GEN Options History — June 2015

In June 2015, GEN traded between $5.86 and $6.81. ATM implied volatility averaged 56.5%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded above realized volatility by 14.7% (HV 20d: 41.7%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.94.

Notable Days

  • 2015-06-15: Highest Volume — 588 contracts
  • 2015-06-17: Largest IV spike — 72.4% change
  • 2015-06-08: Highest IV Rank — 32.6%
  • 2015-06-26: Largest Expected Move — 19.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.35$5.86$6.81$6.24$6.59
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV56.5%32.3%76.0%67.4%63.3%
Expected Move15.5%9.2%19.6%19.3%18.2%
HV 20d41.7%23.2%49.6%42.9%47.8%
HV 60d36.7%33.4%40.3%34.1%39.2%
IV Rank20.0%4.4%32.6%27.1%24.5%
IV Percentile55.4%4.4%84.1%76.2%73.4%
Term Structure0.5%-30.8%22.7%-28.3%5.4%
VWIV52.3%34.2%72.6%47.3%65.9%
Skew 25d12.0%-5.7%37.1%2.2%25.4%
Skew 10d25.1%-3.5%56.8%6.8%5.5%
Call IV 25d51.7%34.4%70.1%41.2%64.2%
Put IV 25d63.7%43.4%89.5%43.4%89.5%
Bid-Ask Spread %94.2226.32115.5626.32113.23
Gamma HHI0.930.690.990.960.86
Net GEX2.0K-3.9K9.2K1.9K-1.2K
Net DEX274.5K6.1K542.0K379.7K104.8K
Net VEX-3.4K-4.1K-2.1K-2.9K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.002.400.681.08
Total Volume399.909239588483239
Total OI3,416.9553,0803,5533,0803,453

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$6.24$0.0067.4%19.3%42.9%27.1%0.0%2.2%-28.3%1.9K379.7K-2.9K0.6826.32N/AN/A2871961,7201,360
2015-06-02$6.12$0.0067.3%19.3%43.2%27.0%0.0%18.2%-30.6%1.5K316.2K-3.3K0.00103.96N/AN/A26501,8601,360
2015-06-03$6.06$0.0068.3%19.6%43.2%27.7%0.0%11.0%-30.8%6.0K375.8K-3.1K0.5676.90N/AN/A3521962,0351,360
2015-06-04$5.94$7.5069.8%16.5%41.7%28.6%47.3%12.6%10.7%6.5K408.2K-3.0K0.39104.06N/AN/A3521362,0351,360
2015-06-05$5.92$7.5057.7%15.8%38.8%20.8%49.9%7.8%10.7%6.5K473.1K-2.6K0.3992.75N/AN/A3521362,0351,370
2015-06-08$6.03$7.5076.0%13.9%28.7%32.6%46.6%3.6%22.7%7.0K454.4K-2.8K0.3979.33N/AN/A3521362,0351,370
2015-06-09$5.91$7.5068.8%16.6%28.0%28.0%53.8%0.6%-10.4%6.4K358.2K-2.9K0.3981.20N/AN/A3521362,0351,370
2015-06-10$5.93$7.5060.0%17.2%28.3%22.3%56.5%-5.7%-4.9%9.2K529.9K-2.3K0.3974.96N/AN/A3521362,0351,370
2015-06-11$5.93$7.5056.2%16.1%25.7%19.8%53.9%5.4%8.2%7.3K485.8K-2.5K0.39100.66N/AN/A3521362,0351,370
2015-06-12$5.86$7.5062.8%18.0%23.2%24.1%56.5%16.6%3.7%6.7K542.0K-2.1K0.39106.27N/AN/A3521362,0351,370
2015-06-15$6.50$7.5045.2%12.9%46.0%12.7%47.3%37.1%7.9%-848190.4K-3.8K0.67104.85N/AN/A3522362,0351,370
2015-06-16$6.70$7.5032.3%9.2%46.9%4.4%35.1%15.8%17.1%-2.3K215.7K-4.0K0.6773.21N/AN/A3522362,0351,470
2015-06-17$6.42$7.5055.6%15.9%48.3%19.5%61.8%-1.3%-13.6%5.2K280.5K-3.7K2.05105.83N/AN/A1152362,0361,470
2015-06-18$6.59$7.5041.0%11.8%49.4%10.0%45.4%6.0%4.1%-768221.0K-3.9K2.40111.13N/AN/A1152762,0431,470
2015-06-19$6.73$7.5032.5%9.3%49.6%4.5%34.2%14.6%20.7%-3.9K253.5K-4.0K2.4049.76N/AN/A1152762,0431,510
2015-06-22$6.79$7.5042.8%12.3%48.5%11.2%45.3%21.6%5.1%-3.9K100.5K-4.1K1.53111.50N/AN/A1151762,0431,410
2015-06-23$6.81$7.5051.3%14.7%47.2%16.7%52.9%21.9%9.5%-2.0K40.2K-4.1K1.53115.56N/AN/A1151762,0431,410
2015-06-24$6.71$7.5045.7%13.1%47.6%13.1%49.7%11.8%10.6%-651157.5K-3.9K1.08114.60N/AN/A1151242,0431,410
2015-06-25$6.72$7.5056.5%16.2%47.6%20.0%58.9%13.3%2.2%-3.1K21.7K-4.1K1.08108.94N/AN/A1151242,0431,410
2015-06-26$6.76$7.5068.4%19.6%47.4%27.7%72.6%25.5%-9.4%-6946.1K-4.0K1.08106.56N/AN/A1151242,0431,410
2015-06-29$6.54$7.5053.6%15.4%48.5%18.2%59.8%-0.8%-0.7%-1.5K123.3K-3.7K1.08111.27N/AN/A1151242,0431,410
2015-06-30$6.59$7.5063.3%18.2%47.8%24.5%65.9%25.4%5.4%-1.2K104.8K-3.7K1.08113.23N/AN/A1151242,0431,410