OTEX Options History — May 2009

In May 2009, OTEX traded between $7.56 and $8.81. ATM implied volatility averaged 36.7%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 4.1% (HV 20d: 32.7%). Max pain ranged from $7.50 to $8.75. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.79.

Notable Days

  • 2009-05-06: Highest Volume — 13,556 contracts
  • 2009-05-07: Largest IV drop — 40.2% change
  • 2009-05-05: Highest IV Rank — 43.5%
  • 2009-05-01: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.99$7.56$8.81$8.23$8.81
Max Pain$8.00$7.50$8.75$8.75$7.50
ATM IV36.7%23.8%61.5%46.2%31.0%
Expected Move10.5%8.9%13.3%13.3%8.9%
HV 20d32.7%29.3%38.6%29.3%36.6%
HV 60d31.2%29.2%33.0%29.5%33.0%
IV Rank14.8%0.0%43.5%25.2%8.5%
IV Percentile17.8%0.0%80.2%40.9%4.8%
Term Structure1.6%-6.2%4.4%-6.2%0.2%
VWIV36.3%22.4%48.7%48.7%31.0%
Skew 25d3.4%-5.9%18.5%5.6%3.0%
Skew 10d6.5%-10.6%26.5%11.1%3.1%
Call IV 25d33.0%20.8%44.9%44.9%23.9%
Put IV 25d36.5%26.1%50.6%50.6%26.9%
Bid-Ask Spread %55.0910.0790.2010.0745.66
Gamma HHI0.450.270.820.350.48
Net GEX-263.9K-1.9M333.3K-102.7K333.3K
Net DEX-1.3M-12.0M7.6M-2.7M-12.0M
Net VEX-106.8K-129.9K-94.2K-129.9K-103.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.790.0015.761.090.83
Total Volume1,954.828413,5566521,208
Total OI99,510.877,000120,208110,63679,704

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$8.23$8.7546.2%13.3%29.3%25.2%48.7%5.6%-6.2%-102.7K-2.7M-129.9K1.0910.07N/AN/A31234052,46058,176
2009-05-04$8.13$8.7551.6%11.5%29.5%31.7%40.5%3.4%0.5%-175.9K-1.5M-125.7K7.3925.29N/AN/A5123,78452,76458,168
2009-05-05$8.13$8.7561.5%12.3%29.4%43.5%43.7%4.7%1.2%-188.9K-1.2M-126.1K0.7422.34N/AN/A1,9401,43253,12459,264
2009-05-06$7.72$8.7560.6%12.8%33.9%42.4%46.8%5.4%-1.2%-450.8K5.9M-117.2K1.1252.96N/AN/A6,4087,14854,89259,624
2009-05-07$7.81$8.7536.2%11.0%32.7%13.2%37.1%6.4%1.8%-693.8K3.8M-112.1K1.0120.68N/AN/A2,8482,86858,06461,176
2009-05-08$7.82$8.7528.4%10.3%30.2%3.8%33.3%-0.4%4.4%-876.1K2.9M-110.4K2.7445.25N/AN/A24868057,70061,132
2009-05-11$7.93$8.7527.3%10.7%30.9%2.6%33.4%5.8%2.6%-242.8K-637.6K-105.2K0.0378.69N/AN/A3721257,58061,340
2009-05-12$7.79$8.7523.8%10.6%29.7%0.0%36.9%-3.2%3.1%-603.8K390.6K-104.1K0.1669.74N/AN/A1,28420457,58861,324
2009-05-13$7.56$7.5029.6%10.8%29.7%6.8%37.5%-5.9%2.1%-1.9M7.6M-105.2K1.0285.83N/AN/A50852058,71261,496
2009-05-14$7.68$7.5038.0%10.9%31.1%16.7%48.4%18.5%1.8%-1.2M2.1M-99.5K0.4170.84N/AN/A49220458,54460,936
2009-05-15$7.78$7.5036.0%10.3%31.7%14.4%34.4%-1.2%4.3%-338.8K-361.2K-100.2K0.1265.86N/AN/A4485258,80860,580
2009-05-18$7.75$7.5036.3%10.4%31.2%14.7%36.2%-0.5%2.2%69.8K-486.8K-96.0K0.2776.22N/AN/A2246045,12431,876
2009-05-19$8.01$7.5035.2%10.1%33.4%13.4%35.2%1.0%4.3%143.5K-3.1M-100.4K2.0085.68N/AN/A25651245,34031,924
2009-05-20$7.86$7.5032.6%9.3%33.7%10.4%32.6%-2.0%3.4%112.3K-2.2M-97.8K0.3690.20N/AN/A33612045,52832,256
2009-05-21$7.79$7.5032.9%9.4%33.7%10.7%32.6%10.2%2.4%88.1K-1.1M-94.2K15.7645.12N/AN/A841,32445,73632,224
2009-05-22$7.88$7.5033.8%9.7%34.0%11.8%33.8%12.5%1.1%98.3K-2.2M-98.8K0.0031.34N/AN/A440045,73633,024
2009-05-26$8.28$7.5031.3%9.0%38.3%8.8%22.4%3.0%0.0%175.0K-5.3M-99.3K0.0561.32N/AN/A3161646,16433,024
2009-05-27$8.40$7.5031.3%9.0%38.6%8.9%31.3%3.4%2.2%224.7K-7.5M-104.5K0.6289.36N/AN/A74446446,28033,016
2009-05-28$8.56$7.5031.1%8.9%36.1%8.6%30.8%-1.6%1.6%269.1K-9.4M-105.8K0.1329.32N/AN/A3324446,43633,372
2009-05-29$8.81$7.5031.0%8.9%36.6%8.5%31.0%3.0%0.2%333.3K-12.0M-103.8K0.8345.66N/AN/A66054846,33633,368