OTEX Options History — January 2008

In January 2008, OTEX traded between $7.03 and $7.76. ATM implied volatility averaged 62.3%, placing in the 44.0% IV rank vs the trailing year. The 30-day expected move averaged 18.9%. IV traded above realized volatility by 24.4% (HV 20d: 37.9%). Max pain ranged from $7.50 to $8.75. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.05.

Notable Days

  • 2008-01-02: Highest Volume — 20,024 contracts
  • 2008-01-10: Largest IV spike — 50.7% change
  • 2008-01-31: Highest IV Rank — 62.2%
  • 2008-01-31: Largest Expected Move — 22.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.40$7.03$7.76$7.58$7.72
Max Pain$8.63$7.50$8.75$7.50$8.75
ATM IV62.3%43.0%78.3%47.0%78.3%
Expected Move18.9%13.5%22.5%13.5%22.5%
HV 20d37.9%33.8%41.2%41.2%39.5%
HV 60d43.0%38.8%44.5%41.4%38.8%
IV Rank44.0%22.2%62.2%27.0%62.2%
IV Percentile70.6%34.9%91.3%46.2%91.3%
Term Structure3.5%-9.5%19.1%18.1%-9.4%
VWIV66.3%47.3%85.4%47.3%85.4%
Skew 25d6.2%-4.3%12.4%5.7%9.0%
Skew 10d20.3%-0.7%38.5%8.5%32.1%
Call IV 25d66.1%56.1%76.9%63.4%74.8%
Put IV 25d72.3%63.4%83.8%69.1%83.8%
Bid-Ask Spread %51.5625.5284.2943.3733.66
Gamma HHI0.490.390.670.670.51
Net GEX-384.0K-577.5K-220.2K-493.7K-513.1K
Net DEX29.2M20.6M36.0M28.2M20.6M
Net VEX-150.0K-166.8K-132.8K-156.9K-147.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.019.121.611.17
Total Volume4,128.76254820,02420,024904
Total OI196,066.667176,056215,760176,056196,924

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-01-02$7.58$7.5047.0%13.5%41.2%27.0%47.3%5.7%18.1%-493.7K28.2M-156.9K1.6143.37N/AN/A7,66012,36467,316108,740
2008-01-03$7.64$7.5047.3%13.6%38.0%27.3%48.0%6.3%19.1%-479.5K27.1M-160.7K0.2450.93N/AN/A2,96470472,292109,732
2008-01-04$7.43$8.7545.3%19.0%38.0%25.1%64.9%9.7%5.0%-432.0K27.7M-162.0K1.4125.52N/AN/A68096074,268109,584
2008-01-07$7.08$8.7551.5%18.3%40.0%32.0%63.9%6.1%2.3%-358.8K35.4M-133.2K0.2279.04N/AN/A10,9442,37674,488110,204
2008-01-08$7.15$8.7546.7%19.5%38.6%26.4%69.2%0.6%-2.0%-277.0K30.0M-153.9K2.2880.77N/AN/A5561,26883,976110,616
2008-01-09$7.18$8.7543.0%18.9%38.9%22.2%63.8%8.1%5.4%-284.9K33.5M-143.6K1.7468.61N/AN/A1,0641,84884,104111,720
2008-01-10$7.33$8.7564.8%18.6%33.9%46.8%68.9%10.8%4.7%-318.6K29.5M-152.3K0.2055.92N/AN/A1,19624484,388112,572
2008-01-11$7.25$8.7565.3%18.7%33.8%47.4%65.9%-4.3%3.7%-317.4K29.7M-154.5K9.1235.31N/AN/A1,0129,23285,316112,776
2008-01-14$7.55$8.7564.9%18.6%35.0%47.0%64.5%11.1%8.4%-492.8K28.7M-163.9K0.9834.81N/AN/A3,3723,28885,744120,420
2008-01-15$7.63$8.7563.1%18.1%35.2%44.9%64.5%12.4%6.7%-511.5K27.9M-164.7K0.5051.69N/AN/A79640087,372122,088
2008-01-16$7.76$8.7560.3%17.3%34.2%41.8%59.1%8.1%11.4%-577.5K23.9M-166.8K0.2684.29N/AN/A1,78445687,220122,256
2008-01-17$7.46$8.7560.2%17.3%36.0%41.6%59.9%9.2%10.4%-412.7K32.9M-153.4K0.0177.31N/AN/A6,9923687,744122,508
2008-01-18$7.25$8.7558.0%16.6%37.2%39.1%59.0%7.8%11.4%-274.3K36.0M-146.8K0.3150.21N/AN/A3,08896493,240122,520
2008-01-22$7.08$8.7573.2%21.0%37.5%56.3%72.4%2.6%-2.5%-262.2K33.0M-136.5K0.3056.77N/AN/A1,39641276,692114,944
2008-01-23$7.03$8.7571.9%20.6%37.3%54.9%70.9%-0.9%-2.9%-220.2K34.9M-132.8K0.3153.88N/AN/A54016877,264115,164
2008-01-24$7.28$8.7567.4%19.3%39.9%49.8%70.9%4.0%3.0%-323.7K29.3M-143.8K0.1448.66N/AN/A1,36018877,404115,216
2008-01-25$7.46$8.7569.6%19.9%40.3%52.2%70.3%1.9%1.8%-386.2K25.2M-150.2K0.3846.90N/AN/A1,22846878,348115,348
2008-01-28$7.50$8.7577.0%22.1%40.0%60.6%72.6%9.5%-7.0%-376.5K27.0M-142.3K0.2038.24N/AN/A74014879,164115,680
2008-01-29$7.41$8.7577.4%22.2%40.0%61.1%74.8%6.9%-9.5%-345.4K28.1M-138.4K0.3929.71N/AN/A1,70065679,480115,780
2008-01-30$7.56$8.7575.7%21.7%40.9%59.1%75.6%4.5%-5.5%-405.9K24.0M-146.2K0.3037.09N/AN/A42012880,572116,216
2008-01-31$7.72$8.7578.3%22.5%39.5%62.2%85.4%9.0%-9.4%-513.1K20.6M-147.0K1.1733.66N/AN/A41648880,588116,336