OTEX Options History — May 2008

In May 2008, OTEX traded between $8.72 and $9.64. ATM implied volatility averaged 48.1%, placing in the 28.0% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 5.5% (HV 20d: 42.6%). Max pain ranged from $8.75 to $8.75. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.75.

Notable Days

  • 2008-05-09: Highest Volume — 17,204 contracts
  • 2008-05-13: Largest IV spike — 36.8% change
  • 2008-05-05: Highest IV Rank — 39.7%
  • 2008-05-07: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.16$8.72$9.64$9.35$8.98
Max Pain$8.75$8.75$8.75$8.75$8.75
ATM IV48.1%40.5%58.5%55.4%45.3%
Expected Move13.8%12.2%16.0%15.9%13.0%
HV 20d42.6%34.9%47.9%36.7%34.9%
HV 60d37.2%36.3%38.1%37.7%36.8%
IV Rank28.0%19.4%39.7%36.3%24.8%
IV Percentile30.0%14.7%57.1%50.0%21.8%
Term Structure2.4%-4.2%6.8%-4.2%-0.0%
VWIV48.0%39.1%59.1%55.3%46.2%
Skew 25d3.7%-5.6%9.6%6.2%2.4%
Skew 10d10.4%-5.2%32.4%32.1%12.7%
Call IV 25d46.0%42.0%50.8%50.6%46.4%
Put IV 25d49.7%38.2%57.5%56.8%48.8%
Bid-Ask Spread %29.8910.3647.9726.4841.93
Gamma HHI0.630.440.860.650.54
Net GEX-975.5K-2.0M-412.8K-1.2M-515.3K
Net DEX-12.8M-34.5M7.7M-20.1M2.7M
Net VEX-198.1K-225.9K-179.2K-225.9K-184.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.750.143.650.581.24
Total Volume6,588.76275217,2048,6487,884
Total OI211,576.571136,032282,108250,788149,052

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-05-01$9.35$8.7555.4%15.9%36.7%36.3%55.3%6.2%-4.2%-1.2M-20.1M-225.9K0.5826.48N/AN/A5,4883,16089,468161,320
2008-05-02$9.46$8.7549.6%14.2%36.3%29.7%51.4%6.7%1.2%-1.1M-26.4M-218.7K0.4913.95N/AN/A6,1563,03289,160160,976
2008-05-05$9.37$8.7558.5%15.9%36.6%39.7%59.1%7.7%3.9%-1.2M-26.1M-218.0K2.2033.75N/AN/A1,0602,33692,936161,524
2008-05-06$9.64$8.7548.3%14.2%37.4%28.2%51.3%7.5%6.8%-893.2K-33.8M-210.1K0.7036.48N/AN/A3,0842,14492,912163,196
2008-05-07$9.24$8.7556.6%16.0%41.0%37.5%53.6%8.3%3.9%-1.3M-20.9M-220.0K2.3837.74N/AN/A1,9124,54494,020162,512
2008-05-08$9.11$8.7556.3%15.8%41.5%37.3%54.9%7.1%3.7%-1.6M-14.0M-219.1K3.2236.47N/AN/A2,0166,49294,164163,928
2008-05-09$8.99$8.7553.0%15.5%41.8%33.5%53.5%5.6%3.8%-1.9M-10.2M-215.5K3.6534.92N/AN/A3,70013,50494,052165,040
2008-05-12$9.44$8.7540.5%14.8%44.7%19.4%52.5%9.6%5.3%-1.3M-32.4M-197.4K3.0741.61N/AN/A4,17612,81695,808171,464
2008-05-13$9.26$8.7555.5%14.0%45.6%36.3%49.3%4.5%4.1%-1.9M-22.6M-204.1K2.9140.81N/AN/A2,9528,60096,256180,288
2008-05-14$9.26$8.7547.8%13.3%45.6%27.6%45.6%2.4%3.5%-2.0M-22.2M-198.8K0.9622.64N/AN/A1,9561,88495,572183,892
2008-05-15$9.30$8.7547.1%13.5%45.5%26.9%47.8%4.5%1.9%-1.7M-26.3M-191.6K2.9328.33N/AN/A9162,68895,992183,904
2008-05-16$9.45$8.7544.3%12.7%45.2%23.7%42.7%1.7%3.8%-540.3K-34.5M-185.5K0.8021.14N/AN/A3,6122,89696,056186,052
2008-05-19$9.18$8.7545.4%13.0%46.8%25.0%43.2%4.0%0.6%-412.8K-3.0M-187.2K1.3726.27N/AN/A1,5762,15656,17279,860
2008-05-20$9.12$8.7544.4%12.7%45.7%23.8%43.1%1.3%0.6%-433.7K-892.2K-188.0K0.2116.95N/AN/A62412856,76881,320
2008-05-21$8.99$8.7544.3%12.7%46.0%23.7%44.3%3.1%1.4%-428.1K1.6M-186.7K0.1420.75N/AN/A1,72824057,02481,392
2008-05-22$8.75$8.7543.2%12.4%46.9%22.4%39.1%3.0%3.2%-424.6K6.8M-182.7K0.4024.28N/AN/A2,5881,04457,32881,416
2008-05-23$8.72$8.7542.6%12.2%46.9%21.8%42.6%2.1%3.3%-432.3K7.7M-181.8K0.8128.64N/AN/A3,3042,66857,00481,384
2008-05-27$8.75$8.7543.9%12.6%46.8%23.2%43.8%2.1%3.2%-445.4K7.3M-179.2K3.5947.97N/AN/A6122,20058,93683,704
2008-05-28$9.05$8.7544.4%12.7%47.9%23.8%43.0%-5.3%-0.6%-469.9K-708.2K-181.8K2.6410.36N/AN/A1,8364,84059,04484,400
2008-05-29$9.05$8.7544.8%12.8%34.9%24.2%45.0%-5.6%0.8%-527.1K-309.6K-183.2K2.4236.23N/AN/A1,1162,69659,89287,920
2008-05-30$8.98$8.7545.3%13.0%34.9%24.8%46.2%2.4%-0.0%-515.3K2.7M-184.8K1.2441.93N/AN/A3,5124,37260,45688,596