OTEX Options History — September 2008

In September 2008, OTEX traded between $7.21 and $9.55. ATM implied volatility averaged 60.1%, placing in the 27.5% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded above realized volatility by 3.6% (HV 20d: 56.5%). Max pain ranged from $8.75 to $10.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.38.

Notable Days

  • 2008-09-15: Highest Volume — 31,972 contracts
  • 2008-09-19: Largest IV spike — 21.7% change
  • 2008-09-29: Highest IV Rank — 47.6%
  • 2008-09-29: Largest Expected Move — 21.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.39$7.21$9.55$8.65$8.64
Max Pain$9.11$8.75$10.00$8.75$8.75
ATM IV60.1%46.4%74.5%46.4%71.4%
Expected Move17.0%13.3%21.3%13.3%20.5%
HV 20d56.5%37.0%81.8%40.4%81.5%
HV 60d45.4%36.7%56.6%36.9%55.8%
IV Rank27.5%8.3%47.6%8.3%43.3%
IV Percentile62.8%15.5%86.5%15.5%84.1%
Term Structure-0.1%-20.3%7.8%-2.5%-7.1%
VWIV56.7%43.1%76.3%47.7%61.1%
Skew 25d11.2%3.4%28.7%4.8%28.7%
Skew 10d19.3%6.3%39.7%11.5%34.3%
Call IV 25d56.1%40.8%64.7%49.5%40.8%
Put IV 25d67.3%54.3%87.0%54.3%69.4%
Bid-Ask Spread %51.2417.03132.5535.2874.25
Gamma HHI0.410.220.620.350.45
Net GEX-197.6K-731.1K419.2K-4.7K172.3K
Net DEX7.4M-27.0M43.4M-472.0K-6.3M
Net VEX-171.8K-203.8K-151.3K-159.9K-167.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.094.482.880.30
Total Volume9,744.191,36431,9727,2722,364
Total OI198,797.524172,684251,672172,684195,368

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$8.65$8.7546.4%13.3%40.4%8.3%47.7%4.8%-2.5%-4.7K-472.0K-159.9K2.8835.28N/AN/A1,8765,39672,128100,556
2008-09-03$8.74$8.7548.5%13.9%39.6%11.3%49.0%8.4%-2.4%-55.1K-1.7M-166.6K1.8928.72N/AN/A3,6126,83272,484104,976
2008-09-04$8.35$8.7552.4%15.0%43.9%16.7%58.1%7.8%-1.7%-199.1K9.3M-169.4K4.0926.37N/AN/A2,1408,75273,688108,540
2008-09-05$8.29$8.7553.6%14.4%43.9%18.5%51.1%4.5%7.3%-263.6K12.0M-171.2K1.2817.16N/AN/A3,0363,90074,608113,600
2008-09-08$8.30$8.7554.5%15.0%42.3%19.7%52.5%5.6%6.6%-256.4K12.2M-170.5K4.4817.03N/AN/A8843,95676,184116,752
2008-09-09$7.81$8.7560.8%16.1%37.4%28.5%55.5%8.6%7.8%-519.9K26.4M-160.9K2.3826.86N/AN/A2,3365,56475,192119,592
2008-09-10$7.91$8.7560.7%16.0%37.7%28.4%53.9%6.6%5.8%-495.4K24.2M-164.8K0.3922.79N/AN/A3,2561,27276,108122,184
2008-09-11$8.05$8.7556.5%16.2%38.1%22.5%53.8%8.9%7.1%-475.7K22.4M-165.4K0.0929.52N/AN/A1,25211277,092122,996
2008-09-12$8.04$8.7555.1%15.8%37.0%20.6%54.0%9.4%5.7%-431.5K21.8M-163.5K1.0530.73N/AN/A3,4403,60077,504123,024
2008-09-15$7.68$8.7555.6%15.9%39.0%21.3%46.6%3.4%6.0%-718.5K31.5M-151.3K3.1837.59N/AN/A7,65624,31679,668125,476
2008-09-16$7.60$10.0057.8%16.6%38.8%24.2%56.4%13.9%1.6%-731.1K39.9M-153.4K0.1647.54N/AN/A17,0362,80884,224135,752
2008-09-17$7.21$10.0060.3%17.3%42.0%27.7%61.1%9.9%5.0%-597.0K43.4M-157.3K1.5668.60N/AN/A3,2485,07697,244134,704
2008-09-18$8.46$10.0056.0%16.1%72.7%21.8%55.0%12.2%5.3%-239.5K5.4M-173.1K0.38132.55N/AN/A20,1567,56898,368135,080
2008-09-19$8.82$10.0068.2%19.6%74.3%38.9%58.6%11.4%-1.1%419.2K-11.9M-194.4K0.4568.66N/AN/A7,5283,352112,860138,812
2008-09-22$9.18$10.0069.6%19.9%75.5%40.8%66.4%15.2%-8.7%-132.0K-14.2M-185.0K0.7646.69N/AN/A7,5885,80080,35293,796
2008-09-23$9.55$10.0055.0%15.8%76.3%20.4%43.1%10.4%-5.3%47.5K-27.0M-164.8K0.4354.41N/AN/A10,4004,45685,73697,976
2008-09-24$8.84$8.7566.0%18.9%81.7%35.8%66.1%18.1%1.2%-3.7K-9.1M-201.4K0.4953.36N/AN/A5,2642,57293,20898,356
2008-09-25$8.76$8.7569.5%19.9%81.8%40.8%65.4%17.3%-3.8%6.3K-5.2M-203.8K1.2267.32N/AN/A1,1881,45293,52099,160
2008-09-26$8.87$8.7569.0%19.8%80.4%40.0%59.1%8.3%-8.2%184.4K-13.9M-170.7K0.7676.61N/AN/A94871694,02499,692
2008-09-29$8.51$8.7574.5%21.3%81.4%47.6%76.3%22.3%-20.3%144.2K-4.0M-192.7K0.80113.98N/AN/A1,06485694,17299,992
2008-09-30$8.64$8.7571.4%20.5%81.5%43.3%61.1%28.7%-7.1%172.3K-6.3M-167.2K0.3074.25N/AN/A1,81654895,152100,216