OTEX Options History — February 2007

Name: OTEX Options Analytics - February 2007
Creator: Options Analysis Suite

In February 2007, OTEX traded between $4.72 and $5.95. ATM implied volatility averaged 46.4%. The 30-day expected move averaged 12.4%. IV traded below realized volatility by 1.7% (HV 20d: 48.1%). Max pain ranged from $5.00 to $5.63. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 6.80.

Notable Days

2007-02-09: Highest Volume — 55,880 contracts
2007-02-09: Largest IV drop — 42.9% change
2007-02-01: Largest Expected Move — 21.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.45	$4.72	$5.95	$4.74	$5.46
Max Pain	$5.10	$5.00	$5.63	$5.00	$5.63
ATM IV	46.4%	31.0%	79.1%	74.5%	35.9%
Expected Move	12.4%	8.9%	21.3%	21.3%	10.3%
HV 20d	48.1%	23.1%	60.3%	26.3%	60.3%
Term Structure	1.6%	-15.5%	10.0%	-15.5%	1.1%
VWIV	43.6%	31.0%	75.0%	75.0%	35.9%
Skew 25d	6.0%	3.2%	13.7%	8.2%	3.8%
Skew 10d	12.8%	7.3%	26.3%	17.1%	9.6%
Call IV 25d	48.5%	39.1%	85.4%	68.6%	40.7%
Put IV 25d	54.5%	43.4%	96.4%	76.8%	44.5%
Bid-Ask Spread %	32.06	17.00	61.98	30.65	20.42
Gamma HHI	0.63	0.44	0.83	0.78	0.56
Net GEX	-447.7K	-834.9K	-268.0K	-594.6K	-459.1K
Net DEX	3.7M	-7.9M	17.8M	15.1M	5.0M
Net VEX	-62.5K	-68.4K	-44.5K	-56.8K	-67.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.80	0.12	63.63	16.39	7.07
Total Volume	6,266.737	512	55,880	1,252	7,232
Total OI	109,619.789	86,152	145,576	96,576	88,816

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
2007-02-01	$4.74	$5.00	74.5%	21.3%	26.3%	0.0%	75.0%	8.2%	-15.5%	-594.6K	15.1M	-56.8K	16.39	30.65	N/A	N/A	72	1,180	18,280	78,296
2007-02-02	$4.74	$5.00	71.7%	17.3%	26.1%	0.0%	60.9%	0.0%	-5.4%	-617.3K	15.5M	-55.8K	63.63	25.04	N/A	N/A	140	8,908	18,300	78,336
2007-02-05	$4.72	$5.00	78.6%	17.8%	23.1%	0.0%	61.4%	11.8%	-5.6%	-658.7K	17.8M	-57.4K	0.19	24.29	N/A	N/A	496	92	18,360	85,268
2007-02-06	$4.78	$5.00	79.1%	18.2%	23.1%	0.0%	63.8%	0.0%	-5.9%	-711.2K	16.7M	-57.3K	12.33	23.86	N/A	N/A	1,108	13,664	18,780	85,340
2007-02-07	$4.90	$5.00	75.8%	17.7%	23.5%	0.0%	61.7%	13.7%	-4.9%	-834.9K	16.9M	-65.5K	0.44	17.88	N/A	N/A	4,176	1,836	18,600	93,420
2007-02-08	$4.88	$5.00	60.6%	17.4%	23.5%	0.0%	61.0%	11.0%	-5.4%	-778.1K	16.7M	-66.5K	0.58	17.00	N/A	N/A	4,804	2,796	21,392	94,224
2007-02-09	$5.70	$5.00	34.6%	9.9%	58.7%	0.0%	36.9%	9.5%	10.0%	-380.3K	-6.6M	-44.5K	2.82	40.18	N/A	N/A	14,624	41,256	24,180	94,468
2007-02-12	$5.83	$5.00	36.6%	10.5%	58.8%	0.0%	35.9%	4.3%	6.0%	-275.3K	-5.7M	-65.4K	1.04	42.46	N/A	N/A	2,260	2,356	28,636	114,364
2007-02-13	$5.82	$5.00	36.1%	10.4%	58.8%	0.0%	36.1%	3.9%	7.0%	-323.9K	-5.2M	-68.4K	2.92	37.81	N/A	N/A	460	1,344	29,824	114,664
2007-02-14	$5.81	$5.00	35.3%	10.1%	58.8%	0.0%	33.9%	4.7%	8.0%	-268.0K	-5.4M	-67.7K	0.25	38.48	N/A	N/A	760	188	29,912	114,988
2007-02-15	$5.95	$5.00	31.7%	9.1%	59.0%	0.0%	32.4%	4.4%	8.0%	-276.3K	-7.8M	-62.8K	0.52	19.29	N/A	N/A	1,580	828	29,900	114,880
2007-02-16	$5.94	$5.00	33.1%	9.5%	58.2%	0.0%	33.4%	4.2%	6.3%	-281.4K	-7.9M	-63.8K	0.65	24.37	N/A	N/A	1,032	668	30,856	114,720
2007-02-20	$5.91	$5.00	37.7%	10.8%	58.4%	0.0%	34.7%	3.6%	1.5%	-295.5K	-861.8K	-63.8K	3.79	28.88	N/A	N/A	320	1,212	20,552	65,600
2007-02-21	$5.74	$5.00	33.4%	9.6%	60.1%	0.0%	33.0%	3.6%	4.3%	-318.8K	506.4K	-65.0K	1.97	40.10	N/A	N/A	232	456	20,672	66,068
2007-02-22	$5.73	$5.00	32.5%	9.3%	59.7%	0.0%	32.5%	4.0%	5.7%	-316.6K	544.9K	-64.6K	4.69	38.23	N/A	N/A	204	956	20,772	66,184
2007-02-23	$5.69	$5.00	31.0%	8.9%	58.6%	0.0%	31.0%	4.3%	6.0%	-330.9K	748.8K	-64.7K	1.67	46.21	N/A	N/A	192	320	20,900	66,584
2007-02-26	$5.70	$5.63	32.0%	9.2%	58.2%	0.0%	32.0%	4.0%	5.0%	-337.0K	955.1K	-62.7K	0.12	32.11	N/A	N/A	692	80	21,052	66,904
2007-02-27	$5.48	$5.63	31.6%	9.1%	60.2%	0.0%	37.6%	3.2%	5.0%	-448.5K	4.2M	-67.1K	8.07	61.98	N/A	N/A	60	484	21,740	66,944
2007-02-28	$5.46	$5.63	35.9%	10.3%	60.3%	0.0%	35.9%	3.8%	1.1%	-459.1K	5.0M	-67.3K	7.07	20.42	N/A	N/A	896	6,336	21,776	67,040