OTEX Options History — October 2008 In October 2008, OTEX traded between $5.72 and $8.94. ATM implied volatility averaged 84.6%, placing in the 61.9% IV rank vs the trailing year. The 30-day expected move averaged 22.9%. IV traded above realized volatility by 0.9% (HV 20d: 83.8%). Max pain ranged from $7.50 to $8.75. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 2.40.
Notable Days 2008-10-07 : Highest Volume — 27,076 contracts2008-10-06 : Largest IV spike — 40.9% change2008-10-10 : Highest IV Rank — 95.7%2008-10-28 : Largest Expected Move — 29.2%Monthly Statistics Metric Avg Min Max Open Close Price $6.75 $5.72 $8.94 $8.94 $6.49 Max Pain $7.66 $7.50 $8.75 $8.75 $7.50 ATM IV 84.6% 68.6% 108.8% 72.6% 83.0% Expected Move 22.9% 18.4% 29.2% 20.8% 23.8% HV 20d 83.8% 74.3% 101.5% 82.3% 75.9% HV 60d 65.3% 55.8% 70.3% 55.8% 70.3% IV Rank 61.9% 39.4% 95.7% 45.1% 59.5% IV Percentile 90.8% 78.2% 99.2% 85.3% 91.3% Term Structure -11.9% -33.4% 20.8% -7.1% -9.4% VWIV 80.0% 64.8% 100.5% 66.0% 77.3% Skew 25d 24.4% 12.1% 40.8% 25.1% 30.7% Skew 10d 53.4% 34.2% 75.8% 62.4% 63.6% Call IV 25d 68.9% 46.7% 86.9% 52.5% 70.5% Put IV 25d 93.3% 73.7% 112.4% 77.6% 101.2% Bid-Ask Spread % 52.92 18.62 85.02 60.95 40.65 Gamma HHI 0.29 0.24 0.60 0.46 0.26 Net GEX 77.4K -44.7K 284.3K 197.0K 50.4K Net DEX 20.2M -15.8M 31.4M -15.8M 18.4M Net VEX -137.1K -179.7K -100.4K -176.2K -119.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.40 0.07 10.57 0.72 1.40 Total Volume 6,844.348 220 27,076 26,532 6,468 Total OI 207,438.783 189,676 229,460 197,136 203,428
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2008-10-01 $8.94 $8.75 72.6% 20.8% 82.3% 45.1% 66.0% 25.1% -7.1% 197.0K -15.8M -176.2K 0.72 60.95 N/A N/A 15,460 11,072 96,652 100,484 2008-10-02 $8.47 $8.75 77.5% 22.2% 82.8% 51.8% 69.5% 12.1% -9.3% 284.3K -5.2M -167.1K 0.21 71.03 N/A N/A 8,268 1,712 102,336 97,620 2008-10-03 $7.95 $8.75 69.6% 19.9% 86.0% 40.8% 84.6% 15.8% 20.8% 28.5K 10.1M -179.7K 0.56 56.34 N/A N/A 3,416 1,912 104,460 97,736 2008-10-06 $7.33 $7.50 98.0% 24.5% 90.4% 80.6% 93.8% 17.1% -8.6% 50 20.8M -173.8K 2.41 69.86 N/A N/A 3,568 8,604 106,388 98,320 2008-10-07 $7.11 $7.50 76.9% 20.4% 88.6% 51.0% 75.2% 30.2% -8.3% 39.4K 27.4M -158.1K 1.32 54.84 N/A N/A 11,652 15,424 108,420 102,280 2008-10-08 $6.95 $7.50 80.8% 20.2% 88.5% 56.6% 82.9% 35.6% -8.4% 62.3K 26.2M -163.1K 1.53 46.11 N/A N/A 628 964 114,604 104,276 2008-10-09 $6.35 $7.50 100.2% 23.4% 92.9% 83.7% 74.3% 37.4% -8.2% 53.9K 31.4M -125.1K 0.07 75.32 N/A N/A 9,440 700 114,612 95,668 2008-10-10 $6.38 $7.50 108.8% 20.4% 93.0% 95.7% 78.9% 18.3% 2.0% 79.4K 30.4M -129.0K 9.57 85.02 N/A N/A 884 8,460 122,144 95,276 2008-10-13 $7.06 $7.50 68.6% 18.4% 100.3% 39.4% 65.1% 40.8% -10.4% 142.3K 22.3M -151.8K 0.51 62.37 N/A N/A 1,120 568 122,392 99,752 2008-10-14 $6.77 $7.50 78.3% 22.3% 101.2% 52.9% 64.8% 26.2% -20.0% 118.9K 28.1M -139.0K 0.17 56.76 N/A N/A 10,472 1,728 123,232 99,852 2008-10-15 $6.39 $7.50 96.3% 22.1% 101.5% 78.1% 92.9% 27.1% -11.0% 106.8K 31.4M -128.4K 0.82 77.83 N/A N/A 876 720 129,992 99,468 2008-10-16 $6.45 $7.50 78.1% 22.4% 80.9% 52.7% 80.8% 29.5% -9.3% 122.4K 30.4M -126.8K 2.70 52.32 N/A N/A 320 864 129,240 99,156 2008-10-17 $6.56 $7.50 78.8% 22.6% 79.0% 53.7% 77.6% 23.8% -17.6% 165.0K 28.1M -133.2K 10.57 50.43 N/A N/A 760 8,036 129,444 98,816 2008-10-20 $6.79 $7.50 75.6% 21.7% 78.7% 49.3% 76.8% 15.9% -9.2% 184.9K 11.0M -144.5K 4.34 27.79 N/A N/A 596 2,584 108,416 81,260 2008-10-21 $6.75 $7.50 75.8% 21.7% 76.1% 49.5% 68.9% 19.3% -13.6% 132.2K 13.0M -142.1K 0.46 52.89 N/A N/A 544 252 108,560 83,508 2008-10-22 $6.34 $7.50 76.1% 21.8% 74.6% 49.9% 77.6% 23.9% -9.4% 51.1K 19.9M -122.6K 0.65 59.13 N/A N/A 1,380 900 108,576 83,636 2008-10-23 $6.06 $7.50 76.2% 21.9% 75.2% 50.1% 78.0% 18.3% -12.9% -7.8K 23.5M -109.3K 4.44 55.74 N/A N/A 1,204 5,348 109,188 84,164 2008-10-24 $5.83 $7.50 98.1% 28.1% 74.6% 80.7% 96.8% 24.9% -31.1% -33.1K 25.3M -106.7K 1.65 68.14 N/A N/A 1,096 1,808 110,128 88,032 2008-10-27 $5.72 $7.50 101.0% 29.0% 74.3% 84.9% 100.5% 25.6% -26.8% -44.7K 26.1M -100.4K 0.91 18.62 N/A N/A 2,304 2,088 110,984 88,784 2008-10-28 $5.91 $7.50 101.9% 29.2% 75.5% 86.1% 78.7% 25.4% -33.4% -26.1K 24.6M -106.8K 7.57 20.42 N/A N/A 56 424 113,160 90,144 2008-10-29 $6.19 $7.50 87.9% 25.2% 76.9% 66.4% 87.7% 17.2% -16.6% 27.2K 19.2M -122.5K 1.99 31.74 N/A N/A 844 1,676 113,212 89,640 2008-10-30 $6.37 $7.50 86.6% 24.8% 77.4% 64.6% 90.8% 21.6% -16.4% 47.0K 17.6M -126.6K 0.62 22.87 N/A N/A 136 84 113,440 90,212 2008-10-31 $6.49 $7.50 83.0% 23.8% 75.9% 59.5% 77.3% 30.7% -9.4% 50.4K 18.4M -119.4K 1.40 40.65 N/A N/A 2,696 3,772 113,168 90,260
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