OTEX Options History — August 2007 In August 2007, OTEX traded between $4.48 and $6.22. ATM implied volatility averaged 80.3%, placing in the 77.1% IV rank vs the trailing year. The 30-day expected move averaged 21.7%. IV traded above realized volatility by 46.8% (HV 20d: 33.4%). Max pain ranged from $5.00 to $6.25. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 5.11.
Notable Days 2007-08-14 : Highest Volume — 140,428 contracts2007-08-31 : Largest IV drop — 21.9% change2007-08-06 : Highest IV Rank — 100.0%2007-08-15 : Largest Expected Move — 27.3%Monthly Statistics Metric Avg Min Max Open Close Price $4.82 $4.48 $6.22 $4.73 $6.22 Max Pain $5.16 $5.00 $6.25 $6.25 $5.00 ATM IV 80.3% 57.9% 105.9% 64.0% 57.9% Expected Move 21.7% 16.6% 27.3% 18.4% 16.6% HV 20d 33.4% 28.0% 78.7% 28.0% 78.7% HV 60d 25.8% 21.3% 51.2% 21.4% 51.2% IV Rank 77.1% 42.0% 100.0% 73.1% 42.0% IV Percentile 91.8% 67.1% 100.0% 85.5% 67.1% Term Structure -5.7% -17.5% 7.1% 7.1% -8.7% VWIV 75.1% 47.6% 103.6% 74.8% 57.9% Skew 25d 6.1% -9.2% 15.4% 7.2% 1.0% Skew 10d 8.9% -29.2% 28.5% 26.8% 11.3% Call IV 25d 72.4% 54.2% 94.2% 68.9% 58.0% Put IV 25d 78.5% 45.0% 103.2% 76.1% 59.0% Bid-Ask Spread % 30.09 17.08 46.75 46.08 17.08 Gamma HHI 0.65 0.45 0.82 0.72 0.82 Net GEX -629.6K -1.3M -309.6K -449.3K -1.3M Net DEX 51.9M 26.8M 72.6M 45.1M 26.8M Net VEX -141.7K -237.1K -83.1K -92.2K -237.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 5.11 0.18 44.83 26.65 1.64 Total Volume 11,720.522 1,020 140,428 7,520 29,720 Total OI 201,921.565 161,328 263,620 161,328 227,700
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2007-08-01 $4.73 $6.25 64.0% 18.4% 28.0% 73.1% 74.8% 7.2% 7.1% -449.3K 45.1M -92.2K 26.65 46.08 N/A N/A 272 7,248 27,380 133,948 2007-08-02 $4.75 $6.25 69.6% 20.0% 28.1% 83.1% 72.8% -0.5% 4.8% -453.7K 47.0M -94.5K 18.90 29.31 N/A N/A 428 8,088 27,332 139,776 2007-08-03 $4.56 $6.25 73.3% 21.0% 30.7% 89.6% 47.6% -9.2% 3.4% -500.2K 42.0M -109.2K 0.33 23.65 N/A N/A 904 300 27,452 147,008 2007-08-06 $4.48 $5.00 84.7% 23.0% 30.4% 100.0% 74.4% 10.7% -5.7% -359.1K 49.3M -83.1K 0.62 28.93 N/A N/A 628 392 28,044 144,880 2007-08-07 $4.51 $5.00 87.3% 22.4% 30.8% 100.0% 83.0% 4.4% -1.4% -387.4K 48.9M -87.6K 0.68 24.47 N/A N/A 708 480 28,316 145,104 2007-08-08 $4.58 $5.00 91.1% 22.2% 31.0% 100.0% 76.6% 5.5% -1.7% -360.0K 48.9M -89.0K 3.94 29.11 N/A N/A 340 1,340 28,684 145,432 2007-08-09 $4.53 $5.00 92.1% 22.3% 30.5% 100.0% 92.6% 9.3% -1.1% -335.2K 49.6M -87.4K 0.21 37.26 N/A N/A 1,228 252 28,960 146,072 2007-08-10 $4.58 $5.00 95.4% 22.8% 30.9% 100.0% 0.0% 8.4% -1.0% -309.6K 49.0M -90.9K 1.70 25.25 N/A N/A 1,748 2,972 29,956 146,324 2007-08-13 $4.67 $5.00 97.8% 22.8% 32.6% 100.0% 72.5% 8.6% 0.7% -406.8K 49.2M -97.1K 1.24 35.54 N/A N/A 2,104 2,600 30,988 148,668 2007-08-14 $4.56 $5.00 105.9% 23.8% 32.0% 100.0% 81.8% 9.5% -4.8% -318.8K 50.2M -92.0K 44.83 32.93 N/A N/A 3,064 137,364 31,564 151,080 2007-08-15 $4.67 $5.00 105.3% 27.3% 34.3% 99.3% 94.0% 7.6% -14.0% -653.1K 72.6M -163.6K 0.99 20.45 N/A N/A 5,224 5,168 34,136 222,904 2007-08-16 $4.67 $5.00 94.1% 27.0% 34.3% 85.8% 103.6% 8.9% -15.8% -644.7K 71.2M -169.1K 5.58 23.86 N/A N/A 304 1,696 37,896 225,152 2007-08-17 $4.83 $5.00 78.7% 22.6% 36.3% 67.2% 81.2% 15.4% -3.6% -671.2K 72.5M -178.2K 0.66 29.34 N/A N/A 4,784 3,164 38,120 225,500 2007-08-20 $4.83 $5.00 70.8% 20.3% 30.7% 57.7% 70.7% 10.6% 0.6% -694.3K 50.0M -172.1K 0.18 42.13 N/A N/A 2,404 436 28,532 172,084 2007-08-21 $4.83 $5.00 64.8% 18.6% 30.6% 50.5% 62.4% 10.5% -0.0% -724.2K 51.7M -165.2K 0.29 46.75 N/A N/A 1,624 468 29,952 172,516 2007-08-22 $4.96 $5.00 63.8% 18.3% 31.7% 49.2% 63.2% 4.4% -8.3% -813.3K 51.3M -175.9K 1.46 28.53 N/A N/A 2,548 3,708 30,696 172,984 2007-08-23 $4.95 $5.00 65.3% 18.7% 31.0% 51.0% 65.6% 3.0% -12.5% -827.4K 51.3M -177.4K 1.34 24.27 N/A N/A 1,984 2,656 32,392 176,428 2007-08-24 $5.08 $5.00 68.9% 19.8% 29.7% 55.4% 68.9% 3.4% -10.3% -890.0K 52.1M -183.3K 1.79 26.86 N/A N/A 2,616 4,672 32,832 178,016 2007-08-27 $5.02 $5.00 79.4% 22.8% 29.4% 68.0% 78.9% 3.5% -17.5% -855.4K 53.3M -179.5K 1.50 26.93 N/A N/A 916 1,372 33,500 180,408 2007-08-28 $4.88 $5.00 79.0% 22.7% 31.5% 67.6% 78.0% 2.1% -17.3% -789.7K 55.2M -168.1K 1.35 32.59 N/A N/A 1,188 1,604 33,896 180,788 2007-08-29 $5.02 $5.00 82.6% 23.7% 32.9% 71.9% 78.7% 8.5% -13.0% -852.9K 52.7M -181.4K 1.00 31.69 N/A N/A 5,800 5,812 34,708 181,500 2007-08-30 $5.03 $5.00 74.1% 21.2% 32.9% 61.6% 72.9% 6.5% -12.0% -868.1K 53.3M -186.3K 0.76 29.03 N/A N/A 4,112 3,132 39,104 185,484 2007-08-31 $6.22 $5.00 57.9% 16.6% 78.7% 42.0% 57.9% 1.0% -8.7% -1.3M 26.8M -237.1K 1.64 17.08 N/A N/A 11,268 18,452 41,440 186,260
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