OTEX Options History — December 2007

In December 2007, OTEX traded between $7.46 and $8.55. ATM implied volatility averaged 52.1%, placing in the 32.7% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded above realized volatility by 9.6% (HV 20d: 42.6%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.06.

Notable Days

  • 2007-12-06: Highest Volume — 23,556 contracts
  • 2007-12-06: Largest IV drop — 16.8% change
  • 2007-12-03: Highest IV Rank — 43.1%
  • 2007-12-03: Largest Expected Move — 17.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.96$7.46$8.55$8.46$7.86
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV52.1%44.5%61.4%61.4%51.4%
Expected Move15.3%13.3%17.6%17.6%14.7%
HV 20d42.6%36.8%47.5%36.8%41.2%
HV 60d41.3%37.9%43.0%37.9%40.8%
IV Rank32.7%24.1%43.1%43.1%31.8%
IV Percentile56.1%41.7%68.8%68.8%55.2%
Term Structure21.5%-1.1%32.8%-1.1%24.9%
VWIV53.4%46.8%62.6%61.6%48.2%
Skew 25d2.6%-10.0%16.0%-4.4%7.0%
Skew 10d11.1%-18.4%34.1%-2.3%13.0%
Call IV 25d64.0%38.8%78.7%62.4%69.7%
Put IV 25d66.6%48.1%84.0%58.0%76.7%
Bid-Ask Spread %38.1314.2975.9515.8761.44
Gamma HHI0.450.300.690.360.66
Net GEX-22.8K-443.8K190.3K142.8K-443.8K
Net DEX4.8M-14.1M19.3M-14.1M19.3M
Net VEX-169.0K-188.4K-134.4K-134.4K-180.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.103.540.340.18
Total Volume7,213.490823,5568,792908
Total OI157,631.4112,764183,872112,764175,556

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$8.46$7.5061.4%17.6%36.8%43.1%61.6%-4.4%-1.1%142.8K-14.1M-134.4K0.3415.87N/AN/A6,5562,23655,27257,492
2007-12-04$8.04$7.5056.9%16.3%40.6%38.1%61.2%-9.2%2.8%175.2K-9.3M-138.2K0.3240.83N/AN/A2,44877659,02858,888
2007-12-05$8.21$7.5055.7%16.0%41.5%36.7%54.3%6.6%5.2%185.8K-10.8M-136.7K2.3463.25N/AN/A5,18812,12859,18058,668
2007-12-06$8.34$7.5046.3%13.3%42.0%26.2%46.8%7.7%8.5%109.1K-8.6M-154.4K0.8435.09N/AN/A12,80010,75661,68071,220
2007-12-07$8.55$7.5044.5%15.6%42.6%24.1%57.5%9.3%22.8%132.3K-13.0M-181.3K1.2616.46N/AN/A6,5208,24470,42481,576
2007-12-10$8.48$7.5051.2%16.1%41.3%31.7%62.6%-6.9%24.6%147.8K-12.1M-188.4K0.5314.29N/AN/A3,5161,87273,93686,348
2007-12-11$7.95$7.5051.3%17.6%47.5%31.8%59.1%-10.0%20.9%151.2K-772.0K-179.7K0.3237.75N/AN/A2,35276474,94887,280
2007-12-12$8.00$7.5051.4%15.4%41.9%31.9%53.1%-4.6%28.7%190.3K-266.2K-177.7K0.6523.28N/AN/A3,9682,59675,25687,548
2007-12-13$7.70$7.5051.3%14.7%43.6%31.8%51.1%-5.4%24.3%124.3K7.1M-171.9K1.0827.89N/AN/A3,0083,23674,93289,704
2007-12-14$7.67$7.5053.7%15.4%42.5%34.4%53.4%16.0%22.1%89.7K8.4M-168.0K0.8426.71N/AN/A1,2321,03274,02490,912
2007-12-17$7.46$7.5048.7%14.0%42.9%28.8%48.8%3.0%28.0%135.8K14.3M-156.4K0.1021.05N/AN/A2,56024474,22891,708
2007-12-18$7.65$7.5056.1%16.1%44.0%37.1%55.4%2.8%25.1%140.3K9.9M-162.6K2.8820.11N/AN/A3,64810,49273,56491,872
2007-12-19$7.69$7.5052.0%14.9%44.0%32.5%51.7%4.5%29.6%140.7K13.2M-172.7K3.5432.46N/AN/A6642,35273,608101,448
2007-12-20$7.79$7.5055.6%15.9%43.6%36.6%48.4%5.2%30.1%-63.2K10.3M-176.9K2.2029.24N/AN/A2,2845,02473,676103,572
2007-12-21$7.82$7.5051.7%14.8%43.6%32.3%51.5%5.6%29.3%-180.4K11.5M-185.6K0.9827.17N/AN/A1,0881,06475,692108,180
2007-12-24$7.86$7.5050.0%14.3%43.6%30.3%49.6%8.3%30.4%-400.2K18.3M-178.3K0.4073.93N/AN/A92036459,492102,616
2007-12-26$8.02$7.5052.5%15.1%43.7%33.2%52.5%5.7%32.8%-386.2K15.2M-179.5K0.8447.60N/AN/A1,14896060,060102,720
2007-12-27$7.87$7.5050.9%14.6%42.2%31.3%50.6%4.6%20.2%-426.2K18.8M-172.7K0.7972.21N/AN/A7,8406,16860,468103,008
2007-12-28$7.89$7.5050.4%14.4%42.1%30.8%50.1%5.9%20.4%-422.0K18.3M-184.7K0.8575.95N/AN/A2,8642,44864,956107,888
2007-12-31$7.86$7.5051.4%14.7%41.2%31.8%48.2%7.0%24.9%-443.8K19.3M-180.7K0.1861.44N/AN/A77213667,036108,520