OTEX Options History — June 2008

In June 2008, OTEX traded between $7.94 and $8.95. ATM implied volatility averaged 46.9%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 18.9% (HV 20d: 28.0%). 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 19 of 21 days. Put/call ratio averaged 3.20.

Notable Days

  • 2008-06-18: Highest Volume — 21,424 contracts
  • 2008-06-06: Largest IV drop — 10.8% change
  • 2008-06-11: Highest IV Rank — 29.9%
  • 2008-06-23: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.37$7.94$8.95$8.79$8.03
Max Pain$8.75$8.75$8.75$8.75$8.75
ATM IV46.9%40.4%50.6%45.7%49.1%
Expected Move13.4%12.6%14.5%13.1%14.1%
HV 20d28.0%23.8%35.1%35.1%24.0%
HV 60d35.2%32.5%37.0%37.0%32.5%
IV Rank23.0%19.1%29.9%25.3%22.5%
IV Percentile24.2%9.5%34.9%23.0%29.4%
Term Structure2.8%-0.5%7.2%0.2%5.5%
VWIV46.4%42.1%52.3%45.5%46.6%
Skew 25d3.5%-16.8%13.3%1.3%6.8%
Skew 10d11.2%-9.2%23.7%4.0%15.8%
Call IV 25d46.9%36.6%53.1%46.5%50.7%
Put IV 25d50.4%32.0%59.0%47.8%57.6%
Bid-Ask Spread %30.2314.6052.2726.6624.03
Gamma HHI0.540.440.680.560.46
Net GEX-428.3K-596.0K-265.3K-542.8K-491.9K
Net DEX19.2M4.2M40.0M9.2M25.5M
Net VEX-160.3K-192.5K-139.7K-184.6K-155.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.200.0616.054.112.64
Total Volume4,672.1964821,42411,4721,236
Total OI152,130.667123,252182,628153,544143,708

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$8.79$8.7545.7%13.1%35.1%25.3%45.5%1.3%0.2%-542.8K9.2M-184.6K4.1126.66N/AN/A2,2449,22862,13291,412
2008-06-03$8.81$8.7546.0%13.2%35.1%25.6%44.4%1.3%-0.2%-596.0K9.6M-192.5K1.0230.52N/AN/A32032862,92496,520
2008-06-04$8.88$8.7544.8%12.8%33.4%24.3%44.6%2.3%0.9%-546.1K6.8M-184.9K2.5830.73N/AN/A20051663,13292,812
2008-06-05$8.95$8.7545.3%13.0%30.4%24.9%45.3%4.6%-0.5%-557.2K4.2M-183.7K16.0532.93N/AN/A841,34863,22093,144
2008-06-06$8.86$8.7540.4%12.6%30.2%19.3%44.1%-5.1%5.0%-549.2K7.7M-179.3K2.5025.66N/AN/A23258063,26092,752
2008-06-09$8.66$8.7544.8%13.6%30.9%24.3%47.6%13.3%2.5%-540.7K13.1M-173.9K1.1518.11N/AN/A70881263,33693,172
2008-06-10$8.47$8.7547.4%13.0%25.3%27.2%45.6%-7.1%4.4%-507.7K19.2M-166.0K1.3014.66N/AN/A9441,22463,78092,928
2008-06-11$8.28$8.7549.8%13.2%25.7%29.9%46.6%-16.8%3.9%-449.7K24.1M-158.5K0.1819.75N/AN/A67612064,15692,364
2008-06-12$8.29$8.7545.7%13.1%25.7%25.3%45.5%7.7%4.1%-450.7K22.9M-158.7K0.0629.51N/AN/A4,47226064,38892,464
2008-06-13$8.29$8.7546.6%13.4%25.5%20.5%46.4%3.8%3.6%-420.6K21.9M-159.3K0.3626.22N/AN/A6,9322,52067,16492,584
2008-06-16$8.55$8.7547.6%13.7%27.7%21.7%48.1%2.6%1.3%-367.9K15.8M-142.9K0.9114.60N/AN/A3,9043,55663,71288,064
2008-06-17$8.29$8.7546.4%13.3%27.8%20.2%47.8%4.2%1.9%-364.0K22.3M-158.6K0.1125.00N/AN/A3,62040072,04895,244
2008-06-18$8.25$8.7546.0%13.2%27.8%19.7%45.9%6.4%4.2%-265.3K23.9M-154.1K7.6431.27N/AN/A2,48018,94474,71695,500
2008-06-19$8.26$8.7545.5%13.0%27.7%19.1%52.3%6.6%3.6%-389.5K34.0M-156.9K0.4744.98N/AN/A2,1441,00475,408106,288
2008-06-20$8.04$8.7549.6%14.2%27.7%24.1%49.1%6.3%0.9%-334.4K40.0M-145.6K2.5844.59N/AN/A38499276,044106,584
2008-06-23$8.03$8.7550.6%14.5%27.8%24.3%47.4%7.8%0.8%-328.9K20.5M-140.7K0.8433.86N/AN/A82469649,71673,536
2008-06-24$8.03$8.7547.2%13.5%27.7%20.1%45.1%6.4%4.7%-341.3K20.4M-141.6K1.3545.87N/AN/A53672450,23674,176
2008-06-25$8.02$8.7549.7%14.2%23.8%23.2%42.1%5.9%1.9%-340.9K21.3M-139.7K0.0814.65N/AN/A3,32826450,54074,796
2008-06-26$8.04$8.7549.4%14.2%24.0%22.9%49.4%6.1%2.4%-312.7K20.3M-145.2K7.1252.27N/AN/A1,2809,10853,43674,956
2008-06-27$7.94$8.7546.5%13.3%24.1%19.2%45.5%8.9%7.2%-297.5K20.6M-143.5K14.1148.94N/AN/A5928,35253,43674,956
2008-06-30$8.03$8.7549.1%14.1%24.0%22.5%46.6%6.8%5.5%-491.9K25.5M-155.3K2.6424.03N/AN/A34089654,54089,168