OTEX Options History — March 2008

In March 2008, OTEX traded between $7.24 and $8.02. ATM implied volatility averaged 57.1%, placing in the 38.1% IV rank vs the trailing year. The 30-day expected move averaged 16.2%. IV traded above realized volatility by 22.9% (HV 20d: 34.2%). Max pain ranged from $7.50 to $8.75. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 5.61.

Notable Days

  • 2008-03-17: Highest Volume — 37,264 contracts
  • 2008-03-10: Largest IV spike — 22.2% change
  • 2008-03-24: Highest IV Rank — 47.3%
  • 2008-03-24: Largest Expected Move — 18.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.63$7.24$8.02$8.02$7.83
Max Pain$8.31$7.50$8.75$8.75$8.75
ATM IV57.1%48.7%65.2%53.4%65.0%
Expected Move16.2%14.0%18.7%15.3%18.6%
HV 20d34.2%30.2%40.3%36.8%32.3%
HV 60d36.7%35.4%38.3%37.8%36.0%
IV Rank38.1%28.7%47.3%33.9%47.1%
IV Percentile62.6%43.7%78.6%56.7%77.8%
Term Structure8.7%-2.7%20.5%-2.7%10.5%
VWIV59.5%48.7%86.5%53.2%62.0%
Skew 25d0.5%-22.3%22.6%6.2%-3.0%
Skew 10d7.5%-35.0%40.4%6.2%-1.7%
Call IV 25d58.2%29.1%70.9%45.9%60.2%
Put IV 25d58.8%40.4%80.5%52.0%57.3%
Bid-Ask Spread %58.9033.3783.2977.6979.59
Gamma HHI0.410.310.540.350.54
Net GEX-426.1K-765.4K-185.0K-337.4K-765.4K
Net DEX25.3M11.9M35.1M11.9M31.7M
Net VEX-161.9K-180.9K-140.7K-166.9K-175.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.610.1924.760.320.19
Total Volume6,403.286837,26412,8841,816
Total OI166,984145,824177,520145,824177,520

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$8.02$8.7553.4%15.3%36.8%33.9%53.2%6.2%-2.7%-337.4K11.9M-166.9K0.3277.69N/AN/A9,7923,09260,51285,312
2008-03-04$7.78$8.7551.4%14.7%38.0%31.7%52.3%1.3%1.3%-185.0K14.2M-166.7K1.5580.81N/AN/A2,1723,37668,09287,164
2008-03-05$7.86$8.7548.7%14.0%38.1%28.7%48.7%-4.8%-1.6%-216.7K14.8M-166.9K24.7648.84N/AN/A2045,05268,31689,524
2008-03-06$7.75$8.7552.1%14.9%38.4%32.5%49.5%22.6%2.4%-276.2K17.4M-170.3K5.9540.86N/AN/A3001,78468,25693,552
2008-03-07$7.47$7.5050.0%15.4%40.3%30.2%54.0%-16.7%12.2%-245.8K23.6M-161.7K4.3640.24N/AN/A7323,19268,40494,796
2008-03-10$7.43$7.5061.1%16.1%40.3%42.7%56.3%-22.3%12.6%-278.9K25.8M-158.5K2.2333.37N/AN/A39287668,62497,788
2008-03-11$7.65$7.5055.5%15.2%31.8%36.3%53.1%-11.2%13.9%-305.6K21.7M-160.8K10.3937.75N/AN/A1962,03668,64497,704
2008-03-12$7.57$7.5059.4%15.1%31.4%40.8%53.6%-13.0%15.5%-329.3K23.9M-159.7K0.2738.61N/AN/A1,18031668,84099,320
2008-03-13$7.72$7.5053.9%15.5%30.3%34.6%55.7%-5.3%14.4%-345.8K20.7M-161.1K2.6242.48N/AN/A24062869,98099,216
2008-03-14$7.53$7.5052.1%14.9%31.0%32.5%52.3%3.9%15.2%-317.8K25.7M-153.4K1.1341.87N/AN/A57664870,00099,844
2008-03-17$7.50$7.5057.0%16.3%30.8%38.0%62.9%3.3%4.4%-327.1K26.9M-145.0K18.2557.67N/AN/A1,93635,32870,052100,268
2008-03-18$7.53$8.7558.0%16.6%30.2%39.2%57.3%9.8%8.7%-487.5K25.3M-152.6K0.6853.43N/AN/A80054471,312102,112
2008-03-19$7.25$8.7555.4%15.9%32.3%36.2%73.6%6.8%10.3%-438.4K33.6M-140.7K2.5963.60N/AN/A2,3606,10871,488102,392
2008-03-20$7.24$8.7558.2%16.7%32.4%39.4%86.5%10.7%7.9%-429.2K33.2M-141.3K2.5767.67N/AN/A1,4443,71272,608104,700
2008-03-24$7.51$8.7565.2%18.7%34.6%47.3%65.7%4.0%1.2%-432.0K24.6M-147.5K19.0980.90N/AN/A1,11621,30853,68094,500
2008-03-25$7.63$8.7556.8%16.3%34.0%37.9%59.7%11.0%20.5%-626.3K32.1M-172.7K11.0279.38N/AN/A6767,44854,320114,264
2008-03-26$7.68$8.7562.0%17.8%33.2%43.7%67.1%6.0%10.9%-715.8K35.1M-178.2K2.2065.14N/AN/A5081,11654,592120,900
2008-03-27$7.80$8.7561.8%17.7%33.9%43.5%61.6%-6.0%6.4%-715.1K32.5M-177.3K1.3983.29N/AN/A1,5362,14054,688119,892
2008-03-28$7.83$8.7563.8%18.3%33.9%45.7%64.7%7.6%9.4%-747.6K31.2M-180.9K0.5764.91N/AN/A88450055,144121,360
2008-03-31$7.83$8.7565.0%18.6%32.3%47.1%62.0%-3.0%10.5%-765.4K31.7M-175.8K0.1979.59N/AN/A1,53228455,740121,780