OTEX Options History — April 2008 In April 2008, OTEX traded between $8.26 and $9.30. ATM implied volatility averaged 76.2%, placing in the 59.7% IV rank vs the trailing year. The 30-day expected move averaged 22.4%. IV traded above realized volatility by 42.8% (HV 20d: 33.4%). Max pain ranged from $8.75 to $8.75. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 4.75.
Notable Days 2008-04-30 : Highest Volume — 65,676 contracts2008-04-30 : Largest IV drop — 32.6% change2008-04-18 : Highest IV Rank — 81.3%2008-04-18 : Largest Expected Move — 27.3%Monthly Statistics Metric Avg Min Max Open Close Price $8.49 $8.26 $9.30 $8.40 $9.30 Max Pain $8.75 $8.75 $8.75 $8.75 $8.75 ATM IV 76.2% 56.1% 95.3% 66.1% 56.1% Expected Move 22.4% 16.1% 27.3% 19.0% 16.1% HV 20d 33.4% 18.4% 41.3% 41.3% 36.7% HV 60d 35.4% 33.1% 38.8% 38.8% 37.8% IV Rank 59.7% 37.0% 81.3% 48.3% 37.0% IV Percentile 85.2% 52.8% 97.6% 79.4% 52.8% Term Structure -9.6% -23.4% 14.1% 10.2% -1.5% VWIV 79.4% 57.2% 96.7% 63.2% 57.2% Skew 25d 5.6% -0.9% 11.6% -0.4% 4.2% Skew 10d 15.0% -9.9% 28.7% -9.9% 27.8% Call IV 25d 77.1% 54.1% 93.2% 66.7% 54.1% Put IV 25d 82.6% 58.4% 99.0% 66.3% 58.4% Bid-Ask Spread % 49.24 22.40 68.70 66.28 27.48 Gamma HHI 0.56 0.50 0.63 0.60 0.63 Net GEX -870.5K -1.1M -657.6K -819.1K -1.1M Net DEX 14.8M -13.7M 34.0M 16.6M -13.7M Net VEX -181.4K -197.6K -165.2K -192.6K -177.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 4.75 0.03 81.85 0.67 1.26 Total Volume 11,224.545 732 65,676 10,552 65,676 Total OI 191,534.364 178,624 218,144 178,624 210,912
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2008-04-01 $8.40 $8.75 66.1% 19.0% 41.3% 48.3% 63.2% -0.4% 10.2% -819.1K 16.6M -192.6K 0.67 66.28 N/A N/A 6,336 4,216 56,720 121,904 2008-04-02 $8.56 $8.75 65.2% 18.7% 39.7% 47.3% 66.7% 1.4% 14.1% -820.5K 11.9M -194.1K 0.59 58.30 N/A N/A 1,944 1,156 60,796 123,316 2008-04-03 $8.60 $8.75 64.7% 18.6% 39.7% 46.8% 65.5% 1.1% 11.4% -864.4K 11.2M -190.8K 1.19 48.26 N/A N/A 1,808 2,148 61,140 123,332 2008-04-04 $8.50 $8.75 65.0% 21.8% 39.5% 47.1% 76.2% 6.9% -14.1% -872.8K 13.5M -186.1K 0.49 61.75 N/A N/A 1,960 960 62,152 124,152 2008-04-07 $8.48 $8.75 66.6% 21.2% 36.7% 48.9% 75.1% 4.1% -10.6% -904.9K 13.9M -183.2K 0.90 54.51 N/A N/A 2,824 2,540 63,100 124,576 2008-04-08 $8.49 $8.75 63.9% 21.3% 36.5% 45.9% 74.6% 5.7% -9.9% -925.7K 13.9M -182.4K 4.18 48.50 N/A N/A 584 2,440 63,672 126,028 2008-04-09 $8.42 $8.75 66.5% 22.0% 35.9% 48.8% 76.3% 4.9% -13.5% -931.8K 16.0M -185.6K 0.03 63.39 N/A N/A 872 28 63,892 128,388 2008-04-10 $8.41 $8.75 74.6% 21.4% 35.5% 57.9% 74.8% 6.0% -12.2% -946.8K 16.6M -183.3K 81.85 50.07 N/A N/A 396 32,412 64,140 128,392 2008-04-11 $8.38 $8.75 81.0% 23.2% 35.2% 65.1% 78.5% -0.9% -16.4% -1.0M 34.0M -197.6K 0.47 60.97 N/A N/A 1,384 648 64,184 153,960 2008-04-14 $8.38 $8.75 78.7% 22.6% 33.5% 62.5% 79.5% 3.3% -15.1% -779.0K 14.1M -167.0K 0.39 68.70 N/A N/A 2,300 896 64,564 122,588 2008-04-15 $8.40 $8.75 75.8% 21.7% 33.3% 59.3% 78.4% 4.2% -12.2% -792.3K 13.3M -165.2K 1.01 66.27 N/A N/A 1,440 1,448 65,884 122,820 2008-04-16 $8.50 $8.75 85.4% 24.5% 33.4% 70.1% 85.9% 5.9% -17.5% -723.7K 8.6M -166.1K 3.03 64.98 N/A N/A 8,052 24,392 67,168 122,008 2008-04-17 $8.47 $8.75 85.5% 24.5% 29.4% 70.2% 87.4% 7.1% -20.0% -947.6K 16.0M -184.6K 0.17 66.62 N/A N/A 628 104 71,760 140,148 2008-04-18 $8.65 $8.75 95.3% 27.3% 29.6% 81.3% 96.7% 5.8% -23.4% -657.6K 10.3M -180.6K 1.82 57.85 N/A N/A 6,080 11,060 71,708 134,128 2008-04-21 $8.65 $8.75 86.0% 24.6% 27.8% 70.7% 87.6% 8.1% -7.9% -819.1K 14.0M -185.1K 0.78 41.64 N/A N/A 3,552 2,756 56,996 122,608 2008-04-22 $8.43 $8.75 86.1% 24.7% 30.0% 70.9% 87.4% 7.3% -8.9% -802.9K 18.0M -180.0K 0.46 29.42 N/A N/A 1,856 848 56,996 122,608 2008-04-23 $8.37 $8.75 83.5% 23.9% 30.3% 68.0% 85.8% 10.2% -6.7% -841.3K 19.4M -180.3K 0.59 27.30 N/A N/A 1,184 704 59,512 124,812 2008-04-24 $8.26 $8.75 81.9% 23.5% 30.6% 66.2% 85.5% 8.1% -6.5% -873.8K 21.6M -176.3K 1.50 31.74 N/A N/A 1,252 1,880 59,852 124,872 2008-04-25 $8.26 $8.75 82.1% 23.5% 30.6% 66.4% 86.4% 10.4% -14.4% -905.7K 23.2M -174.9K 0.73 34.69 N/A N/A 6,148 4,508 60,740 125,860 2008-04-28 $8.37 $8.75 83.6% 24.0% 30.8% 68.0% 87.7% 11.6% -19.1% -918.0K 19.0M -175.5K 0.57 32.11 N/A N/A 5,540 3,152 64,728 128,604 2008-04-29 $8.49 $8.75 83.2% 23.9% 18.4% 67.6% 89.9% 7.2% -17.9% -864.6K 13.9M -181.6K 1.89 22.40 N/A N/A 9,280 17,548 67,912 130,124 2008-04-30 $9.30 $8.75 56.1% 16.1% 36.7% 37.0% 57.2% 4.2% -1.5% -1.1M -13.7M -177.9K 1.26 27.48 N/A N/A 29,080 36,596 71,516 139,396
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