OTEX Options History — August 2008

In August 2008, OTEX traded between $7.50 and $8.96. ATM implied volatility averaged 58.8%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 19.0%. IV traded above realized volatility by 19.7% (HV 20d: 39.1%). Max pain ranged from $7.50 to $8.75. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.14.

Notable Days

  • 2008-08-14: Highest Volume — 34,316 contracts
  • 2008-08-14: Largest IV spike — 34.9% change
  • 2008-08-14: Highest IV Rank — 52.7%
  • 2008-08-07: Largest Expected Move — 24.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.40$7.50$8.96$7.70$8.77
Max Pain$8.21$7.50$8.75$8.75$8.75
ATM IV58.8%45.4%78.1%54.4%45.8%
Expected Move19.0%13.0%24.4%15.6%13.1%
HV 20d39.1%33.9%43.6%36.9%40.3%
HV 60d34.9%31.2%36.9%32.8%36.9%
IV Rank25.7%7.0%52.7%19.5%7.5%
IV Percentile53.6%11.1%87.7%48.8%13.1%
Term Structure-3.7%-12.2%20.6%20.6%-4.2%
VWIV66.6%46.4%86.6%52.6%47.6%
Skew 25d2.7%-16.2%12.2%-8.0%4.4%
Skew 10d6.4%-27.0%22.4%-14.8%11.3%
Call IV 25d61.4%47.9%71.4%55.6%48.5%
Put IV 25d64.0%47.6%80.8%47.6%52.9%
Bid-Ask Spread %20.8911.1347.3715.2147.37
Gamma HHI0.390.250.760.380.34
Net GEX-510.8K-2.6M40.4K-592.5K32.4K
Net DEX11.1M-9.4M40.5M36.2M-4.9M
Net VEX-165.8K-186.2K-137.4K-149.7K-171.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.062.871.011.62
Total Volume10,493.1431,64434,3162,5084,576
Total OI187,675.429140,740253,956189,024174,192

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$7.70$8.7554.4%15.6%36.9%19.5%52.6%-8.0%20.6%-592.5K36.2M-149.7K1.0115.21N/AN/A1,2481,26068,736120,288
2008-08-04$7.62$7.5059.5%22.1%36.2%26.7%77.4%-16.2%-9.9%-572.4K37.8M-142.5K0.9612.89N/AN/A1,3681,32069,580120,200
2008-08-05$7.50$7.5060.2%22.2%34.2%27.6%77.0%-14.0%-10.8%-539.8K40.5M-137.4K1.2816.80N/AN/A1,9002,43270,160121,316
2008-08-06$7.60$7.5058.3%21.9%34.7%25.0%75.4%-13.7%-9.1%-568.9K38.2M-141.2K0.1712.87N/AN/A1,40024471,128121,960
2008-08-07$7.71$7.5059.7%24.4%34.9%27.0%83.0%-8.8%-12.2%-577.1K36.0M-143.1K1.0313.79N/AN/A10,06010,39671,796122,040
2008-08-08$7.99$7.5055.3%24.3%33.9%20.8%86.6%-1.7%-9.4%-645.8K32.1M-156.2K1.4418.33N/AN/A8,84012,74878,272129,348
2008-08-11$8.64$7.5069.3%24.1%42.6%40.4%85.3%12.2%-8.3%-829.1K9.1M-178.9K0.7311.67N/AN/A10,4007,62486,756139,828
2008-08-12$8.69$7.5068.1%23.3%42.5%38.7%80.1%9.8%-7.9%-885.3K8.9M-180.7K1.1511.13N/AN/A3,8284,38890,740143,676
2008-08-13$8.51$7.5057.9%22.3%43.4%24.4%81.0%10.0%-4.8%-951.5K16.7M-178.7K1.3112.22N/AN/A1,5081,98092,888146,232
2008-08-14$8.70$7.5078.1%22.4%43.6%52.7%73.2%10.2%-3.4%-1.2M9.3M-176.8K2.8711.99N/AN/A8,86425,45293,816146,952
2008-08-15$8.82$8.7576.2%21.9%42.0%50.1%76.5%10.3%-1.1%-2.6M-4.2M-186.2K2.1321.04N/AN/A7,36015,71299,212154,744
2008-08-18$8.66$8.7575.8%21.7%42.9%49.5%77.6%7.4%-4.1%-160.5K-1.8M-175.1K1.5913.11N/AN/A1,6002,54456,78883,952
2008-08-19$8.50$8.7568.1%19.5%43.6%38.7%68.2%4.7%-5.0%-164.0K-737.9K-169.8K0.7222.29N/AN/A10,0007,24857,84485,652
2008-08-20$8.63$8.7552.2%15.0%42.9%16.4%53.9%5.5%1.3%-87.1K-2.9M-173.2K0.8527.82N/AN/A10,4728,90063,89687,740
2008-08-21$8.69$8.7551.9%14.9%38.1%16.1%51.9%5.7%1.2%-94.0K-1.8M-175.7K0.4527.62N/AN/A1,43664867,21290,812
2008-08-22$8.80$8.7549.7%14.3%36.9%13.0%51.7%7.3%1.4%-85.7K-3.9M-175.1K0.5434.49N/AN/A3,0881,67665,82489,976
2008-08-25$8.67$8.7550.1%14.4%37.9%13.6%50.0%7.7%-2.4%-72.1K-1.8M-166.6K1.1522.13N/AN/A5,4166,24466,64490,892
2008-08-26$8.59$8.7550.4%14.5%37.5%13.9%52.2%9.8%-1.8%-101.1K115.4K-171.9K0.0635.72N/AN/A2,03212069,29695,464
2008-08-27$8.59$8.7548.6%13.9%37.6%11.5%50.8%7.2%-4.0%-59.2K250.6K-165.7K1.5331.99N/AN/A2,4563,76070,27695,424
2008-08-28$8.96$8.7545.4%13.0%39.3%7.0%46.4%5.9%-3.0%40.4K-9.4M-166.5K1.3018.27N/AN/A3,3924,41671,87297,760
2008-08-29$8.77$8.7545.8%13.1%40.3%7.5%47.6%4.4%-4.2%32.4K-4.9M-171.6K1.6247.37N/AN/A1,7482,82873,688100,504