GEN Options History — August 2015

In August 2015, GEN traded between $5.95 and $7.71. ATM implied volatility averaged 63.6%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 17.7%. IV traded above realized volatility by 7.5% (HV 20d: 56.1%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 2.58.

Notable Days

  • 2015-08-20: Highest Volume — 388 contracts
  • 2015-08-11: Largest IV spike — 41.6% change
  • 2015-08-25: Highest IV Rank — 36.9%
  • 2015-08-25: Largest Expected Move — 23.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.03$5.95$7.71$5.95$7.25
Max Pain$9.52$7.50$10.00$7.50$7.50
ATM IV63.6%38.6%82.5%75.6%72.0%
Expected Move17.7%11.1%23.7%21.7%20.6%
HV 20d56.1%43.5%61.0%43.5%59.6%
HV 60d47.6%41.1%51.0%43.5%50.8%
IV Rank24.7%8.5%36.9%32.4%30.1%
IV Percentile69.5%16.7%91.7%85.3%84.1%
Term Structure-8.5%-21.0%1.9%-21.0%-8.3%
VWIV62.5%38.5%84.4%68.8%72.6%
Skew 25d6.8%-16.9%54.1%-12.4%15.2%
Skew 10d21.5%-9.0%86.5%41.1%28.1%
Call IV 25d57.2%41.6%76.3%76.3%52.7%
Put IV 25d64.0%43.7%104.2%63.8%67.9%
Bid-Ask Spread %98.0624.18138.05113.50108.99
Gamma HHI0.980.961.000.970.97
Net GEX15.9K10.5K26.1K10.5K16.3K
Net DEX-433.0K-710.6K-35.3K-35.3K-488.2K
Net VEX-2.9K-3.2K-1.9K-1.9K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.580.434.433.683.59
Total Volume279.90503880312
Total OI2,476.7142,2752,6072,2752,584

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$5.95$7.5075.6%21.7%43.5%32.4%0.0%-12.4%-21.0%10.5K-35.3K-1.9K0.00113.50N/AN/A001,861414
2015-08-04$6.03$7.5061.9%17.7%43.8%23.5%68.8%5.6%-18.8%11.0K-62.5K-2.0K3.6824.18N/AN/A441621,871414
2015-08-05$6.57$7.5071.9%20.6%51.9%30.0%61.1%26.9%-20.5%11.8K-315.7K-2.7K3.6894.34N/AN/A441621,871414
2015-08-06$6.68$10.0071.8%18.4%51.4%30.0%64.4%9.1%-3.7%11.9K-372.1K-2.8K4.4389.26N/AN/A441951,871414
2015-08-07$6.96$10.0063.7%16.2%52.8%24.7%57.8%8.1%1.0%13.4K-411.3K-2.9K3.75103.26N/AN/A632361,871447
2015-08-10$7.58$10.0051.7%12.6%59.8%17.0%44.0%54.1%1.9%20.0K-569.1K-3.2K3.75106.61N/AN/A632361,890528
2015-08-11$7.48$10.0073.2%16.7%60.0%30.9%0.0%10.8%-4.2%16.4K-582.8K-3.2K0.4399.68N/AN/A47201,891528
2015-08-12$7.47$10.0057.9%16.6%59.5%20.9%56.7%-4.2%-6.1%17.0K-599.3K-3.2K1.7397.43N/AN/A1252161,901528
2015-08-13$7.71$10.0053.0%15.2%56.2%17.8%53.0%0.1%-0.8%18.3K-710.6K-3.2K2.1796.26N/AN/A992151,922528
2015-08-14$7.55$10.0038.6%11.1%56.6%8.5%38.5%1.6%-5.1%22.2K-634.4K-3.2K1.87120.45N/AN/A1152151,963537
2015-08-17$7.32$10.0043.0%12.3%55.5%11.3%42.8%8.2%-7.4%26.1K-592.2K-3.1K1.98111.61N/AN/A1302572,003537
2015-08-18$7.38$10.0051.8%14.9%55.4%17.0%51.9%5.3%1.6%17.4K-572.3K-3.2K1.9871.81N/AN/A1302572,023583
2015-08-19$7.23$10.0052.3%15.0%56.1%17.4%0.0%1.7%0.4%17.0K-487.9K-3.2K0.0078.85N/AN/A032,013583
2015-08-20$6.94$10.0061.0%17.5%58.2%22.9%61.4%6.8%-7.2%16.2K-408.1K-3.0K1.9689.68N/AN/A1312572,023583
2015-08-21$7.02$10.0062.0%17.8%58.4%23.6%62.5%9.1%-6.3%15.4K-391.1K-3.0K1.91102.46N/AN/A1292472,024583
2015-08-24$6.77$10.0071.2%20.4%58.8%29.5%81.6%0.0%-8.1%12.7K-349.9K-2.8K2.28138.05N/AN/A1072442,001560
2015-08-25$6.54$10.0082.5%23.7%60.0%36.9%84.4%-1.2%-14.6%11.7K-306.6K-2.7K2.28106.97N/AN/A1072442,001560
2015-08-26$6.77$10.0077.1%22.1%58.6%33.4%78.0%-16.9%-17.2%13.4K-315.4K-2.8K2.28109.13N/AN/A1072442,001560
2015-08-27$7.17$10.0072.2%20.7%61.0%30.2%72.8%13.9%-17.3%17.3K-432.6K-2.9K2.68106.04N/AN/A912442,001560
2015-08-28$7.17$10.0071.8%20.6%61.0%29.9%72.3%-5.3%-16.0%17.2K-455.4K-2.9K2.6590.77N/AN/A922442,004560
2015-08-31$7.25$7.5072.0%20.6%59.6%30.1%72.6%15.2%-8.3%16.3K-488.2K-2.9K3.59108.99N/AN/A682442,024560