GEN Options History — July 2015

In July 2015, GEN traded between $6.08 and $6.99. ATM implied volatility averaged 74.8%, placing in the 31.9% IV rank vs the trailing year. The 30-day expected move averaged 18.7%. IV traded above realized volatility by 31.3% (HV 20d: 43.5%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 2.18.

Notable Days

  • 2015-07-16: Highest Volume — 287 contracts
  • 2015-07-15: Largest IV drop — 52.3% change
  • 2015-07-14: Highest IV Rank — 60.5%
  • 2015-07-16: Largest Expected Move — 22.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.52$6.08$6.99$6.46$6.11
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV74.8%55.9%119.1%68.4%73.7%
Expected Move18.7%15.4%22.0%19.6%21.1%
HV 20d43.5%34.8%51.0%48.3%42.9%
HV 60d42.3%39.4%44.6%39.4%43.9%
IV Rank31.9%19.6%60.5%27.7%31.1%
IV Percentile80.2%60.7%98.4%76.2%83.3%
Term Structure-12.6%-34.0%3.0%-5.8%-21.6%
VWIV65.9%49.5%76.7%73.8%59.4%
Skew 25d-1.7%-25.6%20.3%-5.2%-11.4%
Skew 10d35.5%-1.2%57.2%38.7%41.0%
Call IV 25d60.8%39.8%98.3%63.6%69.3%
Put IV 25d59.1%43.9%76.1%58.4%57.9%
Bid-Ask Spread %103.7928.11154.34115.24114.00
Gamma HHI0.920.441.000.640.98
Net GEX9.6K-28015.6K-2249.2K
Net DEX-2.2K-423.1K404.5K121.6K-225.9K
Net VEX-3.0K-3.6K-2.0K-3.6K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.181.083.681.083.68
Total Volume219.818174287239206
Total OI2,920.8642,2533,4783,4532,285

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$6.46$7.5068.4%19.6%48.3%27.7%73.8%-5.2%-5.8%-224121.6K-3.6K1.08115.24N/AN/A1151242,0431,410
2015-07-02$6.35$7.5071.5%20.5%48.2%29.7%73.1%5.1%-13.5%-5202.3K-3.4K1.08115.26N/AN/A1151242,0431,410
2015-07-06$6.41$0.0081.5%19.5%48.1%36.2%0.0%-7.2%-7.8%-22176.3K-3.4K1.08102.79N/AN/A1151242,0431,410
2015-07-07$6.45$0.0079.9%19.0%47.8%35.2%0.0%-5.4%-9.3%-280195.5K-3.3K1.08104.23N/AN/A1151242,0431,410
2015-07-08$6.20$0.00112.5%16.8%49.6%56.2%0.0%20.3%-11.6%9.2K347.6K-2.9K1.08109.98N/AN/A1151242,0631,410
2015-07-09$6.37$0.0078.0%15.9%50.3%34.0%0.0%-12.1%-3.1%11.1K404.5K-2.8K1.0860.69N/AN/A1151242,0631,410
2015-07-10$6.51$0.0085.6%19.0%50.7%38.8%0.0%3.8%-8.6%10.9K302.0K-3.0K1.1093.03N/AN/A1131242,0631,410
2015-07-13$6.70$0.0078.7%16.5%51.0%34.4%0.0%-8.7%-8.2%13.0K333.5K-3.1K1.1028.11N/AN/A1131242,0681,410
2015-07-14$6.66$0.00119.1%15.4%36.0%60.5%0.0%5.3%3.0%11.7K273.5K-3.1K1.10154.34N/AN/A1131242,0681,410
2015-07-15$6.55$0.0056.8%16.3%34.8%20.2%0.0%5.5%-4.5%11.8K318.1K-3.0K1.10112.36N/AN/A1131242,0681,410
2015-07-16$6.99$0.0076.7%22.0%38.6%33.1%76.7%3.5%-28.8%15.6K231.9K-3.3K1.54151.53N/AN/A1131742,0681,410
2015-07-17$6.90$7.5064.2%18.4%38.1%25.0%64.2%11.2%-9.2%12.7K249.2K-3.2K1.54102.26N/AN/A1131742,0681,410
2015-07-20$6.61$7.5068.0%19.5%40.6%27.5%68.4%8.8%-19.2%12.0K-406.8K-3.0K3.35108.28N/AN/A401341,867386
2015-07-21$6.69$7.5067.2%19.3%40.7%27.0%67.6%-13.9%-15.0%12.2K-357.1K-3.0K3.3592.61N/AN/A401341,867386
2015-07-22$6.76$7.5067.2%19.3%40.9%27.0%67.5%-10.3%-13.9%12.5K-395.3K-3.0K3.35103.19N/AN/A401341,867386
2015-07-23$6.75$7.5070.6%20.2%40.6%29.2%70.9%3.6%-19.5%12.1K-423.1K-3.0K3.05104.98N/AN/A441341,867386
2015-07-24$6.76$7.5057.7%16.5%40.6%20.8%53.0%4.0%-4.7%12.8K-403.0K-3.0K3.05109.60N/AN/A441341,871386
2015-07-27$6.56$7.5075.5%21.6%41.9%32.3%75.9%-11.4%-13.5%11.0K-382.0K-2.9K3.0595.98N/AN/A441341,871386
2015-07-28$6.46$7.5055.9%16.0%40.6%19.6%49.5%7.9%-7.8%11.3K-307.2K-2.8K3.68103.82N/AN/A441621,871386
2015-07-29$6.18$7.5073.7%21.1%43.3%31.2%67.3%-25.6%-21.0%9.4K-241.0K-2.6K3.68108.98N/AN/A441621,871414
2015-07-30$6.08$7.5063.8%18.3%43.1%24.8%54.8%-5.2%-34.0%12.0K-62.0K-2.0K3.6892.17N/AN/A441621,871414
2015-07-31$6.11$7.5073.7%21.1%42.9%31.1%59.4%-11.4%-21.6%9.2K-225.9K-2.5K3.68114.00N/AN/A441621,871414