile57.8%23.0%92.5%63.1%71.0%
Term Structure-6.4%-22.3%2.2%-21.6%-22.3%
Skew 25d6.0%-3.4%14.1%-0.5%10.6%
Skew 10d13.1%-12.4%25.4%5.2%0.9%
Call IV 25d48.6%35.1%65.5%41.6%65.5%
Put IV 25d54.6%36.3%76.2%41.1%76.2%
Bid-Ask Spread %101.8739.00119.4164.55112.08
Gamma HHI0.830.540.980.960.95
Net GEX-4.0K-11.9K1.6K-10.9K-2.0K
Net DEX121.1K-211.1K382.5K369.4K223.0K
Net VEX-3.4K-4.2K-1.6K-1.7K-3.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.001.430.201.43
Total Volume575.301,205486333
Total OI2,553.251,4273,0801,4373,080

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$6.94$0.0057.1%16.4%22.6%20.4%0.0%-0.5%-21.6%-10.9K369.4K-1.7K0.2064.55N/AN/A406803931,044
2015-05-04$6.90$0.0055.0%10.8%22.4%19.1%0.0%1.8%0.8%-11.9K382.5K-1.6K0.0092.76N/AN/A1003831,044
2015-05-05$6.86$0.0081.6%12.6%22.2%36.3%0.0%1.3%-10.8%-11.7K369.8K-1.7K0.3779.84N/AN/A216804031,044
2015-05-06$6.59$0.0090.9%14.0%25.6%42.2%0.0%2.8%-3.0%-8.3K331.2K-1.6K0.11109.34N/AN/A713804031,044
2015-05-07$6.83$0.0063.1%12.7%29.2%24.3%0.0%-3.1%-4.2%-6.5K260.2K-2.3K0.2439.00N/AN/A329808021,044
2015-05-08$7.31$0.0060.4%13.4%38.0%22.5%0.0%10.6%2.2%-5.9K62.7K-2.8K0.03112.45N/AN/A791249151,044
2015-05-11$7.09$0.0059.5%11.4%39.3%22.0%0.0%10.4%1.3%-526-211.1K-4.1K0.00119.41N/AN/A001,6851,068
2015-05-12$7.02$0.0092.7%14.1%39.5%43.4%0.0%4.3%0.3%1.6K-128.9K-4.1K0.34107.58N/AN/A8963041,6951,068
2015-05-13$6.74$0.0046.3%13.3%42.0%13.5%0.0%7.6%1.1%-1.0K-52.6K-4.2K0.34110.43N/AN/A8963041,6951,268
2015-05-14$6.90$0.0048.8%14.0%43.0%15.1%0.0%7.2%-10.0%-4.6K17.9K-4.2K0.34113.29N/AN/A9013041,6951,268
2015-05-15$6.91$0.0050.9%14.6%43.0%16.4%0.0%9.4%-10.2%-1.6K36.6K-4.2K0.34113.29N/AN/A9013041,7101,268
2015-05-18$7.04$0.0042.4%12.2%43.5%10.9%0.0%6.0%0.5%-4.6K8.3K-4.2K0.00117.76N/AN/A001,6601,268
2015-05-19$6.85$0.0050.8%14.6%44.3%16.4%0.0%9.8%-6.9%-1.6K34.6K-4.1K0.00111.32N/AN/A001,6601,268
2015-05-20$6.83$0.0053.8%15.4%44.0%18.3%0.0%5.0%-16.9%-2.4K81.2K-4.0K0.35109.68N/AN/A8613041,6701,268
2015-05-21$6.71$0.0042.5%12.2%44.2%11.0%0.0%3.9%1.6%-1.0K73.4K-3.9K0.23103.98N/AN/A8611961,6701,268
2015-05-22$6.52$0.0046.4%13.3%45.1%13.6%0.0%-3.4%-8.2%-3.0K120.6K-4.0K1.43101.53N/AN/A1371961,6701,360
2015-05-26$6.34$0.0056.3%16.1%45.3%19.9%0.0%8.3%-7.3%-1.8K113.5K-3.8K1.43113.18N/AN/A1371961,7201,360
2015-05-27$6.39$0.0051.7%14.8%44.0%17.0%0.0%14.1%1.7%-439129.6K-3.8K1.43102.97N/AN/A1371961,7201,360
2015-05-28$6.43$0.0055.8%16.0%44.0%19.6%0.0%12.9%-16.2%-2.7K200.5K-3.7K1.43102.98N/AN/A1371961,7201,360
2015-05-29$6.36$0.0060.5%17.3%42.6%22.6%0.0%10.6%-22.3%-2.0K223.0K-3.5K1.43112.08N/AN/A1371961,7201,360