OTEX Options History — February 2008

In February 2008, OTEX traded between $7.84 and $8.74. ATM implied volatility averaged 62.6%, placing in the 44.3% IV rank vs the trailing year. The 30-day expected move averaged 16.8%. IV traded above realized volatility by 25.3% (HV 20d: 37.3%). Max pain ranged from $6.25 to $8.75. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.66.

Notable Days

  • 2008-02-11: Highest Volume — 122,008 contracts
  • 2008-02-08: Largest IV drop — 42.0% change
  • 2008-02-07: Highest IV Rank — 99.6%
  • 2008-02-01: Largest Expected Move — 22.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.20$7.84$8.74$7.90$8.05
Max Pain$8.31$6.25$8.75$8.75$8.75
ATM IV62.6%46.3%111.5%79.1%46.3%
Expected Move16.8%13.3%22.7%22.7%13.3%
HV 20d37.3%34.1%41.4%40.1%37.6%
HV 60d39.3%38.7%39.9%39.1%39.1%
IV Rank44.3%25.9%99.6%63.0%25.9%
IV Percentile64.9%36.9%99.6%92.9%36.9%
Term Structure3.0%-7.7%11.7%-7.7%4.5%
VWIV58.3%43.9%79.5%77.8%43.9%
Skew 25d9.0%-5.2%16.3%4.7%-0.4%
Skew 10d21.6%-15.1%46.9%12.2%2.2%
Call IV 25d59.9%40.6%103.1%78.7%48.2%
Put IV 25d69.0%47.7%119.3%83.4%47.7%
Bid-Ask Spread %44.2413.9878.4528.4478.45
Gamma HHI0.500.330.810.540.36
Net GEX-674.2K-1.9M-319.0K-593.0K-383.4K
Net DEX7.1M-21.5M29.9M15.0M11.5M
Net VEX-167.0K-192.3K-141.8K-154.3K-170.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.660.066.003.960.36
Total Volume12,321.81,060122,0083,3724,824
Total OI181,950122,680244,876197,196141,912

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-02-01$7.90$8.7579.1%22.7%40.1%63.0%77.8%4.7%-7.7%-593.0K15.0M-154.3K3.9628.44N/AN/A6802,69280,800116,396
2008-02-04$8.02$6.2586.2%20.6%38.8%71.0%72.2%6.8%1.3%-659.6K11.9M-148.5K1.1113.98N/AN/A2,6442,94081,348116,604
2008-02-05$7.95$7.5089.5%20.6%34.2%74.8%0.0%11.6%4.0%-636.1K16.4M-146.5K1.0115.06N/AN/A52853281,504119,188
2008-02-06$7.92$7.5090.2%20.6%34.3%75.5%79.5%11.2%6.0%-683.9K15.9M-144.4K0.9816.32N/AN/A1,00098082,004119,348
2008-02-07$7.88$7.50111.5%19.6%34.6%99.6%68.5%16.3%5.1%-574.3K17.2M-141.8K1.5317.98N/AN/A12,84019,62882,720120,036
2008-02-08$7.84$7.5064.6%17.1%34.1%46.7%57.5%-5.2%9.2%-470.7K29.9M-145.7K1.7316.93N/AN/A5,84410,12490,488134,904
2008-02-11$8.42$7.5058.3%19.1%41.4%39.5%67.2%11.9%2.4%-1.9M6.9M-164.2K3.9717.92N/AN/A24,55697,45293,260141,472
2008-02-12$8.50$8.7560.6%18.4%39.5%42.1%65.1%11.9%2.3%-721.1K-11.6M-192.3K0.4926.77N/AN/A1,932940106,120133,724
2008-02-13$8.74$8.7554.2%18.0%40.3%34.9%60.9%8.6%5.2%-1.4M-21.5M-186.9K0.0637.12N/AN/A9,324580100,732133,692
2008-02-14$8.63$8.7555.7%16.0%40.7%36.6%55.8%7.2%10.8%-1.5M-15.1M-185.7K1.0951.57N/AN/A5,5806,084106,508134,104
2008-02-15$8.48$8.7553.9%15.5%38.0%34.6%53.2%6.5%11.7%-1.1M841.8K-176.5K1.7848.70N/AN/A2,3484,176108,524136,352
2008-02-19$8.28$8.7549.7%14.3%37.5%29.8%48.9%7.1%0.6%-335.9K5.7M-165.0K0.9664.21N/AN/A4,3004,12448,28874,392
2008-02-20$8.27$8.7549.3%14.1%35.9%29.3%55.4%9.4%-1.9%-319.0K5.2M-173.6K6.0064.44N/AN/A4722,83251,55277,912
2008-02-21$8.18$8.7549.9%14.3%36.1%30.0%51.3%11.9%-0.4%-338.3K7.6M-175.0K4.2354.51N/AN/A4001,69251,94480,376
2008-02-22$7.94$8.7552.1%14.9%36.8%32.5%50.7%5.7%1.2%-363.4K12.9M-169.2K1.9974.06N/AN/A1,4362,86052,17281,780
2008-02-25$8.11$8.7555.6%15.9%36.5%36.4%48.5%12.1%-2.7%-437.9K13.3M-166.3K0.2775.37N/AN/A1,88050853,20484,320
2008-02-26$8.27$8.7548.0%13.8%36.9%27.9%51.9%16.2%4.6%-385.1K7.0M-176.9K0.0764.09N/AN/A4,84433254,10084,336
2008-02-27$8.25$8.7548.5%13.9%36.5%28.5%51.0%11.9%1.5%-366.2K6.8M-177.8K0.2167.08N/AN/A98420456,66884,580
2008-02-28$8.29$8.7548.1%13.8%36.1%28.0%49.0%15.0%1.4%-361.6K5.5M-178.8K1.4851.75N/AN/A54080057,05684,580
2008-02-29$8.05$8.7546.3%13.3%37.6%25.9%43.9%-0.4%4.5%-383.4K11.5M-170.5K0.3678.45N/AN/A3,5441,28057,25684,656