OTEX Options History — October 2007 In October 2007, OTEX traded between $6.60 and $7.80. ATM implied volatility averaged 69.3%, placing in the 55.8% IV rank vs the trailing year. The 30-day expected move averaged 20.2%. IV traded above realized volatility by 38.2% (HV 20d: 31.0%). Max pain ranged from $6.25 to $6.25. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 1.52.
Notable Days 2007-10-04 : Highest Volume — 12,812 contracts2007-10-26 : Largest IV spike — 11.6% change2007-10-30 : Highest IV Rank — 85.5%2007-10-30 : Largest Expected Move — 26.9%Monthly Statistics Metric Avg Min Max Open Close Price $7.22 $6.60 $7.80 $6.60 $7.80 Max Pain $6.25 $6.25 $6.25 $6.25 $6.25 ATM IV 69.3% 46.0% 93.9% 46.0% 91.0% Expected Move 20.2% 13.2% 26.9% 13.2% 26.1% HV 20d 31.0% 25.7% 33.2% 25.7% 26.4% HV 60d 52.9% 51.0% 54.3% 52.5% 51.0% IV Rank 55.8% 27.6% 85.5% 27.6% 82.0% IV Percentile 81.6% 56.1% 97.6% 56.1% 95.7% Term Structure -5.8% -22.5% 15.3% 15.3% -16.7% VWIV 72.6% 43.4% 96.9% 43.4% 96.1% Skew 25d 5.0% -1.3% 15.0% -0.0% 15.0% Skew 10d 10.0% 3.8% 20.1% 5.1% 19.5% Call IV 25d 69.7% 47.4% 92.0% 47.4% 82.9% Put IV 25d 74.7% 47.4% 99.4% 47.4% 98.0% Bid-Ask Spread % 24.42 13.15 39.33 32.92 39.33 Gamma HHI 0.79 0.72 0.87 0.81 0.72 Net GEX -1.2M -1.6M -895.6K -1.6M -895.6K Net DEX 975.9K -9.0M 18.7M 18.7M -9.0M Net VEX -169.3K -198.6K -136.5K -198.6K -136.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.52 0.22 7.73 4.64 1.48 Total Volume 4,362.435 388 12,812 5,524 4,780 Total OI 256,074.957 231,480 274,904 248,880 246,988
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 2007-10-01 $6.60 $6.25 46.0% 13.2% 25.7% 27.6% 43.4% -0.0% 15.3% -1.6M 18.7M -198.6K 4.64 32.92 N/A N/A 980 4,544 52,392 196,488 2007-10-02 $6.89 $6.25 48.8% 14.0% 27.2% 31.0% 47.1% -1.3% 11.0% -1.5M 8.8M -190.1K 1.13 31.32 N/A N/A 2,240 2,536 52,832 197,268 2007-10-03 $7.22 $6.25 52.6% 15.1% 30.4% 35.6% 55.0% 7.2% 11.5% -1.2M -83.3K -184.9K 0.68 26.50 N/A N/A 6,444 4,380 53,752 197,380 2007-10-04 $7.13 $6.25 56.5% 16.2% 30.9% 40.4% 62.6% 3.4% 7.1% -1.3M 1.1M -189.1K 1.09 30.33 N/A N/A 6,128 6,684 57,456 198,940 2007-10-05 $7.29 $6.25 55.3% 18.3% 31.1% 38.9% 67.3% 5.8% -2.0% -1.1M -4.4M -189.9K 0.34 17.26 N/A N/A 3,532 1,216 61,628 202,112 2007-10-08 $7.16 $6.25 61.3% 18.9% 32.3% 46.1% 69.6% 4.2% -5.0% -1.2M -1.2M -192.0K 0.53 18.46 N/A N/A 2,456 1,308 63,524 202,688 2007-10-09 $7.17 $6.25 59.8% 19.1% 32.1% 44.3% 67.7% 5.2% -5.0% -1.2M -2.4M -185.5K 0.72 17.79 N/A N/A 3,428 2,460 64,536 203,020 2007-10-10 $7.12 $6.25 61.7% 19.3% 32.4% 46.7% 67.8% 2.1% -4.1% -1.2M 664.3K -189.6K 0.62 21.76 N/A N/A 936 576 65,952 205,120 2007-10-11 $7.13 $6.25 67.2% 19.3% 29.9% 53.3% 69.0% 3.6% -4.0% -1.2M 538.9K -187.1K 0.22 24.06 N/A N/A 968 212 66,448 205,400 2007-10-12 $7.30 $6.25 66.1% 19.0% 30.4% 52.0% 69.1% 4.0% -3.4% -1.1M -5.5M -172.2K 7.73 21.55 N/A N/A 104 804 66,608 205,432 2007-10-15 $7.33 $6.25 68.0% 19.5% 30.3% 54.2% 71.8% 5.1% -6.1% -1.1M -6.7M -165.0K 3.22 22.78 N/A N/A 1,012 3,256 66,592 205,440 2007-10-16 $7.15 $6.25 70.2% 20.1% 32.0% 56.9% 73.2% 6.7% -5.2% -1.2M 235.3K -171.5K 3.46 24.57 N/A N/A 588 2,036 66,424 208,480 2007-10-17 $7.17 $6.25 67.8% 19.4% 31.5% 54.0% 67.8% 3.5% -4.5% -1.2M -1.8M -167.3K 0.38 24.00 N/A N/A 1,632 612 66,496 206,212 2007-10-18 $7.16 $6.25 67.3% 19.3% 31.6% 53.4% 71.4% 5.4% -3.5% -1.3M -336.1K -163.9K 0.35 21.88 N/A N/A 288 100 66,020 205,244 2007-10-19 $7.05 $6.25 68.0% 19.5% 32.0% 54.2% 69.4% 6.0% -5.6% -1.4M 2.7M -165.4K 2.21 31.08 N/A N/A 892 1,972 66,056 205,176 2007-10-22 $6.91 $6.25 71.5% 20.5% 32.8% 58.5% 74.1% 4.5% -10.7% -1.5M 13.3M -158.5K 1.14 35.31 N/A N/A 864 988 45,032 186,448 2007-10-23 $7.10 $6.25 74.4% 21.3% 32.6% 62.0% 74.8% 5.7% -11.6% -1.4M 7.7M -152.5K 0.36 13.15 N/A N/A 912 328 45,472 186,752 2007-10-24 $7.31 $6.25 80.0% 22.9% 33.2% 68.7% 80.0% 7.2% -17.3% -1.2M 3.8M -146.8K 0.30 25.64 N/A N/A 3,692 1,112 46,072 186,784 2007-10-25 $7.32 $6.25 83.9% 24.1% 33.1% 73.5% 89.3% 2.1% -16.8% -1.2M 5.1M -154.0K 2.13 20.99 N/A N/A 3,816 8,112 47,524 187,296 2007-10-26 $7.47 $6.25 93.7% 26.8% 33.0% 85.2% 94.1% 8.6% -22.5% -1.1M 1.1M -151.7K 0.74 25.14 N/A N/A 1,740 1,288 49,532 190,252 2007-10-29 $7.57 $6.25 89.0% 25.5% 33.0% 79.6% 92.1% 1.5% -15.3% -1.0M -2.9M -143.2K 0.43 14.46 N/A N/A 4,240 1,828 52,560 190,964 2007-10-30 $7.69 $6.25 93.9% 26.9% 30.3% 85.5% 96.9% 8.4% -19.0% -956.1K -6.9M -137.6K 1.09 21.35 N/A N/A 1,108 1,204 55,344 191,588 2007-10-31 $7.80 $6.25 91.0% 26.1% 26.4% 82.0% 96.1% 15.0% -16.7% -895.6K -9.0M -136.5K 1.48 39.33 N/A N/A 1,924 2,856 54,816 192,172
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