OTEX Options History — February 2009 In February 2009, OTEX traded between $7.90 and $9.04. ATM implied volatility averaged 42.6%, placing in the 5.0% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 4.5% (HV 20d: 38.1%). Max pain ranged from $7.50 to $8.75. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 3.02.
Notable Days 2009-02-23 : Highest Volume — 5,492 contracts2009-02-23 : Largest IV spike — 9.3% change2009-02-23 : Highest IV Rank — 9.5%2009-02-23 : Largest Expected Move — 13.1%Monthly Statistics Metric Avg Min Max Open Close Price $8.56 $7.90 $9.04 $8.69 $7.90 Max Pain $8.49 $7.50 $8.75 $7.50 $8.75 ATM IV 42.6% 40.8% 45.6% 44.7% 41.3% Expected Move 12.2% 11.7% 13.1% 12.8% 11.8% HV 20d 38.1% 23.6% 42.6% 42.6% 23.6% HV 60d 36.9% 32.7% 42.1% 42.1% 32.7% IV Rank 5.0% 2.4% 9.5% 7.8% 3.2% IV Percentile 9.3% 4.0% 21.0% 11.5% 6.0% Term Structure 2.8% -1.1% 6.3% -0.9% 4.6% VWIV 43.4% 36.3% 50.2% 44.9% 41.3% Skew 25d 6.9% 2.3% 9.2% 5.6% 6.1% Skew 10d 9.0% -3.4% 21.5% 8.9% 4.9% Call IV 25d 39.0% 34.5% 43.4% 43.4% 34.5% Put IV 25d 45.9% 40.6% 49.3% 49.0% 40.6% Bid-Ask Spread % 27.56 6.68 90.19 57.92 21.40 Gamma HHI 0.46 0.28 0.66 0.40 0.42 Net GEX 354.4K -160.1K 958.7K 297.4K -160.1K Net DEX -14.6M -25.2M 1.8M -18.7M 1.8M Net VEX -106.8K -121.4K -91.7K -121.4K -98.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 3.02 0.00 13.20 2.29 1.88 Total Volume 1,559.368 184 5,492 1,000 184 Total OI 112,052 62,616 128,892 124,176 72,500
Daily Data (19 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 2009-02-02 $8.69 $7.50 44.7% 12.8% 42.6% 7.8% 44.9% 5.6% -0.9% 297.4K -18.7M -121.4K 2.29 57.92 N/A N/A 304 696 58,804 65,372 2009-02-03 $8.72 $7.50 43.1% 12.4% 42.0% 5.6% 43.1% 6.3% -0.3% 332.8K -19.1M -119.5K 11.05 12.04 N/A N/A 296 3,272 58,224 65,640 2009-02-04 $8.93 $7.50 43.2% 12.4% 42.6% 5.7% 41.9% 8.5% -1.1% 366.4K -22.4M -117.5K 0.13 14.35 N/A N/A 1,272 164 58,188 67,820 2009-02-05 $8.80 $7.50 42.1% 12.1% 42.5% 4.2% 41.9% 2.3% -0.1% 359.3K -20.2M -120.4K 5.35 9.90 N/A N/A 572 3,060 58,508 67,980 2009-02-06 $8.95 $8.75 40.8% 11.7% 42.4% 2.4% 36.3% 8.1% 6.3% 527.2K -23.2M -111.1K 0.38 16.52 N/A N/A 640 240 58,816 68,924 2009-02-09 $9.04 $8.75 42.5% 12.0% 40.6% 4.9% 41.7% 8.6% 5.9% 479.7K -25.2M -110.5K 0.98 17.70 N/A N/A 452 444 58,980 69,164 2009-02-10 $8.90 $8.75 41.8% 12.2% 41.4% 3.9% 47.0% 8.3% 5.5% 521.8K -22.7M -113.5K 2.39 15.30 N/A N/A 224 536 58,796 69,396 2009-02-11 $8.86 $8.75 41.8% 12.1% 41.5% 3.9% 42.5% 8.1% 5.1% 536.6K -21.8M -112.9K 0.77 15.12 N/A N/A 284 220 58,912 69,564 2009-02-12 $8.88 $8.75 41.7% 12.0% 40.3% 3.9% 0.0% 7.7% 4.0% 675.8K -22.3M -108.2K 0.00 8.17 N/A N/A 508 0 58,864 69,704 2009-02-13 $8.89 $8.75 41.9% 12.0% 40.4% 4.1% 41.9% 8.4% 4.3% 712.2K -23.4M -110.3K 0.29 20.19 N/A N/A 280 80 59,276 69,616 2009-02-17 $8.70 $8.75 42.4% 12.1% 41.5% 4.7% 49.0% 9.2% 4.3% 878.2K -19.7M -105.6K 1.02 8.76 N/A N/A 352 360 59,164 69,656 2009-02-18 $8.68 $8.75 42.0% 12.0% 35.9% 4.2% 42.0% 8.8% 5.4% 958.7K -18.6M -104.0K 0.39 82.62 N/A N/A 368 144 59,328 69,464 2009-02-19 $8.44 $8.75 43.5% 12.5% 33.8% 6.4% 50.2% 6.6% 1.3% 580.2K -14.1M -101.4K 1.89 90.19 N/A N/A 216 408 59,136 69,372 2009-02-20 $8.25 $8.75 41.7% 12.0% 34.9% 3.9% 47.9% 5.8% 4.4% 15.6K -9.4M -95.0K 0.69 19.67 N/A N/A 440 304 59,156 69,196 2009-02-23 $7.99 $8.75 45.6% 13.1% 35.9% 9.5% 44.1% 5.4% -0.4% -7.1K -871.5K -91.7K 5.90 83.60 N/A N/A 796 4,696 31,712 30,904 2009-02-24 $8.03 $8.75 45.2% 13.0% 35.5% 8.9% 44.8% 7.3% -0.4% -68.0K 132.2K -95.0K 8.57 15.64 N/A N/A 324 2,776 32,320 34,984 2009-02-25 $7.97 $8.75 41.6% 11.9% 34.5% 3.7% 41.6% 3.9% 3.1% -119.2K 991.5K -96.0K 13.20 6.68 N/A N/A 204 2,692 32,588 37,216 2009-02-26 $7.99 $8.75 42.2% 12.1% 31.5% 4.5% 39.0% 5.6% 2.7% -153.7K 1.3M -97.9K 0.22 7.88 N/A N/A 1,496 324 32,632 39,112 2009-02-27 $7.90 $8.75 41.3% 11.8% 23.6% 3.2% 41.3% 6.1% 4.6% -160.1K 1.8M -98.0K 1.88 21.40 N/A N/A 64 120 33,340 39,160
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