GEN Options History — May 2017

In May 2017, GEN traded between $1.70 and $2.64. ATM implied volatility averaged 98.4%, placing in the 33.5% IV rank vs the trailing year. The 30-day expected move averaged 26.1%. IV traded above realized volatility by 53.5% (HV 20d: 44.9%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.26.

Notable Days

  • 2017-05-01: Highest Volume — 511 contracts
  • 2017-05-11: Largest IV spike — 73.7% change
  • 2017-05-31: Highest IV Rank — 79.6%
  • 2017-05-31: Largest Expected Move — 47.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.25$1.70$2.64$2.49$1.70
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV98.4%50.9%165.2%106.1%165.2%
Expected Move26.1%14.6%47.4%30.4%47.4%
HV 20d44.9%35.0%59.9%37.8%52.7%
HV 60d48.8%42.9%51.6%48.9%48.7%
IV Rank33.5%0.7%79.6%38.8%79.6%
IV Percentile52.1%0.8%98.4%64.3%98.4%
Term Structure-23.6%-104.8%17.4%-27.3%-104.8%
VWIV85.8%64.1%99.4%76.6%90.8%
Bid-Ask Spread %106.0930.77127.08123.50116.85
Gamma HHI0.950.511.001.000.57
Net GEX5.3K318.8K7.2K34
Net DEX-188.4K-283.9K13.0K-232.9K12.8K
Net VEX-646-842-10-831-10
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.030.610.030.47
Total Volume258.547511511294
Total OI2,083.1821,9472,3591,9522,359

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$2.49$0.00106.1%30.4%37.8%38.8%0.0%0.0%-27.3%7.2K-232.9K-8310.03123.50N/AN/A497141,93814
2017-05-02$2.64$0.00110.3%31.6%43.1%41.7%0.0%0.0%-33.2%6.1K-283.9K-8420.0369.24N/AN/A497141,93814
2017-05-03$2.60$0.00116.0%33.2%41.4%45.6%0.0%0.0%-36.6%5.9K-268.8K-8300.03126.51N/AN/A497141,93814
2017-05-04$2.58$0.00119.2%20.8%39.0%47.8%0.0%0.0%1.1%6.8K-278.2K-8210.03116.45N/AN/A497141,93814
2017-05-05$2.56$0.0098.0%20.9%36.6%33.2%0.0%0.0%-26.8%8.1K-261.2K-8210.03100.41N/AN/A497141,93814
2017-05-08$2.55$0.00106.8%23.8%35.0%39.3%0.0%0.0%-11.1%5.6K-275.6K-7930.0330.77N/AN/A497141,93814
2017-05-09$2.43$0.00151.3%24.0%39.0%70.0%0.0%0.0%-39.7%7.9K-245.7K-7730.42127.08N/AN/A33141,94314
2017-05-10$2.47$0.0051.3%14.7%39.1%1.0%0.0%0.0%-3.0%8.0K-229.3K-7880.42119.23N/AN/A33141,94314
2017-05-11$2.39$0.0089.2%25.6%40.5%27.1%0.0%0.0%-19.9%5.3K-251.7K-7410.42122.03N/AN/A33141,9434
2017-05-12$2.40$0.0050.9%14.6%40.4%0.7%0.0%0.0%-12.5%8.8K-226.2K-7460.42107.70N/AN/A33141,9434
2017-05-15$2.31$0.0071.9%20.6%42.3%15.2%76.6%0.0%-27.1%7.6K-243.2K-7000.15107.06N/AN/A93141,9434
2017-05-16$2.24$2.5078.8%22.6%41.7%20.0%82.0%0.0%-10.1%4.5K-183.5K-6860.15107.81N/AN/A93142,0034
2017-05-17$2.21$2.5070.0%20.1%41.3%13.9%64.1%0.0%-3.3%5.5K-179.9K-6710.18110.57N/AN/A77142,0034
2017-05-18$2.29$2.5099.4%28.5%43.0%34.1%99.4%0.0%-36.8%5.8K-201.6K-7280.16112.49N/AN/A89142,0474
2017-05-19$2.16$2.5095.3%27.3%47.3%31.3%98.0%0.0%-29.1%5.0K-195.2K-6870.11106.94N/AN/A133142,1034
2017-05-22$2.08$2.5069.7%20.0%47.1%13.7%90.4%0.0%-24.5%5.3K-168.1K-6550.09113.63N/AN/A153142,2234
2017-05-23$1.99$2.5087.9%25.2%48.0%26.2%85.5%0.0%17.4%3.4K-174.0K-6320.61100.73N/AN/A153942,2234
2017-05-24$1.83$2.50104.3%29.9%54.5%37.5%0.0%0.0%-19.2%2.9K-71.1K-4310.47105.03N/AN/A198942,22384
2017-05-25$1.92$2.5095.5%27.4%58.5%31.5%90.8%0.0%-18.0%3.1K-102.3K-5160.47106.05N/AN/A198942,27384
2017-05-26$1.86$2.50103.0%29.5%58.9%36.6%0.0%0.0%-11.7%2.8K-98.3K-5050.47103.26N/AN/A198942,27384
2017-05-30$1.73$2.50125.1%35.9%59.9%51.9%0.0%0.0%-43.3%3113.0K-100.47100.69N/AN/A200942,27384
2017-05-31$1.70$2.50165.2%47.4%52.7%79.6%0.0%0.0%-104.8%3412.8K-100.47116.85N/AN/A200942,27584