OTEX Options History — December 2008 In December 2008, OTEX traded between $6.53 and $7.65. ATM implied volatility averaged 47.8%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 6.8% (HV 20d: 41.0%). Max pain ranged from $6.25 to $6.25. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 6.64.
Notable Days 2008-12-04 : Highest Volume — 10,340 contracts2008-12-09 : Largest IV drop — 28.9% change2008-12-01 : Highest IV Rank — 42.4%2008-12-01 : Largest Expected Move — 20.2%Monthly Statistics Metric Avg Min Max Open Close Price $7.08 $6.53 $7.65 $6.53 $7.53 Max Pain $6.25 $6.25 $6.25 $6.25 $6.25 ATM IV 47.8% 39.1% 70.6% 70.6% 40.9% Expected Move 13.8% 11.2% 20.2% 20.2% 11.7% HV 20d 41.0% 25.3% 67.4% 66.8% 25.4% HV 60d 67.8% 58.1% 75.9% 75.7% 58.1% IV Rank 11.0% 0.0% 42.4% 42.4% 2.6% IV Percentile 20.3% 0.0% 78.2% 78.2% 3.2% Term Structure 7.7% -7.2% 13.7% -5.2% 12.9% VWIV 48.5% 32.5% 71.8% 71.8% 41.0% Skew 25d 9.9% 2.4% 21.7% 14.8% 3.5% Skew 10d 17.3% 4.1% 35.9% 4.5% 4.4% Call IV 25d 39.7% 29.5% 62.0% 62.0% 31.3% Put IV 25d 49.6% 34.8% 76.8% 76.8% 34.8% Bid-Ask Spread % 67.26 4.34 97.94 73.59 4.34 Gamma HHI 0.46 0.38 0.65 0.38 0.53 Net GEX 813.4K 510.0K 1.7M 511.1K 933.4K Net DEX -28.9M -43.3M -15.5M -15.5M -39.4M Net VEX -105.0K -119.1K -91.2K -119.1K -97.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 6.64 0.00 65.00 0.13 1.92 Total Volume 3,240 240 10,340 4,852 1,472 Total OI 162,955.455 146,400 174,976 146,400 164,088
Daily Data (22 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 2008-12-01 $6.53 $6.25 70.6% 20.2% 66.8% 42.4% 71.8% 14.8% -5.2% 511.1K -15.5M -119.1K 0.13 73.59 N/A N/A 4,300 552 105,844 40,556 2008-12-02 $6.72 $6.25 70.1% 20.1% 67.4% 41.7% 68.0% 21.7% -7.2% 597.2K -19.6M -119.0K 1.83 56.44 N/A N/A 496 908 110,028 40,576 2008-12-03 $6.70 $6.25 57.6% 16.5% 53.1% 24.1% 57.7% 6.7% 2.3% 587.9K -18.6M -111.6K 5.58 42.30 N/A N/A 896 5,004 109,928 40,504 2008-12-04 $6.62 $6.25 54.6% 15.7% 52.9% 20.0% 54.4% 16.4% -0.4% 576.4K -17.4M -110.2K 11.31 74.43 N/A N/A 840 9,500 110,368 43,208 2008-12-05 $6.75 $6.25 56.9% 15.4% 52.9% 23.2% 49.8% 9.0% 8.9% 510.0K -18.9M -112.1K 0.35 81.47 N/A N/A 2,712 956 111,064 51,836 2008-12-08 $6.79 $6.25 57.0% 15.4% 52.9% 23.3% 53.9% 10.2% 8.2% 574.9K -20.5M -112.9K 2.00 51.64 N/A N/A 80 160 112,820 52,748 2008-12-09 $6.92 $6.25 40.6% 12.9% 51.8% 0.2% 49.2% 11.8% 8.8% 694.6K -24.2M -114.9K 1.19 79.92 N/A N/A 1,000 1,188 112,820 52,724 2008-12-10 $6.84 $6.25 42.4% 14.7% 51.8% 2.8% 51.8% 6.6% 6.6% 662.5K -21.8M -109.0K 0.00 76.46 N/A N/A 2,700 4 112,820 53,560 2008-12-11 $6.72 $6.25 49.0% 14.0% 49.5% 12.0% 46.7% 4.2% 10.8% 547.6K -19.8M -109.0K 0.20 82.36 N/A N/A 200 40 113,888 53,452 2008-12-12 $6.78 $6.25 50.1% 14.4% 40.8% 13.6% 49.3% 8.2% 10.7% 657.3K -21.4M -104.6K 65.00 81.21 N/A N/A 8 520 113,968 53,488 2008-12-15 $6.86 $6.25 49.6% 14.2% 39.0% 13.0% 46.8% 6.7% 8.6% 849.2K -24.5M -97.1K 8.84 47.42 N/A N/A 580 5,128 113,972 53,812 2008-12-16 $7.05 $6.25 45.2% 12.9% 40.3% 6.6% 0.0% 14.1% 5.1% 857.0K -28.6M -103.8K 1.32 58.12 N/A N/A 404 532 114,148 56,756 2008-12-17 $7.20 $6.25 42.4% 12.1% 37.7% 2.7% 44.3% 14.0% 6.0% 1.1M -32.8M -100.5K 0.14 75.06 N/A N/A 2,068 284 114,244 57,100 2008-12-18 $7.24 $6.25 42.6% 12.2% 33.4% 3.0% 44.8% 16.4% 7.7% 1.1M -33.7M -101.6K 0.49 68.98 N/A N/A 3,136 1,524 115,116 57,224 2008-12-19 $7.41 $6.25 39.1% 11.2% 27.6% 0.0% 38.6% 14.2% 10.8% 1.7M -40.3M -92.4K 38.56 87.02 N/A N/A 128 4,936 116,992 57,984 2008-12-22 $7.33 $6.25 39.4% 11.3% 27.5% 0.4% 39.4% 11.6% 11.3% 1.0M -35.4M -96.0K 4.94 22.28 N/A N/A 1,192 5,884 110,424 44,248 2008-12-23 $7.55 $6.25 40.8% 11.7% 28.2% 2.4% 32.5% 4.7% 12.0% 926.1K -41.0M -99.0K 0.71 70.93 N/A N/A 4,092 2,888 111,068 48,804 2008-12-24 $7.58 $6.25 39.9% 11.4% 26.5% 1.2% 0.0% 7.1% 13.6% 858.4K -41.1M -110.9K 0.21 84.58 N/A N/A 1,144 244 111,452 51,052 2008-12-26 $7.57 $6.25 40.0% 11.5% 25.3% 1.4% 40.0% 5.0% 13.7% 938.4K -41.3M -97.6K 0.55 97.94 N/A N/A 296 164 112,364 50,868 2008-12-29 $7.46 $6.25 41.2% 11.8% 26.1% 2.9% 0.0% 2.4% 12.8% 918.6K -37.5M -99.7K 0.22 97.51 N/A N/A 732 160 112,640 50,896 2008-12-30 $7.65 $6.25 41.6% 11.9% 25.3% 3.6% 41.8% 8.4% 12.1% 829.3K -43.3M -91.2K 0.69 65.78 N/A N/A 1,320 908 112,548 51,020 2008-12-31 $7.53 $6.25 40.9% 11.7% 25.4% 2.6% 41.0% 3.5% 12.9% 933.4K -39.4M -97.5K 1.92 4.34 N/A N/A 504 968 112,780 51,308
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