GEN Options History — October 2015 In October 2015, GEN traded between $4.93 and $5.90. ATM implied volatility averaged 85.3%, placing in the 40.9% IV rank vs the trailing year. The 30-day expected move averaged 20.4%. IV traded above realized volatility by 26.9% (HV 20d: 58.3%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 2.99.
Notable Days 2015-10-01 : Highest Volume — 237 contracts2015-10-23 : Largest IV spike — 1264.2% change2015-10-13 : Highest IV Rank — 95.0%2015-10-28 : Largest Expected Move — 45.7%Monthly Statistics Metric Avg Min Max Open Close Price $5.48 $4.93 $5.90 $5.65 $4.99 Max Pain $7.50 $7.50 $7.50 $7.50 $7.50 ATM IV 85.3% 7.2% 172.5% 80.4% 51.2% Expected Move 20.4% 2.1% 45.7% 23.1% 14.7% HV 20d 58.3% 48.5% 66.1% 54.4% 48.5% HV 60d 53.8% 51.7% 55.8% 53.9% 52.5% IV Rank 40.9% 0.0% 95.0% 35.5% 25.4% IV Percentile 78.2% 0.0% 99.6% 93.7% 42.9% Term Structure -13.4% -65.5% 70.2% -43.5% -44.9% VWIV 65.6% 12.7% 114.0% 77.0% 95.1% Skew 25d 19.3% -7.5% 59.7% -7.5% 59.7% Skew 10d 34.6% -5.9% 64.5% -5.9% 39.4% Call IV 25d 65.4% 38.0% 97.5% 80.2% 38.0% Put IV 25d 84.7% 58.5% 131.3% 72.7% 97.7% Bid-Ask Spread % 117.16 66.64 170.19 109.18 141.31 Gamma HHI 0.84 0.70 0.98 0.88 0.76 Net GEX 1.2K 873 2.1K 1.6K 1.0K Net DEX 114.6K -473 222.1K 199.6K 15.3K Net VEX -321 -584 -178 -372 -347 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.99 2.47 3.44 2.82 2.47 Total Volume 203.136 0 237 237 198 Total OI 1,630.818 614 2,507 2,507 630
Daily Data (22 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 2015-10-01 $5.65 $7.50 80.4% 23.1% 54.4% 35.5% 77.0% -7.5% -43.5% 1.6K 199.6K -372 2.82 109.18 N/A N/A 62 175 2,042 465 2015-10-02 $5.66 $7.50 78.0% 22.4% 54.6% 34.0% 79.7% 7.2% -23.6% 1.1K 211.9K -290 2.82 109.95 N/A N/A 62 175 2,042 465 2015-10-05 $5.84 $7.50 89.4% 15.1% 56.6% 41.3% 0.0% 6.2% 15.6% 1.2K 222.1K -268 0.00 87.07 N/A N/A 0 0 2,032 459 2015-10-06 $5.77 $7.50 88.4% 16.4% 56.6% 40.6% 67.3% 5.7% 6.2% 1.2K 214.6K -257 2.82 85.38 N/A N/A 62 175 2,042 459 2015-10-07 $5.90 $7.50 100.8% 24.8% 57.8% 48.6% 63.1% 7.0% -39.6% 1.4K 203.6K -330 2.82 97.83 N/A N/A 62 175 2,042 459 2015-10-08 $5.81 $7.50 97.1% 19.6% 57.7% 46.3% 62.8% 13.0% 1.2% 1.1K 217.5K -241 2.82 69.19 N/A N/A 62 175 2,042 459 2015-10-09 $5.85 $7.50 101.3% 16.3% 58.0% 49.0% 58.1% 0.1% -4.9% 1.2K 208.8K -304 2.82 66.64 N/A N/A 62 175 2,042 459 2015-10-12 $5.80 $7.50 117.8% 18.1% 57.9% 59.6% 61.4% 7.8% -11.7% 1.8K 178.0K -464 2.82 69.77 N/A N/A 62 175 2,042 459 2015-10-13 $5.59 $7.50 172.5% 21.6% 58.7% 95.0% 63.9% 13.6% -29.7% 1.4K 185.5K -405 2.82 107.54 N/A N/A 62 175 2,042 459 2015-10-14 $5.40 $7.50 74.5% 21.4% 59.0% 31.7% 68.4% 17.1% -10.1% 1.0K 135.3K -254 2.92 106.69 N/A N/A 60 175 2,042 343 2015-10-15 $5.80 $7.50 75.1% 21.5% 63.9% 32.0% 61.6% 42.2% -19.0% 1.5K 87.4K -584 2.92 103.43 N/A N/A 60 175 2,042 363 2015-10-16 $5.66 $7.50 66.0% 18.9% 63.0% 26.2% 63.7% 36.0% 16.6% 1.1K 158.3K -214 2.92 105.88 N/A N/A 60 175 2,042 363 2015-10-19 $5.51 $7.50 71.9% 20.6% 62.8% 30.0% 70.9% 18.3% 8.1% 903 63.0K -178 3.44 117.17 N/A N/A 41 141 459 155 2015-10-20 $5.50 $7.50 77.1% 22.1% 62.8% 33.4% 63.6% 7.5% -17.7% 989 61.1K -181 3.44 99.39 N/A N/A 41 141 459 155 2015-10-21 $5.50 $7.50 23.5% 6.7% 62.2% 0.0% 23.6% 0.0% -14.9% 2.1K 578 -481 3.44 170.19 N/A N/A 41 141 459 155 2015-10-22 $5.10 $7.50 7.2% 2.1% 66.1% 0.0% 12.7% 0.0% 70.2% 1.4K 22.4K -344 3.44 164.91 N/A N/A 41 141 459 155 2015-10-23 $5.10 $7.50 98.6% 28.3% 62.4% 52.8% 83.1% 42.7% -43.4% 943 42.1K -256 3.44 157.62 N/A N/A 41 141 459 155 2015-10-26 $5.09 $7.50 27.8% 8.0% 58.3% 11.9% 27.8% 0.0% -29.3% 1.0K 12.9K -391 3.44 167.76 N/A N/A 41 141 459 155 2015-10-27 $4.93 $7.50 114.0% 32.7% 58.8% 61.7% 94.8% 36.5% 22.3% 873 42.0K -263 3.44 163.64 N/A N/A 41 141 459 155 2015-10-28 $5.06 $7.50 159.3% 45.7% 55.2% 87.9% 0.0% 0.0% -65.5% 1.2K -473 -414 2.47 152.88 N/A N/A 57 141 459 155 2015-10-29 $5.05 $7.50 104.5% 29.9% 48.5% 56.2% 114.0% 33.8% -37.9% 883 39.4K -229 2.47 124.07 N/A N/A 57 141 475 155 2015-10-30 $4.99 $7.50 51.2% 14.7% 48.5% 25.4% 95.1% 59.7% -44.9% 1.0K 15.3K -347 2.47 141.31 N/A N/A 57 141 475 155
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