OTEX Options History — March 2009

In March 2009, OTEX traded between $7.36 and $8.72. ATM implied volatility averaged 33.8%, placing in the 2.3% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 5.3% (HV 20d: 28.4%). Max pain ranged from $7.50 to $8.75. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 7.32.

Notable Days

  • 2009-03-17: Highest Volume — 12,708 contracts
  • 2009-03-11: Largest IV spike — 14.3% change
  • 2009-03-02: Highest IV Rank — 7.8%
  • 2009-03-02: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.05$7.36$8.72$7.64$8.61
Max Pain$7.73$7.50$8.75$8.75$7.50
ATM IV33.8%29.8%44.5%44.5%32.9%
Expected Move9.7%8.5%12.8%12.8%9.4%
HV 20d28.4%21.3%33.3%25.1%28.7%
HV 60d33.8%32.8%34.5%33.1%33.8%
IV Rank2.3%0.0%7.8%7.8%3.9%
IV Percentile2.0%0.0%17.9%17.9%3.2%
Term Structure7.1%0.5%10.8%0.5%8.5%
VWIV35.4%29.9%44.8%44.5%32.9%
Skew 25d6.8%-4.6%15.0%-4.6%8.0%
Skew 10d14.0%-9.5%31.7%-9.5%18.4%
Call IV 25d34.2%24.7%43.9%43.9%38.2%
Put IV 25d41.0%31.7%46.9%39.3%46.2%
Bid-Ask Spread %30.285.2970.1911.0332.46
Gamma HHI0.500.310.720.460.33
Net GEX-360.1K-792.6K18.4K-197.7K-47.0K
Net DEX580.8K-10.1M12.5M3.7M-8.5M
Net VEX-121.4K-159.7K-93.0K-94.8K-159.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.320.1175.087.530.11
Total Volume3,678.18220012,7081,536200
Total OI98,754.36473,244117,44473,244117,444

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-03-02$7.64$8.7544.5%12.8%25.1%7.8%44.5%-4.6%0.5%-197.7K3.7M-94.8K7.5311.03N/AN/A1801,35634,00439,240
2009-03-03$7.62$8.7539.8%11.4%25.2%1.1%39.8%8.2%1.4%-258.9K4.5M-93.0K12.5113.59N/AN/A2763,45233,99640,416
2009-03-04$7.66$8.7536.9%10.6%25.2%0.0%36.9%7.3%2.1%-350.2K5.1M-94.9K75.085.29N/AN/A523,90434,09243,128
2009-03-05$7.67$8.7536.1%10.4%22.8%0.0%36.1%7.5%3.1%-439.6K6.1M-97.1K2.265.66N/AN/A2,8086,35634,09646,432
2009-03-06$7.50$7.5033.4%10.2%23.3%0.0%0.0%2.2%5.9%-605.6K9.8M-101.8K10.8836.10N/AN/A3323,61235,91651,636
2009-03-09$7.36$7.5034.6%10.0%21.8%1.6%34.9%-0.4%7.6%-676.3K12.4M-98.1K3.6333.55N/AN/A9883,58436,07254,020
2009-03-10$7.41$7.5031.4%10.0%21.3%0.0%34.8%1.5%7.2%-792.6K12.5M-100.4K4.2723.23N/AN/A17675236,83255,892
2009-03-11$7.72$7.5035.9%10.0%28.0%5.8%34.4%5.2%6.5%-722.8K7.2M-103.5K2.1228.64N/AN/A2,8285,99636,87655,556
2009-03-12$7.91$7.5033.5%9.6%30.1%2.7%33.4%7.0%10.8%-623.9K4.3M-111.9K1.5643.52N/AN/A36056039,34460,856
2009-03-13$7.94$7.5033.0%9.5%30.1%2.1%32.5%8.7%9.4%-592.6K3.4M-111.8K0.3546.20N/AN/A2,13674439,37261,060
2009-03-16$7.83$7.5034.3%9.8%30.2%3.8%34.6%8.2%8.8%-574.7K3.7M-110.2K8.4349.96N/AN/A8470841,00061,440
2009-03-17$7.83$7.5033.9%9.7%29.7%3.3%33.9%6.9%9.6%-739.8K5.4M-108.3K0.9555.07N/AN/A6,5086,20041,04061,812
2009-03-18$8.13$7.5029.8%8.5%33.3%0.0%29.9%15.0%6.3%-386.0K-1.0M-138.8K2.0819.28N/AN/A35273247,04067,724
2009-03-19$8.25$7.5030.2%8.7%32.6%0.5%34.3%8.0%8.5%-218.9K-3.1M-139.2K0.4322.39N/AN/A1888047,18468,296
2009-03-20$8.25$7.5030.0%8.6%31.6%0.3%0.0%8.7%7.9%-216.2K-2.9M-138.9K17.1425.54N/AN/A2848047,21268,336
2009-03-23$8.54$7.5030.8%8.8%31.5%1.2%39.8%12.9%10.4%-130.6K-7.2M-133.4K3.3870.19N/AN/A16856841,86857,244
2009-03-24$8.61$7.5032.2%9.2%31.5%3.1%31.8%8.1%8.3%-67.7K-8.1M-138.0K3.7822.23N/AN/A1,1084,18441,85657,764
2009-03-25$8.72$7.5033.7%9.7%31.4%5.0%33.8%8.4%8.0%-84.0K-8.9M-142.4K1.3930.13N/AN/A49268442,67261,296
2009-03-26$8.64$7.5030.4%8.7%31.8%0.8%32.4%8.8%10.8%-115.2K-8.1M-140.3K0.2025.00N/AN/A7,4601,48842,57261,740
2009-03-27$8.64$7.5031.8%9.1%31.4%2.6%31.5%8.1%8.7%18.4K-10.1M-155.0K2.0330.60N/AN/A2,7645,61649,22461,556
2009-03-30$8.53$7.5033.6%9.6%28.8%4.8%44.8%6.2%6.2%-100.4K-7.4M-159.7K0.9236.52N/AN/A19618051,38066,060
2009-03-31$8.61$7.5032.9%9.4%28.7%3.9%32.9%8.0%8.5%-47.0K-8.5M-159.1K0.1132.46N/AN/A1802051,36066,084