OTEX Options History — September 2007

In September 2007, OTEX traded between $6.23 and $6.54. ATM implied volatility averaged 48.0%, placing in the 30.0% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded below realized volatility by 30.9% (HV 20d: 78.9%). Max pain ranged from $5.00 to $6.25. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 1.95.

Notable Days

  • 2007-09-04: Highest Volume — 22,284 contracts
  • 2007-09-06: Largest IV drop — 13.6% change
  • 2007-09-04: Highest IV Rank — 43.0%
  • 2007-09-04: Largest Expected Move — 16.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.41$6.23$6.54$6.44$6.49
Max Pain$5.79$5.00$6.25$5.00$6.25
ATM IV48.0%41.5%58.7%58.7%43.0%
Expected Move14.2%11.9%16.8%16.8%12.3%
HV 20d78.9%77.5%80.1%78.0%78.6%
HV 60d51.9%51.5%52.5%51.5%52.5%
IV Rank30.0%22.3%43.0%43.0%24.1%
IV Percentile57.2%47.3%67.9%67.9%48.4%
Term Structure8.8%-2.5%17.2%-2.5%16.5%
VWIV50.4%42.4%65.1%65.1%43.3%
Skew 25d0.5%-8.0%4.9%-8.0%2.2%
Skew 10d2.7%-22.0%8.4%-22.0%5.7%
Call IV 25d52.1%43.1%66.6%66.6%43.1%
Put IV 25d52.6%45.3%58.5%58.5%45.3%
Bid-Ask Spread %25.1515.7537.4223.2337.42
Gamma HHI0.790.740.830.830.82
Net GEX-1.4M-1.6M-1.2M-1.3M-1.5M
Net DEX22.8M18.1M32.1M20.5M21.8M
Net VEX-230.6K-250.0K-208.2K-243.6K-208.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.950.1818.000.480.26
Total Volume3,425.26344422,28422,2841,460
Total OI261,274.737243,280271,580243,280248,392

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-09-04$6.44$5.0058.7%16.8%78.0%43.0%65.1%-8.0%-2.5%-1.3M20.5M-243.6K0.4823.23N/AN/A15,1047,18046,936196,344
2007-09-05$6.36$5.6355.4%15.9%78.7%39.0%55.9%-3.8%-1.4%-1.2M23.8M-248.6K2.4436.41N/AN/A1,3763,36057,224198,972
2007-09-06$6.33$5.6347.9%13.7%79.1%29.9%48.7%-4.9%5.6%-1.2M23.2M-246.3K0.9036.15N/AN/A5,5164,95657,788199,724
2007-09-07$6.31$5.6346.6%15.4%78.8%28.4%52.7%4.9%4.2%-1.2M24.4M-250.0K2.3021.23N/AN/A1,8564,26062,016202,584
2007-09-10$6.40$5.6345.0%15.2%78.8%26.5%55.2%2.2%7.0%-1.3M22.4M-246.9K0.9916.36N/AN/A1,4481,43663,592205,220
2007-09-11$6.50$5.6346.9%15.0%78.8%28.8%53.8%4.1%7.0%-1.3M19.7M-243.0K0.9120.37N/AN/A84877263,312205,588
2007-09-12$6.52$5.6345.5%15.0%77.5%27.1%52.8%1.8%5.9%-1.4M19.0M-240.0K1.3018.67N/AN/A64884063,512205,932
2007-09-13$6.33$5.6350.9%14.6%79.2%33.6%51.4%1.2%7.6%-1.4M24.9M-240.2K1.7720.33N/AN/A54896863,760206,300
2007-09-14$6.44$5.6351.4%14.7%79.0%34.2%53.4%0.6%7.6%-1.3M20.9M-239.0K0.1821.70N/AN/A76013664,052206,984
2007-09-17$6.43$5.6352.4%15.0%79.0%35.4%51.7%1.4%7.1%-1.4M21.4M-231.2K0.9625.44N/AN/A66864464,272207,024
2007-09-18$6.54$5.6350.8%14.6%78.8%33.4%52.5%0.8%7.6%-1.5M18.1M-226.7K1.0126.62N/AN/A44444864,184207,396
2007-09-19$6.47$5.6350.4%14.5%79.1%33.1%53.2%0.1%8.2%-1.5M19.4M-225.2K0.3417.03N/AN/A37212863,880207,648
2007-09-20$6.47$5.6350.0%14.3%79.2%32.5%50.3%2.8%9.6%-1.5M19.8M-222.4K1.3115.75N/AN/A19225263,684207,648
2007-09-21$6.42$6.2543.4%12.4%79.4%24.6%43.4%1.6%14.6%-1.5M21.5M-219.4K0.7618.83N/AN/A92870463,600207,848
2007-09-24$6.34$6.2543.6%12.5%79.7%24.8%44.0%-0.3%15.4%-1.5M28.0M-214.7K18.0028.55N/AN/A601,08051,080195,428
2007-09-25$6.23$6.2545.1%12.9%80.1%26.6%45.8%1.7%13.1%-1.5M32.1M-214.0K1.8727.47N/AN/A42880051,100196,124
2007-09-26$6.37$6.2541.5%11.9%78.7%22.3%42.4%-0.3%17.2%-1.5M26.3M-212.8K0.5529.37N/AN/A1,72494451,284196,400
2007-09-27$6.36$6.2542.4%12.1%78.6%23.3%42.5%0.6%16.4%-1.6M26.5M-210.1K0.7136.95N/AN/A1,04874451,484195,904
2007-09-28$6.49$6.2543.0%12.3%78.6%24.1%43.3%2.2%16.5%-1.5M21.8M-208.2K0.2637.42N/AN/A1,15630451,988196,404