OTEX Options History — November 2007

In November 2007, OTEX traded between $7.81 and $8.78. ATM implied volatility averaged 58.2%, placing in the 39.6% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded above realized volatility by 10.9% (HV 20d: 47.3%). Max pain ranged from $6.25 to $8.75. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.12.

Notable Days

  • 2007-11-30: Highest Volume — 17,372 contracts
  • 2007-11-02: Largest IV drop — 46.7% change
  • 2007-11-01: Highest IV Rank — 100.0%
  • 2007-11-01: Largest Expected Move — 32.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.31$7.81$8.78$7.88$8.22
Max Pain$7.98$6.25$8.75$6.25$7.50
ATM IV58.2%41.0%111.9%111.9%51.5%
Expected Move15.2%11.8%32.1%32.1%14.8%
HV 20d47.3%25.8%52.4%25.8%52.4%
HV 60d52.0%37.4%56.9%51.0%37.6%
IV Rank39.6%20.2%100.0%100.0%32.0%
IV Percentile62.3%37.7%100.0%100.0%56.5%
Term Structure9.8%-30.5%27.0%-30.5%3.8%
VWIV55.4%39.1%120.5%120.5%50.9%
Skew 25d2.5%-9.0%18.2%18.2%6.4%
Skew 10d9.1%-10.1%35.9%35.9%11.7%
Call IV 25d54.5%44.2%103.2%103.2%44.2%
Put IV 25d57.0%41.9%121.5%121.5%50.6%
Bid-Ask Spread %44.5222.3482.0731.1335.10
Gamma HHI0.320.190.700.700.31
Net GEX82.2K-854.3K258.4K-854.3K229.3K
Net DEX-24.0M-39.4M-6.3M-6.3M-13.7M
Net VEX-91.9K-145.8K-69.2K-145.8K-117.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.284.001.461.52
Total Volume6,439.2381,26417,3729,60817,372
Total OI185,384.1974,660270,336249,692100,436

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$7.88$6.25111.9%32.1%25.8%100.0%120.5%18.2%-30.5%-854.3K-6.3M-145.8K1.4631.13N/AN/A3,9125,69656,136193,556
2007-11-02$8.76$6.2559.6%17.1%44.1%41.2%62.1%6.3%-2.6%103.0K-38.8M-69.2K1.2326.18N/AN/A4,6285,68857,668193,956
2007-11-05$8.78$8.7563.6%17.2%43.0%45.6%61.2%3.0%6.5%-191.5K-36.3M-81.7K0.4749.23N/AN/A4,4722,08858,548197,368
2007-11-06$8.76$8.7559.8%15.9%43.2%41.4%56.4%4.0%10.3%160.0K-38.6M-75.7K1.0349.31N/AN/A2,3202,38059,688197,416
2007-11-07$8.74$8.7563.8%14.8%42.9%45.9%51.9%6.8%11.8%69.5K-37.9M-80.2K0.3237.57N/AN/A1,71254061,244199,012
2007-11-08$8.58$8.7562.2%13.7%44.0%44.1%58.1%4.8%16.2%48.0K-35.4M-81.7K2.8642.68N/AN/A9082,60061,076199,276
2007-11-09$8.33$8.7562.3%12.7%45.7%44.2%44.4%5.7%18.6%16.7K-32.1M-81.4K1.0356.08N/AN/A2,3922,47260,776199,052
2007-11-12$8.25$8.7574.5%14.0%46.1%57.9%49.7%2.3%16.8%143.8K-33.4M-73.3K1.3847.26N/AN/A53273260,808199,264
2007-11-13$8.75$8.7571.8%15.0%48.2%54.8%60.3%13.7%16.6%166.5K-38.2M-72.1K0.5342.82N/AN/A4,8122,54860,252199,264
2007-11-14$8.69$8.7559.9%14.8%48.5%41.4%53.4%4.5%21.1%208.9K-39.4M-75.7K0.8448.98N/AN/A4,2403,54462,772199,956
2007-11-15$8.42$8.7550.9%14.6%50.6%31.3%50.7%7.0%27.0%156.1K-34.8M-89.3K1.5156.91N/AN/A1,9042,87664,868205,468
2007-11-16$8.23$8.7553.5%15.3%51.1%34.2%53.3%3.0%20.5%43.3K-33.2M-88.3K0.3322.34N/AN/A9,9083,30865,660204,476
2007-11-19$8.10$7.5051.9%14.9%50.7%32.5%52.4%-4.9%14.0%103.6K-10.8M-92.9K0.7144.54N/AN/A4,9163,48038,65236,008
2007-11-20$8.15$7.5054.6%15.6%50.2%35.5%54.4%0.4%2.7%149.1K-11.9M-97.9K1.8044.42N/AN/A1,9243,46442,42436,912
2007-11-21$7.96$7.5046.7%13.4%50.6%26.6%47.3%-1.6%8.8%132.1K-9.5M-102.3K0.2829.38N/AN/A2,52470043,44439,336
2007-11-23$7.97$7.5048.7%14.0%50.6%28.9%53.5%-1.9%7.4%167.0K-10.4M-101.2K0.5168.77N/AN/A1,38470045,28439,024
2007-11-26$7.96$7.5043.4%12.4%50.3%22.8%51.2%-9.0%7.7%207.4K-10.4M-98.3K0.4182.07N/AN/A96039245,98438,984
2007-11-27$7.81$7.5048.2%13.8%50.7%28.3%48.5%-5.5%4.9%188.3K-8.8M-95.9K0.3648.44N/AN/A2,59694446,14439,156
2007-11-28$8.10$7.5041.0%11.8%52.0%20.2%39.1%-3.6%14.6%221.6K-12.2M-98.0K0.8637.97N/AN/A6,9846,03646,83239,672
2007-11-29$8.03$7.5042.8%12.3%51.9%22.2%44.3%-6.8%9.2%258.4K-11.8M-111.3K4.0033.70N/AN/A9283,70852,12045,096
2007-11-30$8.22$7.5051.5%14.8%52.4%32.0%50.9%6.4%3.8%229.3K-13.7M-117.4K1.5235.10N/AN/A6,89610,47652,67647,760