OTEX Options History — June 2007

In June 2007, OTEX traded between $5.32 and $5.75. ATM implied volatility averaged 32.6%. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 13.9% (HV 20d: 18.7%). Max pain ranged from $5.63 to $6.25. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 4.37.

Notable Days

  • 2007-06-13: Highest Volume — 21,472 contracts
  • 2007-06-14: Largest IV spike — 56.6% change
  • 2007-06-04: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.48$5.32$5.75$5.75$5.44
Max Pain$5.65$5.63$6.25$6.25$5.63
ATM IV32.6%23.3%37.6%31.7%37.6%
Expected Move9.9%8.6%11.0%9.1%10.8%
HV 20d18.7%12.7%21.1%13.8%21.0%
HV 60d30.3%29.8%30.9%30.0%30.3%
Term Structure6.0%0.8%10.6%8.1%4.4%
VWIV34.8%27.3%38.3%27.3%37.4%
Skew 25d3.6%-1.3%6.5%2.6%6.4%
Skew 10d12.1%2.7%23.3%8.1%22.3%
Call IV 25d41.4%39.3%44.3%39.4%43.8%
Put IV 25d45.0%40.5%50.2%42.0%50.2%
Bid-Ask Spread %32.8718.0853.9331.2831.45
Gamma HHI0.670.520.790.630.77
Net GEX-529.5K-703.4K-411.9K-646.3K-588.1K
Net DEX22.1M16.0M26.8M16.0M26.0M
Net VEX-64.0K-84.2K-48.1K-63.4K-84.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.370.0928.024.074.13
Total Volume4,492.38137621,4722,4722,300
Total OI90,159.61979,864109,01279,864109,012

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$5.75$6.2531.7%9.1%13.8%0.0%27.3%2.6%8.1%-646.3K16.0M-63.4K4.0731.28N/AN/A4881,98415,61664,248
2007-06-04$5.72$5.6334.8%11.0%12.7%0.0%38.3%2.1%0.8%-630.8K16.3M-61.7K0.0918.08N/AN/A9008015,97264,208
2007-06-05$5.63$5.6331.1%10.5%13.1%0.0%36.6%2.5%2.7%-589.5K17.5M-59.5K0.8625.56N/AN/A66456816,75664,248
2007-06-06$5.47$5.6334.6%10.7%15.3%0.0%37.3%-1.3%2.7%-501.0K19.8M-53.7K0.2931.45N/AN/A1,39640016,92064,196
2007-06-07$5.32$5.6328.9%10.3%17.8%0.0%35.9%4.5%4.0%-411.9K21.7M-48.1K0.5146.60N/AN/A78440017,97264,092
2007-06-08$5.42$5.6330.8%10.0%19.6%0.0%0.0%4.7%5.2%-434.1K20.4M-52.6K12.2033.90N/AN/A5366,54018,00863,892
2007-06-11$5.44$5.6330.7%9.0%19.3%0.0%31.3%3.6%8.0%-486.0K21.8M-54.1K1.5444.32N/AN/A14822818,20867,912
2007-06-12$5.38$5.6333.7%9.9%19.4%0.0%34.5%4.5%5.9%-457.4K23.1M-48.6K1.0453.93N/AN/A19620418,32468,020
2007-06-13$5.42$5.6323.3%10.3%19.2%0.0%36.0%3.9%4.6%-413.0K22.8M-52.4K28.0224.26N/AN/A74020,73218,48067,996
2007-06-14$5.49$5.6336.5%10.5%19.9%0.0%36.4%3.4%3.8%-604.3K25.4M-60.5K0.1634.34N/AN/A1,34021618,90877,020
2007-06-15$5.54$5.6335.9%10.3%20.0%0.0%37.0%1.7%5.7%-703.4K23.8M-63.9K6.0625.45N/AN/A1,4088,53219,87675,620
2007-06-18$5.54$5.6330.5%8.7%19.6%0.0%30.5%3.3%8.8%-511.0K19.6M-65.8K0.4241.87N/AN/A1,20050415,95266,056
2007-06-19$5.55$5.6332.5%9.3%19.6%0.0%32.5%3.6%7.1%-497.5K19.5M-66.0K8.8944.05N/AN/A9048,04016,96066,512
2007-06-20$5.50$5.6330.2%8.6%19.7%0.0%29.9%2.4%8.7%-517.6K21.1M-73.6K0.6737.42N/AN/A1,43295617,51271,236
2007-06-21$5.50$5.6329.8%8.6%19.4%0.0%37.9%3.3%10.6%-519.0K22.2M-71.3K0.8733.88N/AN/A94081618,79671,920
2007-06-22$5.43$5.6333.2%9.5%19.8%0.0%36.5%1.5%8.0%-487.2K21.9M-71.9K9.8725.10N/AN/A1,17211,56419,45672,324
2007-06-25$5.33$5.6334.9%10.0%20.6%0.0%35.4%3.9%5.2%-504.1K26.1M-68.5K1.2629.25N/AN/A66884020,32078,732
2007-06-26$5.34$5.6333.6%9.6%20.7%0.0%33.0%6.5%8.3%-516.8K26.0M-67.4K2.8227.35N/AN/A1,4764,15620,94079,096
2007-06-27$5.38$5.6335.5%10.2%21.0%0.0%35.6%6.1%6.6%-525.3K26.1M-75.4K7.6227.04N/AN/A8246,28022,35281,644
2007-06-28$5.42$5.6335.2%10.1%21.1%0.0%37.3%6.5%6.3%-574.7K26.8M-81.0K0.3523.64N/AN/A1,32446022,75285,288
2007-06-29$5.44$5.6337.6%10.8%21.0%0.0%37.4%6.4%4.4%-588.1K26.0M-84.2K4.1331.45N/AN/A4481,85223,38485,628