OTEX Options History — March 2007

In March 2007, OTEX traded between $5.15 and $5.69. ATM implied volatility averaged 34.6%. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 6.5% (HV 20d: 41.0%). Max pain ranged from $5.00 to $5.63. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.25.

Notable Days

  • 2007-03-15: Highest Volume — 10,380 contracts
  • 2007-03-07: Largest IV spike — 57.3% change
  • 2007-03-05: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.44$5.15$5.69$5.50$5.49
Max Pain$5.57$5.00$5.63$5.00$5.63
ATM IV34.6%25.8%65.6%32.9%30.2%
Expected Move9.5%8.0%11.4%9.4%8.7%
HV 20d41.0%27.8%64.1%59.9%27.8%
HV 60d43.7%41.3%46.2%46.2%41.3%
Term Structure9.7%1.2%15.7%1.8%14.9%
VWIV30.9%19.2%42.2%42.2%30.4%
Skew 25d5.2%3.3%7.4%4.0%4.3%
Skew 10d8.7%0.9%13.3%6.9%11.0%
Call IV 25d41.7%38.5%44.0%39.3%43.5%
Put IV 25d46.9%43.4%48.7%43.4%47.7%
Bid-Ask Spread %35.2414.1953.8534.4436.76
Gamma HHI0.460.310.630.510.32
Net GEX-511.6K-818.7K-418.7K-467.1K-438.9K
Net DEX8.0M5.5M11.7M5.5M8.3M
Net VEX-61.9K-70.1K-55.9K-69.5K-55.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.250.0013.835.740.50
Total Volume1,178.364010,3805,9560
Total OI86,37275,12099,82893,45276,864

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$5.50$5.0032.9%9.4%59.9%0.0%42.2%4.0%1.8%-467.1K5.5M-69.5K5.7434.44N/AN/A8845,07221,79671,656
2007-03-02$5.37$5.0027.9%8.0%61.0%0.0%35.4%6.5%1.2%-521.2K7.4M-70.1K0.8747.37N/AN/A32828422,60071,644
2007-03-05$5.15$5.6339.9%11.4%63.3%0.0%35.2%5.8%5.1%-669.7K11.7M-67.9K1.2540.52N/AN/A648022,90071,900
2007-03-06$5.33$5.6325.8%9.9%64.1%0.0%19.2%4.5%6.5%-574.1K9.0M-67.7K1.4347.09N/AN/A568022,62071,616
2007-03-07$5.31$5.6340.6%10.8%64.1%0.0%0.0%5.1%7.1%-582.2K8.6M-65.2K0.5835.99N/AN/A20812022,62071,616
2007-03-08$5.40$5.6331.7%9.9%63.9%0.0%34.5%7.4%7.1%-510.5K7.2M-65.9K0.0038.14N/AN/A216022,74071,564
2007-03-09$5.39$5.6327.7%9.5%63.9%0.0%38.0%6.3%9.1%-485.7K7.1M-64.8K0.1753.85N/AN/A3085222,94871,564
2007-03-12$5.29$5.6340.2%10.5%31.6%0.0%0.0%6.1%6.8%-600.1K9.0M-62.3K7.3021.06N/AN/A4029222,91671,616
2007-03-13$5.20$5.6350.0%10.8%30.5%0.0%0.0%7.0%5.8%-745.0K10.8M-60.8K0.6753.82N/AN/A241622,91671,616
2007-03-14$5.23$5.6365.6%10.7%30.8%0.0%24.2%7.3%6.7%-818.7K9.7M-58.4K5.5521.48N/AN/A3201,77622,93271,584
2007-03-15$5.31$5.6338.9%11.2%31.6%0.0%39.1%4.9%7.5%-580.2K8.8M-60.1K13.8318.24N/AN/A7009,68022,96871,580
2007-03-16$5.34$5.6331.8%9.1%30.1%0.0%31.7%5.4%11.2%-434.3K9.9M-61.6K4.0417.98N/AN/A4721,90823,08076,748
2007-03-19$5.50$5.6332.1%9.2%32.3%0.0%32.5%5.9%13.0%-419.8K8.4M-61.6K0.4322.99N/AN/A47620415,82859,292
2007-03-20$5.60$5.6331.5%9.0%33.2%0.0%28.1%5.7%12.8%-419.9K7.0M-61.3K0.0040.72N/AN/A144016,26859,380
2007-03-21$5.63$5.6332.0%9.2%31.8%0.0%22.9%3.5%11.7%-421.7K6.7M-60.0K1.0049.38N/AN/A22822816,40459,380
2007-03-22$5.63$5.6332.0%9.2%31.8%0.0%31.9%4.5%12.6%-418.7K6.5M-59.8K0.3330.85N/AN/A2889616,63259,436
2007-03-23$5.66$5.6329.2%8.4%31.8%0.0%27.6%3.9%15.2%-418.7K5.8M-59.9K0.5646.75N/AN/A32018016,75259,492
2007-03-26$5.69$5.6331.1%8.9%31.9%0.0%31.1%3.8%13.6%-424.9K5.7M-58.6K0.1233.03N/AN/A3003616,89259,608
2007-03-27$5.61$5.6330.8%8.8%28.8%0.0%0.0%3.9%14.1%-426.9K6.7M-57.7K0.0014.19N/AN/A010417,04859,608
2007-03-28$5.53$5.6328.9%8.3%29.3%0.0%21.1%3.3%15.7%-444.4K7.9M-57.2K0.5733.29N/AN/A1408017,04859,672
2007-03-29$5.49$5.6330.0%8.6%29.3%0.0%30.4%5.6%15.1%-433.2K8.3M-56.4K0.5037.37N/AN/A804017,08859,752
2007-03-30$5.49$5.6330.2%8.7%27.8%0.0%0.0%4.3%14.9%-438.9K8.3M-55.9K0.0036.76N/AN/A0017,07259,792