OTEX Options History — January 2009

In January 2009, OTEX traded between $7.43 and $8.76. ATM implied volatility averaged 48.5%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded above realized volatility by 16.5% (HV 20d: 32.0%). Max pain ranged from $6.25 to $7.50. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 5.56.

Notable Days

  • 2009-01-29: Highest Volume — 25,580 contracts
  • 2009-01-15: Largest IV spike — 27.3% change
  • 2009-01-26: Highest IV Rank — 31.0%
  • 2009-01-26: Largest Expected Move — 17.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.89$7.43$8.76$7.68$8.76
Max Pain$7.44$6.25$7.50$6.25$7.50
ATM IV48.5%39.5%61.5%39.5%43.0%
Expected Move15.1%11.3%17.6%11.3%12.3%
HV 20d32.0%25.0%43.3%25.6%42.5%
HV 60d49.7%46.4%57.8%57.8%47.7%
IV Rank13.1%0.6%31.0%0.6%5.4%
IV Percentile25.6%0.8%65.5%0.8%8.3%
Term Structure-5.6%-10.8%13.6%13.6%-1.1%
VWIV53.0%39.9%60.8%39.9%43.0%
Skew 25d10.5%5.9%14.8%9.2%9.9%
Skew 10d24.5%5.3%38.0%13.4%16.0%
Call IV 25d46.9%31.1%55.6%31.1%38.9%
Put IV 25d57.4%40.3%65.7%40.3%48.9%
Bid-Ask Spread %53.7515.0783.9283.9215.07
Gamma HHI0.490.300.680.670.40
Net GEX470.9K-111.9K1.1M868.5K308.6K
Net DEX-28.8M-51.1M379.4K-44.6M-19.8M
Net VEX-97.0K-119.4K-88.2K-93.8K-119.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.560.0826.107.670.45
Total Volume6,124.426025,5802,4962,420
Total OI143,431.889,776189,804165,292123,800

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-01-02$7.68$6.2539.5%11.3%25.6%0.6%39.9%9.2%13.6%868.5K-44.6M-93.8K7.6783.92N/AN/A2882,208113,20852,084
2009-01-05$7.88$7.5045.0%15.6%25.3%8.2%54.8%12.6%-9.1%852.7K-49.1M-88.6K2.3470.80N/AN/A2,2405,240113,03254,152
2009-01-06$7.91$7.5046.1%15.4%25.0%9.8%51.1%9.3%-7.0%725.2K-49.7M-96.6K0.0869.85N/AN/A4,348360114,12457,632
2009-01-07$7.79$7.5043.6%15.3%26.3%6.2%57.7%8.0%-7.1%856.7K-47.5M-103.9K3.3368.91N/AN/A60200118,18457,912
2009-01-08$7.74$7.5046.6%15.7%26.2%10.5%54.0%10.8%-7.4%869.1K-45.8M-102.0K10.0570.15N/AN/A3283,296118,14458,112
2009-01-09$7.55$7.5041.3%14.9%27.8%3.0%52.1%5.9%-5.1%976.1K-39.6M-101.2K16.7670.98N/AN/A2043,420118,04458,812
2009-01-12$7.69$7.5040.6%15.3%26.7%2.2%53.5%8.7%-6.8%1.0M-44.1M-94.7K15.0573.88N/AN/A2483,732117,66462,044
2009-01-13$7.82$7.5040.0%15.6%27.0%1.4%54.7%9.6%-7.8%768.3K-48.1M-94.1K7.2561.35N/AN/A64464117,67265,012
2009-01-14$7.66$7.5041.6%14.3%28.6%3.5%50.6%7.0%-3.6%1.1M-43.3M-94.8K4.3673.56N/AN/A1,4806,456117,67664,872
2009-01-15$7.71$7.5053.0%15.2%27.4%19.2%60.8%12.3%-7.1%989.1K-44.9M-97.4K26.1069.77N/AN/A1163,028119,00469,224
2009-01-16$7.82$7.5052.9%15.2%27.0%19.1%51.1%13.1%-6.7%291.5K-51.1M-94.5K1.1653.67N/AN/A8881,028119,07270,732
2009-01-20$7.43$7.5054.1%15.5%33.3%20.8%54.7%12.7%-5.9%-111.9K379.4K-88.2K4.9445.78N/AN/A1,1045,45642,16047,616
2009-01-21$7.83$7.5054.1%15.5%37.4%20.8%46.6%12.8%-3.6%-72.5K-3.0M-90.3K0.7137.96N/AN/A96468842,72049,692
2009-01-22$7.76$7.5053.3%15.3%37.3%19.7%53.2%10.3%-4.8%-83.3K-3.0M-89.7K0.4829.88N/AN/A66832043,15649,592
2009-01-23$7.96$7.5058.6%16.8%37.1%26.9%58.7%14.8%-8.7%-42.2K-5.2M-89.8K3.2030.22N/AN/A2,4207,74043,61250,016
2009-01-26$8.10$7.5061.5%17.6%37.4%31.0%58.4%10.8%-10.6%-16.9K-6.9M-96.6K0.8040.88N/AN/A75260444,82052,968
2009-01-27$7.92$7.5060.6%17.4%38.6%29.8%58.3%10.1%-10.8%-65.9K-4.7M-94.8K1.2867.48N/AN/A4,4285,68444,99253,040
2009-01-28$8.22$7.5052.7%15.1%40.1%18.8%58.0%13.4%-9.4%43.9K-8.8M-102.7K3.9325.42N/AN/A4,85619,10848,19656,816
2009-01-29$8.69$7.5042.8%12.3%43.3%5.2%49.0%9.6%-3.0%153.2K-16.9M-106.2K1.2415.51N/AN/A11,41614,16450,76868,260
2009-01-30$8.76$7.5043.0%12.3%42.5%5.4%43.0%9.9%-1.1%308.6K-19.8M-119.4K0.4515.07N/AN/A1,66475658,68465,116