OTEX Options History — August 2009

In August 2009, OTEX traded between $8.79 and $9.91. ATM implied volatility averaged 38.4%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 10.9% (HV 20d: 27.4%). Max pain ranged from $8.75 to $8.75. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.81.

Notable Days

  • 2009-08-11: Highest Volume — 18,208 contracts
  • 2009-08-13: Largest IV drop — 25.9% change
  • 2009-08-11: Highest IV Rank — 31.5%
  • 2009-08-20: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.41$8.79$9.91$9.53$8.79
Max Pain$8.75$8.75$8.75$8.75$8.75
ATM IV38.4%31.5%47.4%38.8%32.8%
Expected Move10.4%9.0%11.7%11.1%9.4%
HV 20d27.4%22.1%34.8%24.8%33.1%
HV 60d27.2%25.7%28.6%27.6%28.2%
IV Rank21.4%13.7%31.5%21.8%15.2%
IV Percentile33.7%11.9%60.7%32.5%17.9%
Term Structure-1.6%-5.6%1.5%-4.2%0.8%
VWIV36.8%30.5%43.3%39.0%32.8%
Skew 25d6.2%-5.1%12.1%8.0%1.9%
Skew 10d8.7%-9.0%51.4%11.6%2.0%
Call IV 25d32.8%22.6%40.4%36.2%26.2%
Put IV 25d39.0%27.8%52.6%44.2%28.1%
Bid-Ask Spread %37.676.2792.3992.3912.76
Gamma HHI0.540.320.680.640.33
Net GEX296.8K-134.4K601.7K495.5K-82.5K
Net DEX-12.6M-20.5M-1.4M-15.5M-1.9M
Net VEX-87.0K-99.1K-76.4K-99.1K-85.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.004.080.001.29
Total Volume3,503.04814418,2081,472156
Total OI87,161.33360,404101,73695,51269,988

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$9.53$8.7538.8%11.1%24.8%21.8%39.0%8.0%-4.2%495.5K-15.5M-99.1K0.0092.39N/AN/A1,468447,05248,460
2009-08-04$9.66$8.7538.5%11.0%22.3%21.6%38.7%8.9%-4.4%582.0K-17.6M-98.1K0.066.27N/AN/A136847,34048,464
2009-08-05$9.57$8.7539.5%11.3%22.3%22.6%39.6%5.2%-5.4%543.7K-15.8M-94.5K0.439.08N/AN/A56424047,32048,468
2009-08-06$9.53$8.7537.8%10.8%22.4%20.8%38.9%5.1%-4.0%552.2K-15.2M-94.8K0.0376.96N/AN/A276847,66448,356
2009-08-07$9.64$8.7542.3%9.6%22.2%25.7%0.0%12.1%1.2%598.6K-17.3M-93.4K0.2954.26N/AN/A1,16433647,50048,356
2009-08-10$9.61$8.7545.0%10.0%22.1%28.7%37.2%5.9%0.6%601.7K-16.9M-92.8K4.0854.59N/AN/A16065247,80448,612
2009-08-11$9.49$8.7547.4%10.0%22.3%31.5%37.9%10.6%0.5%543.2K-14.5M-92.2K0.0755.96N/AN/A16,9561,25247,82449,152
2009-08-12$9.70$8.7547.3%10.4%23.4%31.4%37.5%4.5%-1.1%288.9K-15.6M-87.3K0.0426.59N/AN/A4,06416040,06850,120
2009-08-13$9.91$8.7535.0%10.0%24.3%17.7%35.9%12.1%0.3%431.0K-20.5M-82.1K0.0042.55N/AN/A1,668842,83250,220
2009-08-14$9.88$8.7537.4%10.7%24.4%20.3%37.4%5.0%-1.4%458.2K-20.3M-85.0K0.8422.10N/AN/A24820843,28450,220
2009-08-17$9.54$8.7540.6%11.6%27.9%23.8%43.3%7.1%-4.5%332.7K-15.7M-84.5K0.3960.00N/AN/A2,21285243,42050,380
2009-08-18$9.72$8.7540.2%11.5%28.6%23.4%40.1%8.5%-3.8%449.3K-17.7M-82.6K0.2647.69N/AN/A2,58468443,93650,728
2009-08-19$9.57$8.7539.5%11.3%28.2%22.7%38.9%4.0%-3.6%432.8K-16.4M-84.5K0.4626.22N/AN/A2,11298045,71250,800
2009-08-20$9.41$8.7540.8%11.7%27.8%24.0%41.5%9.9%-5.6%393.9K-14.1M-81.9K1.0735.99N/AN/A4,5284,86046,40851,344
2009-08-21$9.58$8.7532.4%9.3%28.7%14.7%32.3%10.1%1.5%6.5K-14.6M-76.4K0.2838.15N/AN/A5,7401,62048,87252,864
2009-08-24$8.99$8.7538.2%11.0%34.7%21.2%35.8%-1.8%-2.3%-53.0K-3.5M-80.9K1.2541.21N/AN/A1,6962,11226,89233,512
2009-08-25$8.87$8.7531.5%9.0%34.8%13.7%31.4%-5.1%1.4%-63.4K-2.3M-79.1K3.4528.64N/AN/A1,1764,06027,66433,876
2009-08-26$8.86$8.7533.8%9.7%34.6%16.3%33.7%4.1%0.1%-134.4K-1.4M-82.6K0.3735.89N/AN/A2,9121,08428,56837,096
2009-08-27$8.95$8.7533.3%9.6%33.6%15.7%30.5%7.7%1.2%-87.6K-3.2M-84.7K1.7911.24N/AN/A1,5642,80431,35238,144
2009-08-28$8.89$8.7533.8%9.7%33.3%16.3%33.2%6.8%-0.4%-55.6K-3.7M-86.0K0.6312.51N/AN/A1529631,88837,828
2009-08-31$8.79$8.7532.8%9.4%33.1%15.2%32.8%1.9%0.8%-82.5K-1.9M-85.2K1.2912.76N/AN/A688832,06837,920