OTEX Options History — September 2009

In September 2009, OTEX traded between $8.54 and $9.86. ATM implied volatility averaged 30.0%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 2.8% (HV 20d: 32.7%). Max pain ranged from $8.75 to $8.75. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 4.47.

Notable Days

  • 2009-09-10: Highest Volume — 7,380 contracts
  • 2009-09-08: Largest IV spike — 13.3% change
  • 2009-09-01: Highest IV Rank — 15.8%
  • 2009-09-08: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.22$8.54$9.86$8.65$9.33
Max Pain$8.75$8.75$8.75$8.75$8.75
ATM IV30.0%27.6%33.3%33.3%29.9%
Expected Move8.7%7.9%9.8%9.6%8.6%
HV 20d32.7%26.8%37.4%32.7%28.9%
HV 60d28.7%27.3%29.8%28.4%28.8%
IV Rank12.0%9.4%15.8%15.8%12.0%
IV Percentile8.4%2.8%21.0%21.0%9.1%
Term Structure3.8%0.4%6.3%0.8%4.8%
VWIV30.6%24.2%39.0%30.3%29.8%
Skew 25d2.5%-5.2%13.5%-1.2%-0.6%
Skew 10d4.5%-6.3%20.4%-1.2%-1.7%
Call IV 25d27.6%20.2%31.7%28.3%30.4%
Put IV 25d30.2%21.5%36.6%27.1%29.7%
Bid-Ask Spread %45.6711.9087.4911.9071.37
Gamma HHI0.450.250.660.330.43
Net GEX-216-175.8K138.0K-88.2K58.4K
Net DEX-9.8M-19.2M1.2M-602.6K-12.6M
Net VEX-77.3K-83.3K-69.0K-83.3K-76.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.470.0045.0045.000.28
Total Volume1,503.2381447,380184184
Total OI74,366.47669,30883,10870,10076,340

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$8.65$8.7533.3%9.6%32.7%15.8%0.0%-1.2%0.8%-88.2K-602.6K-83.3K45.0011.90N/AN/A418032,09638,004
2009-09-02$8.54$8.7530.3%8.7%32.8%12.3%30.3%-3.0%4.0%-111.5K1.2M-81.5K0.2414.69N/AN/A81219232,09238,144
2009-09-03$8.62$8.7531.4%9.0%33.2%13.6%0.0%-5.0%2.4%-155.7K1.2M-79.3K2.5616.36N/AN/A6416431,32438,204
2009-09-04$8.68$8.7528.7%9.4%32.9%10.6%32.9%6.0%1.2%-153.1K53.5K-80.5K0.0032.74N/AN/A300031,32038,328
2009-09-08$8.89$8.7532.6%9.8%34.5%14.9%34.2%5.6%0.4%-150.2K-2.6M-76.8K29.7729.57N/AN/A521,54831,16438,144
2009-09-09$9.04$8.7532.0%9.8%35.1%14.3%0.0%5.9%0.7%-140.5K-4.5M-77.2K1.0035.03N/AN/A10410431,15638,864
2009-09-10$8.80$8.7530.2%8.6%35.0%12.2%30.2%4.5%3.7%-175.8K-1.7M-77.2K0.0439.61N/AN/A7,08829231,16038,928
2009-09-11$8.71$8.7529.9%8.6%33.5%11.9%39.0%12.3%3.6%-25.2K-2.2M-83.0K0.0040.43N/AN/A016436,61239,092
2009-09-14$8.92$8.7530.4%8.7%35.3%12.4%30.4%13.5%3.3%-14.1K-6.1M-79.9K0.4847.66N/AN/A2,00096036,61239,212
2009-09-15$9.20$8.7531.2%9.0%35.5%13.4%31.3%4.0%3.5%49.2K-11.1M-79.3K0.0774.25N/AN/A3,05622037,60039,476
2009-09-16$9.54$8.7528.1%8.1%37.4%9.9%28.4%4.1%4.6%131.0K-16.3M-75.9K0.7216.24N/AN/A1,5961,14438,68039,576
2009-09-17$9.57$8.7527.8%8.0%37.0%9.6%30.0%4.6%5.0%138.0K-17.0M-76.9K0.5958.83N/AN/A3,3881,99239,57640,656
2009-09-18$9.68$8.7527.6%7.9%36.6%9.4%33.0%8.3%6.3%122.4K-18.3M-77.4K0.6741.86N/AN/A57238441,00042,108
2009-09-21$9.86$8.7528.7%8.2%36.6%10.6%28.1%-0.5%4.9%66.5K-18.8M-70.4K0.1238.46N/AN/A1,00812034,78039,196
2009-09-22$9.79$8.7530.1%8.6%27.6%12.1%30.1%-0.1%5.3%69.5K-18.0M-73.6K0.9337.46N/AN/A45242035,10839,316
2009-09-23$9.84$8.7529.1%8.3%26.8%11.0%29.1%-3.1%5.3%86.0K-19.2M-69.0K0.8658.45N/AN/A26022435,37239,584
2009-09-24$9.73$8.7529.3%8.4%27.4%11.3%29.3%-5.2%5.5%86.2K-17.7M-73.5K4.0587.49N/AN/A8835635,61639,584
2009-09-25$9.46$8.7529.5%8.5%29.7%11.5%29.9%1.3%5.1%71.7K-14.3M-76.5K0.0274.88N/AN/A9682435,66039,792
2009-09-28$9.39$8.7528.9%8.3%29.7%10.8%31.0%3.6%5.4%63.5K-12.8M-78.6K1.8364.48N/AN/A33260836,08039,792
2009-09-29$9.43$8.7530.6%8.8%29.3%12.8%24.2%-1.6%3.6%67.3K-14.0M-75.8K0.1667.23N/AN/A1242036,17240,176
2009-09-30$9.33$8.7529.9%8.6%28.9%12.0%29.8%-0.6%4.8%58.4K-12.6M-76.8K0.2871.37N/AN/A1444036,16440,176