GEN Options History — March 2016

In March 2016, GEN traded between $1.76 and $2.70. ATM implied volatility averaged 110.9%, placing in the 57.3% IV rank vs the trailing year. The 30-day expected move averaged 31.4%. IV traded above realized volatility by 27.9% (HV 20d: 83.0%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.50.

Notable Days

2016-03-16: Highest Volume — 188 contracts
2016-03-08: Largest IV spike — 56.7% change
2016-03-01: Highest IV Rank — 85.4%
2016-03-01: Largest Expected Move — 46.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.36	$1.76	$2.70	$1.76	$2.33
Max Pain	$2.50	$2.50	$2.50	$2.50	$2.50
ATM IV	110.9%	72.9%	161.8%	161.8%	111.3%
Expected Move	31.4%	20.9%	46.4%	46.4%	31.9%
HV 20d	83.0%	76.3%	94.4%	85.4%	76.3%
HV 60d	115.3%	108.2%	118.1%	108.2%	116.5%
IV Rank	57.3%	36.3%	85.4%	85.4%	57.5%
IV Percentile	78.8%	56.0%	97.2%	97.2%	78.2%
Term Structure	-18.1%	-46.9%	7.2%	-36.8%	-0.6%
VWIV	108.5%	74.0%	132.1%	124.6%	111.7%
Skew 25d	2.4%	-7.4%	13.1%	5.4%	-4.6%
Skew 10d	6.4%	-5.4%	21.1%	6.7%	-5.4%
Call IV 25d	92.8%	78.1%	106.1%	93.8%	106.1%
Put IV 25d	95.2%	83.7%	108.1%	99.2%	101.5%
Bid-Ask Spread %	92.03	21.82	117.24	117.24	108.21
Gamma HHI	0.66	0.51	0.99	0.55	0.63
Net GEX	226	-515	371	172	306
Net DEX	-10.2K	-22.6K	-3.0K	-8.6K	-9.8K
Net VEX	-97	-130	-67	-93	-106
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.50	0.31	1.28	1.28	0.37
Total Volume	156.682	66	188	66	158
Total OI	435.591	317	494	317	464

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
2016-03-01	$1.76	$2.50	161.8%	46.4%	85.4%	85.4%	0.0%	0.0%	-36.8%	172	-8.6K	-93	1.28	117.24	N/A	N/A	29	37	280	37
2016-03-02	$1.89	$2.50	127.0%	36.4%	87.5%	66.1%	0.0%	5.4%	7.2%	202	-3.0K	-73	1.28	101.96	N/A	N/A	29	37	280	37
2016-03-03	$2.02	$2.50	127.8%	30.6%	90.4%	66.6%	124.6%	0.0%	-24.7%	216	-4.7K	-81	0.31	96.93	N/A	N/A	121	37	280	37
2016-03-04	$2.17	$2.50	81.6%	27.0%	93.1%	41.1%	108.9%	-7.4%	-15.7%	213	-9.1K	-107	0.31	45.25	N/A	N/A	121	37	380	37
2016-03-07	$2.33	$2.50	95.3%	32.2%	94.4%	48.7%	113.5%	0.0%	-40.6%	158	-6.0K	-76	0.38	102.13	N/A	N/A	121	46	380	37
2016-03-08	$2.15	$2.50	149.4%	31.1%	88.3%	78.5%	117.3%	0.0%	-19.5%	255	-10.2K	-115	0.38	113.41	N/A	N/A	121	46	380	47
2016-03-09	$2.25	$2.50	108.2%	31.0%	81.7%	55.8%	108.3%	13.1%	-14.0%	256	-11.2K	-130	0.38	21.82	N/A	N/A	121	46	387	47
2016-03-10	$2.33	$2.50	120.6%	34.6%	81.7%	62.6%	123.7%	0.0%	-46.9%	236	-9.8K	-107	0.40	96.92	N/A	N/A	115	46	387	47
2016-03-11	$2.50	$2.50	84.3%	24.2%	79.8%	42.6%	84.9%	5.6%	1.5%	247	-10.3K	-91	0.40	107.09	N/A	N/A	115	46	394	47
2016-03-14	$2.64	$2.50	85.3%	24.4%	80.0%	43.1%	85.3%	0.0%	3.2%	331	-14.0K	-102	0.51	107.21	N/A	N/A	115	59	394	47
2016-03-15	$2.55	$2.50	85.2%	24.4%	83.1%	43.1%	85.2%	0.0%	-8.3%	-515	-11.7K	-96	0.51	101.85	N/A	N/A	115	59	394	60
2016-03-16	$2.70	$2.50	98.5%	28.2%	83.4%	50.4%	0.0%	0.0%	-17.3%	331	-22.6K	-84	0.63	99.87	N/A	N/A	115	73	407	60
2016-03-17	$2.63	$2.50	72.9%	20.9%	83.9%	36.3%	74.0%	0.0%	-0.8%	279	-12.0K	-88	0.63	95.35	N/A	N/A	115	73	407	87
2016-03-18	$2.63	$2.50	113.1%	32.4%	76.8%	58.5%	113.1%	0.0%	-37.5%	311	-13.2K	-96	0.63	104.50	N/A	N/A	115	73	407	87
2016-03-21	$2.61	$2.50	101.5%	29.1%	76.4%	52.1%	102.0%	0.0%	-7.1%	371	-14.6K	-125	0.37	108.42	N/A	N/A	115	43	407	57
2016-03-22	$2.53	$2.50	131.9%	37.8%	76.5%	68.9%	132.1%	0.0%	-41.0%	335	-13.2K	-106	0.37	101.35	N/A	N/A	115	43	407	57
2016-03-23	$2.33	$2.50	115.8%	33.2%	83.9%	60.0%	111.4%	0.0%	-27.2%	297	-12.0K	-111	0.37	101.58	N/A	N/A	115	43	407	57
2016-03-24	$2.34	$2.50	103.3%	29.6%	83.3%	53.1%	102.7%	-4.6%	-11.1%	268	-7.7K	-98	0.37	46.48	N/A	N/A	115	43	407	57
2016-03-28	$2.37	$2.50	130.7%	37.5%	81.9%	68.2%	130.4%	0.0%	-8.7%	267	-9.1K	-100	0.37	103.60	N/A	N/A	115	43	407	57
2016-03-29	$2.40	$2.50	122.2%	35.0%	78.7%	63.5%	122.8%	0.0%	-27.0%	200	-5.3K	-67	0.37	104.05	N/A	N/A	115	43	407	57
2016-03-30	$2.36	$2.50	112.1%	32.1%	78.7%	57.9%	109.4%	0.0%	-26.1%	239	-6.9K	-83	0.37	39.48	N/A	N/A	115	43	407	57
2016-03-31	$2.33	$2.50	111.3%	31.9%	76.3%	57.5%	111.7%	0.0%	-0.6%	306	-9.8K	-106	0.37	108.21	N/A	N/A	115	43	407	57