OTEX Options History — July 2007

In July 2007, OTEX traded between $4.63 and $5.57. ATM implied volatility averaged 48.9%, placing in the 48.3% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded above realized volatility by 29.9% (HV 20d: 19.0%). 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 13.42.

Notable Days

  • 2007-07-23: Highest Volume — 12,128 contracts
  • 2007-07-12: Largest IV spike — 46.4% change
  • 2007-07-31: Highest IV Rank — 77.2%
  • 2007-07-31: Largest Expected Move — 19.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.25$4.63$5.57$5.45$4.70
Max Pain$6.16$5.63$6.25$5.63$6.25
ATM IV48.9%30.9%66.3%36.7%66.3%
Expected Move14.4%10.5%19.0%10.5%19.0%
HV 20d19.0%12.6%27.5%21.1%27.5%
HV 60d28.4%21.4%31.8%30.3%21.5%
IV Rank48.3%13.9%77.2%25.7%77.2%
IV Percentile70.1%18.5%88.2%53.2%88.2%
Term Structure5.3%0.6%10.7%6.7%3.5%
VWIV51.5%37.0%68.6%37.0%68.6%
Skew 25d3.9%-12.4%12.7%4.5%2.3%
Skew 10d12.7%-19.2%25.4%23.0%13.6%
Call IV 25d52.4%43.0%68.1%45.8%67.9%
Put IV 25d56.2%49.1%70.2%50.2%70.2%
Bid-Ask Spread %31.5219.1448.7029.6828.25
Gamma HHI0.800.700.870.830.72
Net GEX-617.6K-781.4K-378.2K-616.5K-381.0K
Net DEX34.7M26.1M46.5M26.1M46.2M
Net VEX-90.3K-103.7K-74.8K-84.1K-81.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio13.420.00104.009.652.10
Total Volume4,061.33310812,1288527,792
Total OI133,757.524110,392158,748110,392158,412

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$5.45$5.6336.7%10.5%21.1%0.0%37.0%4.5%6.7%-616.5K26.1M-84.1K9.6529.68N/AN/A8077223,83286,560
2007-07-03$5.43$5.6336.9%10.6%20.5%0.0%0.0%5.8%6.0%-610.2K26.9M-79.3K0.4331.53N/AN/A24010423,91286,656
2007-07-05$5.45$5.6337.5%10.8%18.2%25.7%37.5%6.0%4.8%-622.7K27.0M-78.1K0.0032.88N/AN/A108024,13286,656
2007-07-06$5.42$6.2537.6%12.1%14.8%25.9%42.8%6.3%3.9%-593.4K27.9M-76.7K0.5241.44N/AN/A24812824,24086,656
2007-07-09$5.44$6.2540.4%13.0%13.3%30.9%45.4%3.4%4.8%-599.8K27.0M-74.8K19.6842.61N/AN/A3727,32024,48886,764
2007-07-10$5.44$6.2537.2%13.3%13.2%25.1%46.6%5.5%3.0%-659.0K29.0M-85.2K104.0025.69N/AN/A323,32824,86093,952
2007-07-11$5.51$6.2530.9%12.8%13.2%13.9%44.4%8.8%4.3%-765.9K30.1M-87.3K0.8227.89N/AN/A90074024,87296,656
2007-07-12$5.54$6.2545.3%13.0%13.2%39.6%46.7%3.1%6.1%-720.5K27.6M-91.2K12.1730.09N/AN/A84810,32025,75695,472
2007-07-13$5.57$6.2543.2%12.4%12.6%35.9%44.0%5.2%8.5%-781.4K30.7M-102.5K2.7044.82N/AN/A27674426,420103,776
2007-07-16$5.48$6.2544.9%12.9%13.4%39.0%51.2%5.9%6.9%-743.2K32.4M-96.7K2.9626.97N/AN/A30490026,624104,464
2007-07-17$5.55$6.2544.9%12.9%14.3%38.9%44.8%5.0%7.3%-778.3K31.5M-97.3K36.2435.00N/AN/A1645,94426,856105,104
2007-07-18$5.51$6.2545.0%12.9%14.5%39.1%45.5%2.6%10.7%-779.8K33.9M-102.1K65.0034.94N/AN/A603,90026,780110,872
2007-07-19$5.43$6.2550.7%14.5%15.0%49.4%51.5%2.3%5.9%-755.8K35.4M-103.7K12.7130.89N/AN/A4405,59226,800113,844
2007-07-20$5.29$6.2555.9%16.0%17.6%58.6%54.4%3.1%3.6%-684.9K37.8M-101.5K2.6419.14N/AN/A1,4683,88027,036116,960
2007-07-23$5.00$6.2561.8%17.7%26.1%69.1%64.2%2.5%0.6%-516.5K39.8M-89.0K1.6822.87N/AN/A4,5327,59623,148116,120
2007-07-24$5.01$6.2563.0%18.1%25.5%71.2%61.7%12.7%3.6%-515.1K42.6M-94.3K2.5121.08N/AN/A2,8927,25225,080123,112
2007-07-25$4.93$6.2560.2%17.3%25.8%66.3%53.6%1.1%5.6%-512.8K44.0M-99.5K3.2824.30N/AN/A6162,02026,676129,508
2007-07-26$4.84$6.2561.7%17.7%25.9%68.9%63.1%4.3%5.9%-477.8K45.3M-94.0K0.2830.96N/AN/A93626027,580131,168
2007-07-27$4.70$6.2562.6%17.9%26.8%70.6%65.1%3.2%2.7%-378.2K46.5M-83.1K1.3832.13N/AN/A27237627,428131,036
2007-07-30$4.63$6.2563.4%18.2%26.7%71.9%62.5%-12.4%7.2%-477.4K41.3M-94.8K1.1848.70N/AN/A70482827,664130,976
2007-07-31$4.70$6.2566.3%19.0%27.5%77.2%68.6%2.3%3.5%-381.0K46.2M-81.0K2.1028.25N/AN/A2,5125,28027,892130,520