GEN Options History — January 2016

In January 2016, GEN traded between $1.70 and $3.65. ATM implied volatility averaged 122.2%, placing in the 63.5% IV rank vs the trailing year. The 30-day expected move averaged 27.8%. IV traded above realized volatility by 31.5% (HV 20d: 90.7%). Max pain ranged from $2.50 to $5.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.26.

Notable Days

2016-01-15: Highest Volume — 578 contracts
2016-01-25: Largest IV spike — 61.6% change
2016-01-06: Highest IV Rank — 95.1%
2016-01-25: Largest Expected Move — 45.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.73	$1.70	$3.65	$3.54	$1.75
Max Pain	$3.21	$2.50	$5.00	$5.00	$2.50
ATM IV	122.2%	62.7%	179.5%	171.6%	137.0%
Expected Move	27.8%	17.1%	45.4%	22.1%	39.3%
HV 20d	90.7%	47.4%	158.7%	47.4%	155.8%
HV 60d	71.5%	54.8%	102.8%	54.8%	102.8%
IV Rank	63.5%	30.6%	95.1%	90.8%	71.7%
IV Percentile	89.1%	57.9%	99.2%	98.4%	94.0%
Term Structure	-18.9%	-59.7%	7.6%	-13.2%	-42.6%
VWIV	96.9%	56.3%	168.1%	79.7%	168.1%
Skew 25d	2.8%	-28.8%	30.6%	-4.6%	-5.5%
Skew 10d	3.3%	-48.3%	34.2%	9.8%	4.7%
Call IV 25d	77.5%	51.1%	130.0%	65.1%	98.9%
Put IV 25d	80.3%	44.8%	118.6%	60.6%	93.4%
Bid-Ask Spread %	91.50	30.89	118.09	115.57	111.16
Gamma HHI	0.63	0.48	0.93	0.88	0.49
Net GEX	163	79	317	172	118
Net DEX	-1.9K	-11.3K	5.8K	4.2K	-8.0K
Net VEX	-43	-73	-15	-47	-73
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.26	0.08	0.36	0.34	0.25
Total Volume	318.105	106	578	467	106
Total OI	420.842	188	615	575	277

Daily Data (19 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
2016-01-04	$3.54	$0.00	171.6%	22.1%	47.4%	90.8%	0.0%	-4.6%	-13.2%	172	4.2K	-47	0.34	115.57	N/A	N/A	349	118	502	73
2016-01-05	$3.60	$0.00	132.5%	17.9%	48.7%	69.2%	0.0%	-15.4%	-18.6%	185	4.2K	-48	0.34	30.89	N/A	N/A	349	118	502	73
2016-01-06	$3.65	$0.00	179.5%	25.5%	47.8%	95.1%	0.0%	-9.7%	-20.2%	185	1.6K	-59	0.34	115.78	N/A	N/A	352	118	505	73
2016-01-07	$3.31	$0.00	136.8%	18.0%	56.5%	71.6%	0.0%	-18.1%	5.4%	125	5.8K	-27	0.34	78.78	N/A	N/A	352	118	505	73
2016-01-08	$3.26	$0.00	142.4%	19.1%	55.8%	74.7%	79.7%	15.8%	-10.5%	135	4.4K	-37	0.34	79.00	N/A	N/A	359	123	505	73
2016-01-11	$3.11	$5.00	135.5%	17.1%	56.7%	70.9%	102.5%	29.6%	-1.7%	110	2.9K	-23	0.36	84.10	N/A	N/A	359	128	512	68
2016-01-12	$3.24	$5.00	62.7%	18.0%	60.2%	30.6%	101.6%	0.0%	-23.2%	114	4.5K	-20	0.36	72.79	N/A	N/A	359	128	512	73
2016-01-13	$2.83	$5.00	79.7%	22.9%	73.4%	40.0%	99.2%	9.6%	-13.1%	108	3.7K	-28	0.36	113.09	N/A	N/A	359	128	512	73
2016-01-14	$3.02	$5.00	73.7%	21.1%	78.8%	36.7%	56.3%	16.2%	7.6%	79	4.9K	-15	0.33	57.98	N/A	N/A	389	128	512	73
2016-01-15	$2.78	$2.50	90.9%	26.1%	82.0%	46.2%	88.5%	14.9%	-10.9%	222	-1.5K	-27	0.28	117.14	N/A	N/A	450	128	542	73
2016-01-19	$2.72	$2.50	96.9%	27.8%	81.7%	49.5%	91.0%	15.4%	-14.1%	317	-10.4K	-60	0.08	98.07	N/A	N/A	134	11	177	11
2016-01-20	$2.64	$2.50	101.2%	29.0%	80.7%	51.9%	99.5%	12.6%	-34.0%	284	-8.2K	-51	0.08	58.12	N/A	N/A	134	11	208	11
2016-01-21	$2.64	$2.50	89.9%	25.8%	81.0%	45.7%	82.4%	11.8%	4.8%	270	-8.6K	-44	0.08	50.44	N/A	N/A	134	11	208	11
2016-01-22	$2.75	$2.50	97.9%	28.1%	83.5%	50.1%	0.0%	30.6%	-42.9%	158	-11.3K	-35	0.08	99.81	N/A	N/A	134	11	208	11
2016-01-25	$1.86	$2.50	158.2%	45.4%	157.3%	83.4%	168.1%	0.8%	-59.7%	148	-6.8K	-51	0.20	107.78	N/A	N/A	107	21	208	11
2016-01-26	$1.70	$2.50	156.8%	44.9%	158.5%	82.6%	0.0%	-28.8%	-21.7%	106	-7.7K	-70	0.25	114.44	N/A	N/A	85	21	246	21
2016-01-27	$1.73	$2.50	145.9%	41.8%	158.7%	76.6%	0.0%	-8.3%	-39.3%	129	-4.7K	-48	0.25	118.09	N/A	N/A	85	21	256	21
2016-01-28	$1.70	$2.50	133.1%	38.2%	158.6%	69.6%	0.0%	-16.5%	-11.9%	125	-5.1K	-58	0.25	115.45	N/A	N/A	85	21	256	21
2016-01-29	$1.75	$2.50	137.0%	39.3%	155.8%	71.7%	0.0%	-5.5%	-42.6%	118	-8.0K	-73	0.25	111.16	N/A	N/A	85	21	256	21