OTEX Options History — June 2009

In June 2009, OTEX traded between $8.59 and $9.22. ATM implied volatility averaged 32.7%, placing in the 10.5% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 1.8% (HV 20d: 30.9%). Max pain ranged from $7.50 to $8.75. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 2.63.

Notable Days

  • 2009-06-10: Highest Volume — 13,340 contracts
  • 2009-06-23: Largest IV drop — 8.4% change
  • 2009-06-11: Highest IV Rank — 12.9%
  • 2009-06-11: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.89$8.59$9.22$8.92$9.11
Max Pain$8.24$7.50$8.75$7.50$8.75
ATM IV32.7%30.5%34.7%32.0%32.7%
Expected Move9.4%8.8%10.0%9.2%9.4%
HV 20d30.9%25.4%37.9%36.7%25.4%
HV 60d31.8%30.7%33.0%33.0%30.7%
IV Rank10.5%7.9%12.9%9.7%10.5%
IV Percentile11.0%4.4%17.1%7.9%13.1%
Term Structure3.3%-0.4%8.8%-0.1%6.1%
VWIV30.6%18.8%34.3%32.0%32.7%
Skew 25d4.1%-4.7%24.6%5.2%1.7%
Skew 10d6.8%-8.9%37.6%6.1%1.0%
Call IV 25d28.3%21.7%32.8%25.0%30.7%
Put IV 25d32.4%25.6%53.5%30.2%32.5%
Bid-Ask Spread %46.8310.4387.5029.9826.01
Gamma HHI0.540.440.680.520.53
Net GEX275.5K188.5K383.8K367.3K266.3K
Net DEX-10.5M-14.2M-5.3M-13.4M-10.2M
Net VEX-122.5K-138.5K-98.8K-104.1K-138.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.630.0220.110.180.35
Total Volume1,799.4552013,340588168
Total OI91,046.54579,580101,25679,916101,044

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-06-01$8.92$7.5032.0%9.2%36.7%9.7%32.0%5.2%-0.1%367.3K-13.4M-104.1K0.1829.98N/AN/A5008846,32433,592
2009-06-02$8.78$7.5032.4%9.3%37.0%10.1%32.3%2.5%-0.2%326.4K-12.0M-103.4K0.0810.43N/AN/A4884046,24833,624
2009-06-03$8.61$7.5032.9%9.4%37.9%10.7%32.8%-3.2%-0.3%272.7K-10.0M-100.3K0.8987.50N/AN/A48843246,68833,664
2009-06-04$8.68$7.5032.0%9.2%32.2%9.7%32.0%24.6%1.1%278.9K-10.0M-98.8K0.4710.78N/AN/A76836046,37633,824
2009-06-05$8.62$7.5032.6%9.4%32.4%10.4%0.0%11.9%1.8%274.7K-10.1M-102.8K3.0042.59N/AN/A8024046,27633,984
2009-06-08$8.59$7.5034.6%9.4%32.5%12.7%21.6%12.4%2.4%260.7K-9.6M-100.6K0.0073.67N/AN/A02045,81633,764
2009-06-09$8.75$7.5034.0%9.5%32.7%12.0%0.0%17.5%3.4%302.9K-11.1M-101.1K0.2871.16N/AN/A1444045,81633,764
2009-06-10$9.01$7.5032.4%9.5%32.5%10.1%26.6%4.9%2.1%383.8K-14.2M-100.4K20.1150.72N/AN/A63212,70845,92433,804
2009-06-11$9.22$7.5034.7%10.0%29.9%12.9%32.9%2.4%-0.4%265.7K-12.8M-129.2K0.3137.78N/AN/A3,6121,13645,96846,228
2009-06-12$9.09$8.7533.8%9.7%31.0%11.8%34.0%4.6%0.4%228.3K-11.3M-132.8K0.7261.54N/AN/A1,19686048,01246,932
2009-06-15$8.92$8.7532.8%9.4%32.4%10.6%32.8%2.4%3.3%188.5K-9.0M-133.8K0.3631.58N/AN/A2,68095649,02847,732
2009-06-16$8.95$8.7533.6%9.6%32.2%11.5%33.6%-3.5%3.9%274.9K-11.6M-138.5K3.2240.55N/AN/A6121,96851,42448,436
2009-06-17$9.10$8.7533.7%9.7%30.8%11.6%33.7%1.7%5.7%296.6K-13.5M-137.2K0.6859.41N/AN/A1006851,75649,316
2009-06-18$9.07$8.7533.5%9.6%29.5%11.4%18.8%0.3%2.7%290.5K-12.9M-136.1K0.4257.93N/AN/A41217251,70449,184
2009-06-19$8.89$8.7532.7%9.4%30.6%10.5%32.7%-4.7%3.6%308.9K-10.8M-136.2K0.0028.82N/AN/A013251,98049,276
2009-06-22$8.74$8.7533.9%9.7%31.6%11.9%34.3%0.6%1.9%225.6K-7.1M-135.2K0.5286.84N/AN/A33617648,86845,844
2009-06-23$8.71$8.7531.0%8.9%27.0%8.5%31.0%-0.1%5.8%216.6K-6.0M-131.7K0.8039.31N/AN/A22418048,98845,984
2009-06-24$8.69$8.7531.6%9.1%26.6%9.2%31.4%1.9%6.4%208.9K-5.3M-131.1K0.5937.29N/AN/A27216049,05246,164
2009-06-25$8.88$8.7531.4%9.0%27.0%8.9%24.0%5.4%7.0%267.1K-7.7M-132.5K0.1411.51N/AN/A2964049,14846,192
2009-06-26$9.09$8.7531.8%9.1%26.3%9.4%31.7%1.5%6.9%319.3K-11.0M-133.7K19.4581.32N/AN/A2605,05649,27246,192
2009-06-29$9.14$8.7530.5%8.8%26.0%7.9%30.3%0.8%8.8%237.2K-10.6M-136.8K0.0253.48N/AN/A1,4642449,11650,696
2009-06-30$9.11$8.7532.7%9.4%25.4%10.5%32.7%1.7%6.1%266.3K-10.2M-138.1K0.3526.01N/AN/A1244450,34850,696