OTEX Options History — April 2007

In April 2007, OTEX traded between $5.48 and $6.11. ATM implied volatility averaged 45.8%. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 26.6% (HV 20d: 19.3%). Max pain ranged from $5.63 to $6.25. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.64.

Notable Days

  • 2007-04-18: Highest Volume — 12,220 contracts
  • 2007-04-12: Largest IV spike — 39.3% change
  • 2007-04-30: Largest Expected Move — 18.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.69$5.48$6.11$5.50$5.75
Max Pain$6.13$5.63$6.25$5.63$6.25
ATM IV45.8%28.7%65.2%30.1%65.2%
Expected Move13.8%8.2%18.7%8.6%18.7%
HV 20d19.3%15.9%32.3%23.0%32.3%
HV 60d40.3%39.6%42.4%41.2%42.4%
Term Structure-5.2%-17.3%16.4%15.2%-17.3%
VWIV51.3%30.0%64.1%30.0%64.1%
Skew 25d6.8%3.3%15.8%4.5%14.0%
Skew 10d14.6%1.8%33.0%12.4%33.0%
Call IV 25d47.3%43.0%55.0%44.1%54.8%
Put IV 25d54.1%47.2%68.8%48.7%68.8%
Bid-Ask Spread %23.4113.1330.2219.3123.72
Gamma HHI0.330.310.360.320.32
Net GEX-517.3K-640.5K-442.3K-442.3K-611.9K
Net DEX7.2M2.8M8.9M8.1M8.4M
Net VEX-50.6K-54.5K-45.9K-54.5K-49.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.640.007.300.060.63
Total Volume1,880.47612,2206841,416
Total OI82,659.876,86493,08076,86493,080

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$5.50$5.6330.1%8.6%23.0%0.0%0.0%4.5%15.2%-442.3K8.1M-54.5K0.0019.31N/AN/A068417,07259,792
2007-04-03$5.57$5.6330.0%8.6%20.0%0.0%30.0%3.3%14.8%-446.7K7.2M-53.7K0.0617.62N/AN/A72417,07259,792
2007-04-04$5.54$5.6329.2%8.4%20.1%0.0%0.0%4.2%16.4%-446.1K7.8M-54.2K0.0021.19N/AN/A216017,11659,796
2007-04-05$5.52$5.6328.7%8.2%19.5%0.0%0.0%4.6%16.4%-456.2K8.4M-52.9K0.5229.25N/AN/A24812817,21259,796
2007-04-09$5.54$6.2531.5%13.2%19.4%0.0%47.1%5.7%-8.1%-463.2K7.6M-49.9K1.5825.26N/AN/A17227217,37259,876
2007-04-10$5.51$6.2532.2%13.6%18.2%0.0%48.2%4.2%-8.4%-461.1K8.3M-50.3K1.2321.75N/AN/A22828017,49260,028
2007-04-11$5.48$6.2534.1%13.6%16.8%0.0%49.7%4.6%-9.1%-459.8K8.4M-49.2K1.5322.50N/AN/A28844017,70860,028
2007-04-12$5.54$6.2547.5%13.6%16.9%0.0%52.5%5.7%-9.1%-457.2K7.9M-48.4K0.0023.28N/AN/A88017,74859,960
2007-04-13$5.54$6.2546.8%13.4%16.3%0.0%46.9%5.7%-8.1%-458.5K7.5M-47.5K0.4224.14N/AN/A38416017,58859,960
2007-04-16$5.69$6.2549.3%14.1%18.4%0.0%47.8%6.6%-8.3%-443.9K4.9M-45.9K7.1325.52N/AN/A8325,92817,82060,040
2007-04-17$5.68$6.2548.5%13.9%15.9%0.0%48.1%6.2%-7.0%-478.5K6.4M-49.1K0.0327.28N/AN/A144417,98063,152
2007-04-18$5.81$6.2552.2%15.0%16.5%0.0%49.5%5.5%-9.7%-456.4K4.4M-48.4K7.3028.68N/AN/A1,47210,74818,04063,152
2007-04-19$5.75$6.2553.9%15.4%17.2%0.0%53.7%5.9%-12.4%-618.3K8.9M-52.5K2.6825.05N/AN/A28877217,58471,088
2007-04-20$5.79$6.2553.5%15.3%17.4%0.0%52.1%6.3%-11.9%-637.0K8.2M-52.2K0.6626.65N/AN/A1,5681,04017,61271,972
2007-04-23$5.89$6.2555.0%15.8%18.2%0.0%52.8%5.3%-10.8%-640.5K7.0M-50.6K0.3814.49N/AN/A2,06879616,85270,636
2007-04-24$5.79$6.2554.6%15.6%19.6%0.0%55.2%5.1%-8.8%-590.5K8.5M-53.0K5.1527.82N/AN/A2441,25618,50870,576
2007-04-25$5.86$6.2559.0%16.9%19.2%0.0%57.3%15.8%-12.6%-603.0K6.8M-51.8K0.0413.13N/AN/A5442018,65270,992
2007-04-26$5.86$6.2558.5%16.8%18.2%0.0%58.0%15.5%-11.6%-607.0K6.6M-50.4K0.5821.29N/AN/A1528818,98470,988
2007-04-27$6.11$6.2557.2%16.4%22.5%0.0%58.5%7.9%-13.1%-568.2K2.8M-47.8K1.2230.22N/AN/A2,0562,50819,01271,068
2007-04-30$5.75$6.2565.2%18.7%32.3%0.0%64.1%14.0%-17.3%-611.9K8.4M-49.6K0.6323.72N/AN/A86854820,38472,696