OTEX Options History — November 2008

In November 2008, OTEX traded between $6.32 and $7.48. ATM implied volatility averaged 65.7%, placing in the 35.6% IV rank vs the trailing year. The 30-day expected move averaged 18.6%. IV traded below realized volatility by 4.9% (HV 20d: 70.7%). Max pain ranged from $6.25 to $7.50. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.58.

Notable Days

  • 2008-11-21: Highest Volume — 29,964 contracts
  • 2008-11-04: Largest IV drop — 31.0% change
  • 2008-11-03: Highest IV Rank — 69.2%
  • 2008-11-03: Largest Expected Move — 25.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.91$6.32$7.48$6.58$6.65
Max Pain$6.51$6.25$7.50$7.50$6.25
ATM IV65.7%57.9%89.6%89.6%71.2%
Expected Move18.6%16.3%25.7%25.7%20.4%
HV 20d70.7%64.0%82.1%71.5%66.8%
HV 60d73.9%69.9%76.1%69.9%75.6%
IV Rank35.6%24.6%69.2%69.2%43.2%
IV Percentile70.8%57.5%96.0%96.0%79.0%
Term Structure-5.1%-19.3%-0.9%-19.3%-8.8%
VWIV66.3%48.2%87.6%87.6%71.1%
Skew 25d16.2%9.1%22.9%22.9%21.0%
Skew 10d33.6%14.8%49.7%39.2%41.7%
Call IV 25d56.9%45.2%75.1%75.1%56.3%
Put IV 25d73.1%64.3%97.9%97.9%77.3%
Bid-Ask Spread %44.4726.5065.1128.2647.50
Gamma HHI0.340.250.450.250.39
Net GEX226.0K-414.6K573.5K46.3K551.7K
Net DEX4.5M-16.9M21.2M16.6M-16.5M
Net VEX-115.1K-142.6K-90.1K-121.8K-117.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.011.851.850.80
Total Volume8,03629229,96420,976360
Total OI206,489.263140,252259,352205,616146,412

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-11-03$6.58$7.5089.6%25.7%71.5%69.2%87.6%22.9%-19.3%46.3K16.6M-121.8K1.8528.26N/AN/A7,36813,608113,22892,388
2008-11-04$7.36$7.5061.9%17.7%82.1%30.1%53.4%19.3%-6.0%258.5K580.9K-142.6K0.7165.11N/AN/A5,8204,156113,80498,028
2008-11-05$7.22$7.5058.4%16.8%81.9%25.3%61.1%21.7%-2.6%204.1K5.8M-133.3K1.1139.51N/AN/A2,9443,268114,816100,048
2008-11-06$7.03$7.5062.9%18.0%75.2%31.7%64.0%19.6%-8.8%105.8K11.9M-123.8K0.0440.34N/AN/A4,628180115,448101,188
2008-11-07$6.99$6.2561.5%16.3%75.3%29.6%0.0%9.1%-3.1%-5.9K14.5M-118.6K0.0142.53N/AN/A6,14480111,664100,936
2008-11-10$7.24$6.2560.9%16.8%67.2%28.8%0.0%12.0%-2.5%226.7K6.4M-121.4K0.2840.58N/AN/A1,212340115,292100,936
2008-11-11$7.27$6.2565.0%16.7%65.2%34.5%69.5%11.4%-2.1%253.4K4.9M-120.4K1.6228.50N/AN/A6961,128115,532100,996
2008-11-12$6.94$6.2562.2%16.8%64.0%30.6%59.6%11.5%-2.2%46.7K15.4M-106.8K0.2636.81N/AN/A3,500908115,248100,984
2008-11-13$7.48$6.2557.9%16.6%68.8%24.6%57.6%11.3%-0.9%387.0K-1.9M-118.3K0.1237.70N/AN/A3,372400118,464101,620
2008-11-14$7.19$6.2559.7%17.1%70.6%27.1%48.2%9.1%-1.9%299.2K5.4M-116.3K0.2255.37N/AN/A24052120,572101,800
2008-11-17$7.25$6.2559.3%17.0%69.7%26.5%65.2%10.8%-2.1%357.7K4.9M-106.4K0.5353.88N/AN/A1,624860120,488101,796
2008-11-18$6.94$6.2558.6%16.8%71.6%25.6%70.0%12.9%-4.3%94.9K15.8M-93.0K0.0554.75N/AN/A18,840976121,272101,360
2008-11-19$6.63$6.2568.6%19.7%69.9%39.6%66.3%14.7%-1.9%304.6K14.6M-90.1K0.3548.70N/AN/A12,1764,216138,520100,044
2008-11-20$6.32$6.2568.7%19.7%70.2%39.7%64.5%18.0%-2.7%-414.6K21.2M-96.4K0.2062.10N/AN/A12,6842,580147,952101,180
2008-11-21$6.48$6.2571.2%20.4%68.8%43.3%71.5%21.0%-6.7%6.1K10.0M-105.3K0.9445.19N/AN/A15,43614,528159,50099,852
2008-11-24$6.61$6.2570.4%20.2%68.4%42.1%71.6%20.8%-3.4%489.0K-13.5M-117.9K0.0433.03N/AN/A5,976252100,12040,132
2008-11-25$6.49$6.2570.7%20.3%68.4%42.5%70.8%20.0%-8.8%509.8K-13.3M-118.0K1.5126.50N/AN/A576868105,39640,204
2008-11-26$6.69$6.2570.5%20.2%67.3%42.3%74.7%20.0%-9.1%573.5K-16.9M-119.2K0.4158.66N/AN/A488200105,84040,236
2008-11-28$6.65$6.2571.2%20.4%66.8%43.2%71.1%21.0%-8.8%551.7K-16.5M-117.4K0.8047.50N/AN/A200160105,97640,436