OTEX Options History — July 2009

In July 2009, OTEX traded between $8.64 and $9.67. ATM implied volatility averaged 33.9%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 9.2% (HV 20d: 24.7%). Max pain ranged from $8.75 to $8.75. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 2.52.

Notable Days

  • 2009-07-27: Highest Volume — 5,080 contracts
  • 2009-07-16: Largest IV spike — 66.0% change
  • 2009-07-30: Highest IV Rank — 26.4%
  • 2009-07-30: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.17$8.64$9.67$9.20$9.44
Max Pain$8.75$8.75$8.75$8.75$8.75
ATM IV33.9%19.2%42.9%30.6%35.9%
Expected Move10.8%7.3%12.3%8.8%10.3%
HV 20d24.7%21.5%28.1%24.2%26.9%
HV 60d29.9%27.6%30.7%30.7%27.6%
IV Rank14.7%0.0%26.4%8.0%18.6%
IV Percentile21.1%0.0%47.2%4.8%27.4%
Term Structure-0.5%-6.0%18.1%7.8%-2.6%
VWIV36.2%23.8%42.4%30.0%35.8%
Skew 25d3.4%-0.8%8.3%1.4%7.5%
Skew 10d6.5%-4.7%14.8%4.9%9.1%
Call IV 25d34.8%28.1%38.5%28.6%34.4%
Put IV 25d38.2%29.6%42.9%30.0%41.9%
Bid-Ask Spread %49.806.9892.5651.5790.42
Gamma HHI0.540.450.620.550.61
Net GEX301.7K125.9K498.4K302.2K440.0K
Net DEX-10.9M-17.9M-1.9M-12.1M-14.3M
Net VEX-115.1K-135.5K-99.3K-135.5K-102.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.520.0013.000.460.04
Total Volume970.545805,080960188
Total OI97,686.18293,148101,508101,10495,484

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-07-01$9.20$8.7530.6%8.8%24.2%8.0%30.0%1.4%7.8%302.2K-12.1M-135.5K0.4651.57N/AN/A65630450,40050,704
2009-07-02$9.21$8.7525.6%7.3%24.1%2.2%23.8%1.6%18.1%312.9K-11.7M-133.3K5.0031.12N/AN/A8844050,22450,944
2009-07-06$8.96$8.7534.8%10.8%26.2%12.9%34.8%5.8%0.0%225.2K-7.6M-128.6K0.3958.79N/AN/A34013250,15651,352
2009-07-07$8.72$8.7533.0%11.1%28.1%10.8%37.0%4.2%-0.6%151.3K-3.5M-125.3K1.8183.53N/AN/A5841,05650,07651,316
2009-07-08$8.64$8.7530.7%10.7%27.5%8.1%40.9%4.2%-0.2%125.9K-1.9M-121.2K7.6588.26N/AN/A6852050,05250,904
2009-07-09$8.75$8.7529.5%11.0%25.8%6.7%38.4%4.4%-0.7%196.1K-4.1M-123.5K2.4449.19N/AN/A1,1482,80050,04451,104
2009-07-10$8.88$8.7526.6%11.0%24.8%3.4%37.2%1.8%-0.5%340.7K-7.9M-123.5K2.5515.82N/AN/A8822450,75650,328
2009-07-13$9.00$8.7527.9%11.0%24.9%4.8%36.3%4.3%-0.4%375.5K-9.1M-118.4K13.006.98N/AN/A810450,74450,088
2009-07-14$9.13$8.7519.2%11.0%24.4%0.0%40.3%5.2%-1.4%239.3K-12.1M-119.2K2.8888.96N/AN/A6819650,74050,080
2009-07-15$9.16$8.7523.1%11.1%24.4%4.4%37.3%3.8%-1.0%235.8K-12.5M-117.9K0.0229.67N/AN/A196450,73650,080
2009-07-16$9.19$8.7538.4%11.0%23.8%21.4%38.4%4.8%-0.5%224.0K-12.6M-115.5K0.3310.15N/AN/A602050,65650,080
2009-07-17$9.23$8.7537.5%10.8%23.8%20.4%37.5%1.0%-0.5%279.4K-13.4M-111.8K0.1318.78N/AN/A5487249,96448,760
2009-07-20$9.21$8.7537.5%10.8%22.5%20.4%36.9%-0.8%-1.8%221.5K-9.7M-110.3K0.7178.42N/AN/A32022845,31647,832
2009-07-21$9.26$8.7537.6%10.8%21.5%20.6%35.9%-0.3%-0.4%257.9K-10.5M-109.8K0.2771.95N/AN/A2366445,63248,036
2009-07-22$9.47$8.7536.9%10.6%22.4%19.8%37.7%1.2%-3.7%358.1K-14.0M-110.4K0.0890.27N/AN/A1,53612445,66048,056
2009-07-23$9.67$8.7535.2%10.1%23.0%17.9%36.7%2.4%-1.4%488.5K-17.9M-108.1K0.4715.78N/AN/A25612045,88847,928
2009-07-24$9.63$8.7534.5%9.9%22.3%17.1%34.6%8.3%-0.5%498.4K-17.6M-106.4K0.0027.04N/AN/A504045,89647,992
2009-07-27$9.31$8.7542.8%12.3%25.0%26.4%42.4%4.5%-5.1%307.9K-12.2M-106.4K2.8175.31N/AN/A1,3323,74846,38847,992
2009-07-28$9.24$8.7542.4%12.2%25.1%25.9%25.0%2.3%-5.1%328.5K-11.4M-103.8K0.5613.71N/AN/A28816046,98446,372
2009-07-29$9.12$8.7542.6%12.2%25.6%26.2%42.1%0.9%-3.8%304.1K-10.6M-102.5K0.817.33N/AN/A12810447,14046,576
2009-07-30$9.34$8.7542.9%12.3%26.7%26.4%36.4%7.1%-6.0%424.5K-14.0M-99.3K12.9892.56N/AN/A1642,12847,14046,496
2009-07-31$9.44$8.7535.9%10.3%26.9%18.6%35.8%7.5%-2.6%440.0K-14.3M-102.2K0.0490.42N/AN/A180846,98048,504