OTEX Options History — May 2007

In May 2007, OTEX traded between $5.66 and $6.24. ATM implied volatility averaged 43.5%. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 0.3% (HV 20d: 43.2%). Max pain ranged from $6.25 to $6.25. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 7.80.

Notable Days

  • 2007-05-15: Highest Volume — 45,504 contracts
  • 2007-05-03: Largest IV drop — 35.7% change
  • 2007-05-02: Largest Expected Move — 21.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.79$5.66$6.24$6.24$5.72
Max Pain$6.25$6.25$6.25$6.25$6.25
ATM IV43.5%34.6%73.2%71.8%34.6%
Expected Move12.4%9.9%21.0%20.6%9.9%
HV 20d43.2%19.2%47.4%42.7%19.2%
HV 60d36.0%30.0%46.5%45.3%30.0%
Term Structure-1.2%-20.1%4.7%-20.1%4.7%
VWIV43.1%23.4%80.0%76.3%36.7%
Skew 25d5.7%-1.3%14.2%8.5%1.6%
Skew 10d14.9%8.0%27.9%21.1%8.0%
Call IV 25d43.4%37.3%72.3%67.4%39.8%
Put IV 25d49.0%41.4%86.5%75.9%41.4%
Bid-Ask Spread %26.9018.9342.3022.5729.23
Gamma HHI0.500.330.670.340.62
Net GEX-835.4K-1.7M-502.2K-502.2K-624.4K
Net DEX12.6M1.5M20.7M1.5M16.4M
Net VEX-54.9K-67.9K-39.0K-46.3K-63.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.800.0260.578.510.74
Total Volume6,024445,50412,0564
Total OI99,947.81870,436138,27693,10879,860

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$6.24$6.2571.8%20.6%42.7%0.0%76.3%8.5%-20.1%-502.2K1.5M-46.3K8.5122.57N/AN/A1,26810,78820,39272,716
2007-05-02$6.07$6.2573.2%21.0%44.2%0.0%80.0%14.2%-20.0%-537.6K5.0M-51.4K1.9424.17N/AN/A3,2126,22020,59275,836
2007-05-03$5.84$6.2547.0%13.5%46.7%0.0%46.1%9.0%-6.3%-771.8K7.4M-45.3K5.8020.31N/AN/A2,70015,65222,80477,820
2007-05-04$5.75$6.2540.2%11.9%47.1%0.0%41.0%5.7%1.3%-878.2K11.0M-48.5K2.8421.10N/AN/A8242,34023,70884,108
2007-05-07$5.81$6.2545.6%12.2%47.2%0.0%43.7%6.4%-0.7%-884.1K10.0M-47.0K2.4521.02N/AN/A4081,00023,43683,764
2007-05-08$5.87$6.2545.9%12.7%47.2%0.0%23.4%8.4%-3.7%-900.6K8.7M-44.7K3.1218.93N/AN/A23673623,66084,044
2007-05-09$5.87$6.2544.6%12.2%47.1%0.0%42.1%3.6%-1.4%-880.0K7.4M-43.0K1.3221.64N/AN/A24031623,80484,048
2007-05-10$5.81$6.2546.3%13.3%47.3%0.0%44.7%6.6%-5.2%-892.3K9.3M-42.9K60.5724.07N/AN/A1126,78424,02884,216
2007-05-11$5.86$6.2544.0%12.6%47.4%0.0%43.8%-1.3%-2.4%-957.6K9.0M-43.5K5.4523.11N/AN/A4442,42023,98488,088
2007-05-14$5.83$6.2542.3%12.1%46.6%0.0%41.8%6.4%-1.6%-1.0M10.2M-40.6K2.5225.72N/AN/A6601,66424,34890,252
2007-05-15$5.73$6.2540.7%11.7%47.0%0.0%42.1%7.4%1.1%-979.1K13.8M-39.0K52.6622.34N/AN/A84844,65624,87690,876
2007-05-16$5.72$6.2539.4%11.3%46.3%0.0%39.5%5.4%1.6%-1.3M20.7M-65.1K1.0324.34N/AN/A1,1041,14025,092113,184
2007-05-17$5.66$6.2539.4%11.3%46.3%0.0%39.8%6.4%2.3%-1.4M20.4M-63.9K2.9323.51N/AN/A2,2566,60825,632109,332
2007-05-18$5.71$6.2538.6%11.1%46.3%0.0%38.8%6.3%2.8%-1.7M16.2M-64.9K0.4025.78N/AN/A2,24488826,196110,788
2007-05-21$5.72$6.2539.9%11.4%45.8%0.0%39.7%5.3%4.6%-557.7K14.2M-62.9K4.3738.33N/AN/A1,6847,36012,44857,988
2007-05-22$5.75$6.2538.1%10.9%45.4%0.0%37.4%5.4%2.4%-598.4K14.9M-67.9K0.0229.74N/AN/A7601613,56862,520
2007-05-23$5.68$6.2537.2%10.7%45.3%0.0%37.4%3.8%3.6%-573.6K15.8M-67.9K2.8832.70N/AN/A25673614,32862,532
2007-05-24$5.66$6.2538.0%10.9%45.3%0.0%38.3%4.7%2.2%-581.3K16.8M-65.3K0.5433.08N/AN/A50026814,47663,156
2007-05-25$5.70$6.2537.1%10.6%42.4%0.0%37.0%4.9%2.4%-612.2K16.3M-67.1K0.7039.66N/AN/A28019614,78863,244
2007-05-29$5.69$6.2536.1%10.4%36.8%0.0%36.1%4.2%3.2%-616.0K16.5M-62.3K2.9542.30N/AN/A6361,87615,04063,360
2007-05-30$5.69$6.2536.7%10.5%20.7%0.0%36.7%2.1%2.4%-615.8K16.5M-65.4K0.7428.25N/AN/A1088015,62064,300
2007-05-31$5.72$6.2534.6%9.9%19.2%0.0%0.0%1.6%4.7%-624.4K16.4M-63.9K0.0029.23N/AN/A0415,61664,244