OTEX Options History — July 2008

In July 2008, OTEX traded between $7.32 and $8.10. ATM implied volatility averaged 52.7%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded above realized volatility by 17.2% (HV 20d: 35.6%). 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 22 of 22 days. Put/call ratio averaged 3.39.

Notable Days

  • 2008-07-31: Highest Volume — 22,664 contracts
  • 2008-07-10: Largest IV spike — 13.9% change
  • 2008-07-10: Highest IV Rank — 29.5%
  • 2008-07-24: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.66$7.32$8.10$7.60$7.78
Max Pain$8.75$8.75$8.75$8.75$8.75
ATM IV52.7%48.1%55.0%52.1%54.6%
Expected Move15.3%13.8%15.8%14.9%15.7%
HV 20d35.6%29.6%41.9%29.6%37.2%
HV 60d35.7%33.4%38.5%34.3%33.8%
IV Rank20.4%15.7%29.5%26.1%19.8%
IV Percentile41.5%23.8%49.2%41.7%49.2%
Term Structure6.8%1.3%22.1%1.5%21.9%
VWIV53.5%46.8%60.1%51.1%56.2%
Skew 25d6.1%-7.8%9.8%7.5%-7.8%
Skew 10d14.0%-11.1%28.4%8.5%-11.1%
Call IV 25d52.5%49.8%57.0%52.0%57.0%
Put IV 25d58.7%49.2%61.8%59.4%49.2%
Bid-Ask Spread %26.5010.7647.2030.9010.76
Gamma HHI0.370.340.420.380.36
Net GEX-473.8K-573.5K-397.5K-397.5K-501.2K
Net DEX32.5M24.8M37.7M31.4M30.6M
Net VEX-127.1K-154.5K-110.1K-135.3K-128.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.390.0044.002.124.85
Total Volume4,757.0918822,6643,72822,664
Total OI154,164.182143,824172,408143,824172,408

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-07-01$7.60$8.7552.1%14.9%29.6%26.1%51.1%7.5%1.5%-397.5K31.4M-135.3K2.1230.90N/AN/A1,1962,53254,50089,324
2008-07-02$7.80$8.7549.9%14.3%31.5%23.4%46.8%8.6%4.6%-453.7K27.8M-145.5K3.1739.53N/AN/A1,5444,88855,00889,856
2008-07-03$7.67$8.7548.2%13.8%31.1%21.4%0.0%8.6%5.4%-469.7K33.2M-137.2K0.1036.94N/AN/A80855,51693,756
2008-07-07$7.84$8.7552.5%15.7%32.8%26.7%53.9%9.8%2.8%-514.3K29.9M-143.9K0.5429.29N/AN/A46024855,58093,760
2008-07-08$8.10$8.7552.9%15.7%34.8%27.2%51.4%5.4%3.7%-573.5K24.8M-154.5K0.0029.39N/AN/A856455,97293,880
2008-07-09$8.03$8.7548.1%15.5%34.2%21.2%52.8%4.4%3.2%-548.4K26.1M-149.6K0.7727.93N/AN/A1,07282456,40093,884
2008-07-10$7.90$8.7554.8%15.7%33.7%29.5%54.8%7.8%1.7%-516.9K29.7M-140.0K2.1430.96N/AN/A17236856,19294,228
2008-07-11$7.59$8.7553.5%15.3%36.2%18.3%53.2%6.4%2.3%-443.0K33.6M-129.4K0.6327.69N/AN/A1,02464056,29694,332
2008-07-14$7.47$8.7554.0%15.5%36.4%19.0%55.7%9.1%4.1%-415.0K36.1M-120.3K3.5320.19N/AN/A6824056,78094,556
2008-07-15$7.45$8.7552.7%15.1%33.8%17.2%52.7%9.0%4.0%-410.3K37.7M-112.4K44.0047.20N/AN/A924,04856,74494,596
2008-07-16$7.58$8.7552.6%15.1%33.6%17.0%48.4%7.1%3.6%-505.1K35.2M-122.7K2.2644.01N/AN/A9220856,78496,624
2008-07-17$7.72$8.7554.1%15.5%34.6%19.1%53.8%9.6%3.5%-525.4K33.4M-124.3K1.0726.97N/AN/A8,1328,72456,81296,508
2008-07-18$7.53$8.7553.6%15.4%35.4%18.5%57.2%6.3%3.4%-503.8K34.4M-118.4K2.8028.80N/AN/A28078464,936104,332
2008-07-21$7.65$8.7553.6%15.4%35.1%18.4%52.1%4.4%3.9%-505.4K31.9M-117.0K0.4928.27N/AN/A4,3282,10052,86492,104
2008-07-22$7.60$8.7554.1%15.5%35.1%19.1%54.5%7.4%1.3%-462.9K32.9M-114.4K0.1811.33N/AN/A4,04070855,27292,640
2008-07-23$7.82$8.7555.0%15.8%36.8%20.3%52.8%7.5%4.2%-503.8K29.3M-122.6K0.7814.03N/AN/A4,6443,64456,59292,748
2008-07-24$7.45$8.7555.0%15.8%40.3%20.4%56.1%1.3%8.4%-426.7K33.7M-120.1K2.0718.01N/AN/A2,1364,41260,16495,956
2008-07-25$7.32$8.7553.4%15.3%40.5%18.1%54.7%3.7%11.4%-414.4K37.3M-112.6K0.3528.99N/AN/A1,50453260,88898,888
2008-07-28$7.35$8.7552.0%14.9%40.5%16.1%60.1%7.7%13.9%-417.4K37.1M-110.1K0.8113.88N/AN/A2,8322,30862,08498,956
2008-07-29$7.57$8.7551.8%14.9%41.9%15.9%52.6%8.3%17.9%-457.0K34.2M-117.3K0.9015.53N/AN/A2,5122,25263,836100,708
2008-07-30$7.59$8.7551.7%14.8%37.3%15.7%53.1%2.9%22.1%-457.3K34.0M-120.3K0.9822.34N/AN/A2,7522,70465,680102,668
2008-07-31$7.78$8.7554.6%15.7%37.2%19.8%56.2%-7.8%21.9%-501.2K30.6M-128.2K4.8510.76N/AN/A3,87618,78867,664104,744