GEN Options History — September 2015 In September 2015, GEN traded between $5.74 and $7.35. ATM implied volatility averaged 61.7%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 17.5%. IV traded above realized volatility by 18.5% (HV 20d: 43.2%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 4.57.
Notable Days 2015-09-01 : Highest Volume — 312 contracts2015-09-25 : Largest IV spike — 32.1% change2015-09-30 : Highest IV Rank — 39.9%2015-09-30 : Largest Expected Move — 25.0%Monthly Statistics Metric Avg Min Max Open Close Price $6.81 $5.74 $7.35 $7.17 $6.12 Max Pain $7.50 $7.50 $7.50 $7.50 $7.50 ATM IV 61.7% 47.2% 87.2% 76.3% 87.2% Expected Move 17.5% 13.5% 25.0% 21.9% 25.0% HV 20d 43.2% 36.8% 60.1% 60.1% 49.8% HV 60d 47.9% 44.9% 52.0% 50.8% 52.0% IV Rank 23.4% 14.0% 39.9% 32.8% 39.9% IV Percentile 68.9% 38.5% 95.2% 88.5% 95.2% Term Structure -5.2% -43.9% 8.4% -11.1% -43.9% VWIV 66.3% 56.3% 88.3% 77.0% 88.3% Skew 25d 10.1% -0.8% 29.2% 8.8% 29.2% Skew 10d 15.1% -1.2% 46.6% 20.4% 34.9% Call IV 25d 56.9% 47.6% 66.8% 60.9% 61.0% Put IV 25d 67.0% 53.0% 90.2% 69.7% 90.2% Bid-Ask Spread % 90.07 21.58 114.14 109.05 104.25 Gamma HHI 0.96 0.90 0.98 0.96 0.93 Net GEX 15.9K 1.2K 21.3K 15.7K 3.5K Net DEX -258.6K -533.5K 218.8K -505.6K 161.7K Net VEX -2.0K -2.9K -356 -2.9K -639 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 4.57 2.82 5.47 3.59 2.82 Total Volume 206.429 0 312 312 237 Total OI 2,560.238 2,464 2,623 2,601 2,477
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2015-09-01 $7.17 $7.50 76.3% 21.9% 60.1% 32.8% 77.0% 8.8% -11.1% 15.7K -505.6K -2.9K 3.59 109.05 N/A N/A 68 244 2,041 560 2015-09-02 $7.35 $7.50 69.1% 19.8% 53.2% 28.2% 69.6% 10.3% -11.1% 19.1K -533.5K -2.9K 3.75 114.14 N/A N/A 65 244 2,041 560 2015-09-03 $7.28 $7.50 67.7% 16.9% 53.3% 27.3% 60.9% 2.2% -1.4% 18.4K -525.4K -2.9K 4.52 96.47 N/A N/A 54 244 2,045 560 2015-09-04 $7.29 $7.50 70.8% 17.0% 51.5% 29.3% 59.6% 1.8% -5.7% 18.5K -508.1K -2.8K 4.52 92.25 N/A N/A 54 244 2,045 560 2015-09-08 $7.26 $7.50 52.9% 18.0% 41.1% 17.7% 0.0% -0.8% -9.6% 18.0K -507.9K -2.7K 0.00 98.57 N/A N/A 0 0 2,035 560 2015-09-09 $7.13 $7.50 57.2% 16.4% 41.3% 20.5% 60.1% 0.8% -4.0% 19.2K -433.9K -2.6K 3.31 95.94 N/A N/A 54 179 2,045 560 2015-09-10 $7.12 $7.50 61.2% 17.6% 41.3% 23.1% 65.0% 16.8% -9.4% 18.3K -465.0K -2.6K 4.84 91.47 N/A N/A 37 179 2,045 570 2015-09-11 $7.02 $7.50 53.9% 15.5% 39.5% 18.4% 56.3% 5.5% -2.3% 19.2K -332.1K -2.4K 4.84 39.01 N/A N/A 37 179 2,052 570 2015-09-14 $6.89 $7.50 57.7% 16.5% 39.4% 20.8% 59.0% 3.1% -4.7% 17.9K -292.6K -2.3K 4.86 82.28 N/A N/A 37 180 2,052 570 2015-09-15 $6.87 $7.50 61.9% 17.7% 38.1% 23.5% 0.0% 18.4% -7.2% 17.7K -282.4K -2.2K 0.00 83.62 N/A N/A 0 0 2,042 571 2015-09-16 $6.91 $7.50 56.2% 16.1% 38.0% 19.9% 58.5% 4.1% -3.8% 19.7K -249.6K -2.2K 4.86 21.58 N/A N/A 37 180 2,052 571 2015-09-17 $7.17 $7.50 54.9% 15.7% 40.0% 19.0% 66.8% 24.2% -5.4% 21.3K -381.2K -2.4K 4.86 91.90 N/A N/A 37 180 2,052 571 2015-09-18 $6.87 $7.50 51.6% 14.8% 40.2% 16.9% 60.4% 5.5% -0.7% 21.0K -217.3K -2.1K 4.86 99.42 N/A N/A 37 180 2,052 571 2015-09-21 $6.94 $7.50 56.6% 16.2% 40.2% 20.1% 70.6% 12.4% 1.0% 21.0K -319.6K -2.1K 4.44 100.97 N/A N/A 32 142 2,010 454 2015-09-22 $6.80 $7.50 53.3% 15.3% 38.7% 18.0% 68.6% 11.4% 4.2% 19.9K -268.4K -2.0K 4.44 102.61 N/A N/A 32 142 2,012 454 2015-09-23 $6.56 $7.50 47.2% 13.5% 38.9% 14.0% 57.4% 7.2% 8.4% 20.5K -187.2K -1.7K 4.44 46.76 N/A N/A 32 142 2,012 454 2015-09-24 $6.61 $7.50 57.0% 16.3% 36.8% 20.3% 73.3% 18.5% 7.7% 17.8K -176.6K -1.7K 5.44 97.09 N/A N/A 32 174 2,012 454 2015-09-25 $6.15 $7.50 75.3% 21.6% 38.2% 32.2% 74.4% 16.8% -22.3% 4.7K 173.8K -687 5.44 111.80 N/A N/A 32 174 2,012 486 2015-09-28 $5.74 $7.50 60.6% 17.4% 43.8% 22.7% 64.1% 8.6% 8.2% 1.2K 218.8K -356 5.47 103.51 N/A N/A 32 175 2,012 486 2015-09-29 $5.78 $7.50 67.5% 19.3% 43.5% 27.1% 69.5% 8.0% 4.9% 1.4K 200.5K -379 5.47 108.83 N/A N/A 32 175 2,012 465 2015-09-30 $6.12 $7.50 87.2% 25.0% 49.8% 39.9% 88.3% 29.2% -43.9% 3.5K 161.7K -639 2.82 104.25 N/A N/A 62 175 2,012 465
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