OTEX Options History — January 2007

In January 2007, OTEX traded between $4.63 and $5.01. ATM implied volatility averaged 56.0%. The 30-day expected move averaged 17.6%. IV traded above realized volatility by 28.4% (HV 20d: 27.6%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 4.73.

Notable Days

  • 2007-01-24: Highest Volume — 12,484 contracts
  • 2007-01-10: Largest IV spike — 47.9% change
  • 2007-01-31: Largest Expected Move — 20.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.77$4.63$5.01$5.01$4.70
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV56.0%23.1%73.0%28.2%73.0%
Expected Move17.6%7.7%20.9%8.1%20.9%
HV 20d27.6%26.6%28.7%28.7%26.6%
Term Structure-8.6%-16.5%25.9%21.2%-15.9%
VWIV62.1%26.7%76.4%28.2%74.8%
Skew 25d10.9%5.5%16.5%5.5%11.2%
Skew 10d16.4%9.3%35.2%14.0%20.2%
Call IV 25d60.4%47.5%71.5%47.5%71.1%
Put IV 25d71.3%53.0%83.4%53.0%82.3%
Bid-Ask Spread %37.7018.4286.9674.6224.53
Gamma HHI0.830.780.890.890.78
Net GEX-471.0K-577.1K-394.2K-449.5K-576.8K
Net DEX12.2M8.0M16.2M8.0M16.2M
Net VEX-42.4K-60.1K-30.7K-36.2K-55.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.730.0025.575.591.37
Total Volume3,301.212012,4841,4241,852
Total OI70,691.455,02095,34855,02095,348

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$5.01$5.0028.2%8.1%0.0%0.0%28.2%5.5%21.2%-449.5K8.0M-36.2K5.5974.62N/AN/A2161,2087,05647,964
2007-01-04$4.96$5.0026.7%7.7%0.0%0.0%26.7%9.7%25.9%-435.1K8.3M-36.1K25.5786.96N/AN/A1483,7847,14048,160
2007-01-05$4.79$5.0023.1%15.3%0.0%0.0%54.4%9.3%-10.2%-425.8K10.4M-34.8K1.3946.72N/AN/A2363287,18049,224
2007-01-08$4.72$5.0025.6%15.5%0.0%0.0%57.7%13.2%-9.8%-412.2K11.4M-32.5K0.7142.41N/AN/A2201567,36449,308
2007-01-09$4.64$5.0027.9%16.9%0.0%0.0%57.5%13.7%-10.6%-394.2K11.7M-31.2K4.4746.48N/AN/A602687,56449,364
2007-01-10$4.63$5.0041.2%17.4%0.0%0.0%0.0%13.0%-14.8%-412.5K11.7M-31.2K0.5039.15N/AN/A80407,60449,404
2007-01-11$4.66$5.0059.9%17.2%0.0%0.0%57.3%10.6%-7.1%-406.7K11.6M-30.7K13.6745.01N/AN/A3685,0327,68449,444
2007-01-12$4.67$5.0059.0%16.9%0.0%0.0%55.9%10.3%-6.5%-437.9K12.8M-35.1K0.0046.67N/AN/A30807,94853,404
2007-01-16$4.78$5.0064.6%18.5%0.0%0.0%64.8%10.5%-13.0%-431.7K10.9M-35.1K6.0841.82N/AN/A5083,0888,02053,404
2007-01-17$4.78$5.0063.9%18.3%0.0%0.0%66.5%11.2%-12.5%-461.8K11.8M-36.0K2.4120.22N/AN/A1643968,34456,088
2007-01-18$4.83$5.0069.9%20.0%0.0%0.0%68.9%11.7%-16.5%-459.1K11.2M-36.4K11.3127.13N/AN/A7288,2328,45656,360
2007-01-19$4.75$5.0068.6%19.7%0.0%0.0%69.6%12.9%-13.9%-460.9K14.1M-44.3K1.1039.69N/AN/A2,8363,1128,74064,600
2007-01-22$4.76$5.0069.0%19.8%0.0%0.0%69.7%10.2%-12.9%-453.8K12.1M-46.9K0.6318.42N/AN/A3,1401,97210,02062,852
2007-01-23$4.80$5.0067.5%19.4%0.0%0.0%68.2%11.4%-13.4%-461.0K11.7M-48.4K1.1622.03N/AN/A76889212,84463,820
2007-01-24$4.95$5.0068.2%19.5%0.0%0.0%69.7%6.8%-13.0%-475.5K10.0M-49.3K3.6126.84N/AN/A2,7089,77613,31664,196
2007-01-25$4.82$5.0068.6%19.7%28.7%0.0%68.5%11.9%-12.8%-544.1K13.2M-56.1K7.8020.27N/AN/A9887,70815,59272,764
2007-01-26$4.76$5.0070.9%20.3%28.0%0.0%72.6%8.1%-11.6%-569.0K14.9M-60.1K5.3730.67N/AN/A3321,78416,20078,744
2007-01-29$4.70$5.0071.6%20.5%27.4%0.0%76.4%16.5%-12.3%-577.1K16.1M-56.4K1.4131.77N/AN/A58082016,41677,172
2007-01-30$4.75$5.0071.8%20.6%27.1%0.0%73.0%10.0%-12.4%-575.9K15.3M-56.4K0.5122.58N/AN/A78840016,92077,800
2007-01-31$4.70$5.0073.0%20.9%26.6%0.0%74.8%11.2%-15.9%-576.8K16.2M-55.5K1.3724.53N/AN/A7801,07217,49677,852