OTEX Options History — April 2009

In April 2009, OTEX traded between $8.03 and $9.09. ATM implied volatility averaged 40.9%, placing in the 18.0% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 10.6% (HV 20d: 30.3%). Max pain ranged from $7.50 to $8.75. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2009-04-29: Highest Volume — 5,832 contracts
  • 2009-04-09: Largest IV spike — 36.2% change
  • 2009-04-29: Highest IV Rank — 30.2%
  • 2009-04-29: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.56$8.03$9.09$8.24$8.21
Max Pain$8.63$7.50$8.75$7.50$8.75
ATM IV40.9%25.2%50.4%33.0%47.8%
Expected Move12.3%9.0%14.5%9.5%13.7%
HV 20d30.3%28.4%33.8%33.6%29.7%
HV 60d32.6%28.5%34.9%34.7%30.0%
IV Rank18.0%0.0%30.2%4.1%27.1%
IV Percentile24.7%0.0%52.8%4.0%45.2%
Term Structure-3.0%-10.1%7.5%6.5%-6.8%
VWIV42.4%28.6%50.5%28.6%47.7%
Skew 25d8.3%5.1%15.3%6.3%8.0%
Skew 10d16.7%5.5%30.7%11.6%14.5%
Call IV 25d39.8%28.3%45.7%38.9%45.0%
Put IV 25d48.0%43.4%54.0%45.2%53.0%
Bid-Ask Spread %43.988.2592.3236.6992.32
Gamma HHI0.330.300.410.390.36
Net GEX9.8K-231.9K249.1K-209.9K-128.3K
Net DEX-8.7M-18.0M-208.7K-2.8M-1.9M
Net VEX-146.0K-159.1K-127.7K-159.1K-129.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.001.710.850.34
Total Volume1,258.286565,8321,5681,156
Total OI114,673.524107,476121,860117,472110,192

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-04-01$8.24$7.5033.0%9.5%33.6%4.1%28.6%6.3%6.5%-209.9K-2.8M-159.1K0.8536.69N/AN/A84872051,37666,096
2009-04-02$8.36$7.5031.3%9.0%33.8%2.0%31.3%6.9%7.5%-147.8K-5.1M-155.1K0.1436.90N/AN/A2884051,96866,128
2009-04-03$8.39$8.7527.9%11.0%32.2%0.0%38.2%7.4%0.8%-153.7K-5.5M-152.7K0.3888.06N/AN/A2128052,09666,152
2009-04-06$8.41$8.7531.3%11.5%30.9%4.2%40.2%8.1%-0.8%-142.2K-5.9M-151.7K1.3615.83N/AN/A11215252,21666,188
2009-04-07$8.28$8.7525.2%11.0%31.9%0.0%37.8%6.3%0.6%-165.5K-4.3M-152.6K0.0091.41N/AN/A128052,20466,276
2009-04-08$8.49$8.7530.2%10.5%29.8%6.0%39.0%15.3%2.0%-21.3K-7.7M-148.8K0.6988.45N/AN/A23216052,28466,276
2009-04-09$8.75$8.7541.1%11.8%30.4%19.0%40.2%6.4%-2.4%151.8K-11.5M-149.6K0.2519.70N/AN/A74018852,35266,268
2009-04-13$8.78$8.7542.5%12.2%30.4%20.7%41.7%7.2%-4.7%202.3K-12.7M-146.7K1.0424.87N/AN/A40442052,66866,308
2009-04-14$8.96$8.7545.3%13.0%30.1%24.1%45.5%7.9%-5.7%210.1K-15.7M-150.1K0.3210.74N/AN/A3,6281,14452,82466,516
2009-04-15$9.09$8.7545.8%13.1%30.1%24.7%41.5%7.9%-4.6%207.6K-18.0M-152.9K1.7118.51N/AN/A44876854,94866,912
2009-04-16$8.98$8.7544.5%12.7%28.6%23.1%42.4%7.6%-3.5%249.1K-17.0M-150.0K0.1415.15N/AN/A1,58422053,47265,836
2009-04-17$8.99$8.7544.5%12.8%28.4%23.1%41.8%7.6%-4.6%222.7K-17.5M-151.3K1.328.25N/AN/A16421654,47665,984
2009-04-20$8.78$8.7544.8%12.9%30.0%23.5%46.5%6.8%-2.8%99.5K-11.5M-147.6K0.9949.38N/AN/A37236850,71656,760
2009-04-21$8.56$8.7546.2%13.2%29.1%25.1%44.9%8.8%-5.7%8.2K-7.5M-141.5K0.3911.86N/AN/A1,42054851,01257,072
2009-04-22$8.61$8.7544.6%12.8%29.0%23.3%47.6%5.8%-5.5%57.8K-9.0M-143.7K0.8691.89N/AN/A84472451,98057,408
2009-04-23$8.53$8.7544.3%12.7%28.8%22.8%44.9%5.3%-3.9%9.2K-7.8M-139.9K1.0281.38N/AN/A37638451,85257,152
2009-04-24$8.57$8.7542.5%12.2%28.7%20.8%42.6%13.9%-5.5%45.7K-8.8M-142.3K0.1792.03N/AN/A48851,88457,108
2009-04-27$8.38$8.7546.9%13.5%29.6%26.0%50.5%12.9%-9.4%-11.4K-6.6M-139.3K1.2018.03N/AN/A32038451,88857,108
2009-04-28$8.35$8.7548.9%14.0%29.4%28.4%48.9%11.8%-10.1%-45.5K-5.3M-134.8K0.2221.25N/AN/A60813651,94856,972
2009-04-29$8.03$8.7550.4%14.5%32.1%30.2%48.6%5.1%-4.2%-231.9K-208.7K-127.7K1.0410.84N/AN/A2,8642,96852,28456,984
2009-04-30$8.21$8.7547.8%13.7%29.7%27.1%47.7%8.0%-6.8%-128.3K-1.9M-129.0K0.3492.32N/AN/A86029652,07658,116