OTEX Options History — October 2009

In October 2009, OTEX traded between $9.21 and $10.24. ATM implied volatility averaged 34.0%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 8.6% (HV 20d: 25.4%). 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 5 of 22 days. Put/call ratio averaged 0.55.

Notable Days

  • 2009-10-15: Highest Volume — 21,692 contracts
  • 2009-10-13: Largest IV spike — 23.1% change
  • 2009-10-30: Highest IV Rank — 29.9%
  • 2009-10-12: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.72$9.21$10.24$9.21$9.26
Max Pain$8.75$8.75$8.75$8.75$8.75
ATM IV34.0%23.9%40.3%31.3%40.3%
Expected Move10.5%7.8%11.6%9.0%11.5%
HV 20d25.4%21.2%32.8%28.9%32.8%
HV 60d29.1%28.4%31.7%28.9%31.7%
IV Rank17.9%5.3%29.9%13.4%29.9%
IV Percentile32.5%1.2%57.9%16.3%57.9%
Term Structure-1.5%-8.9%13.3%5.5%-8.9%
VWIV36.9%19.3%41.5%19.3%40.5%
Skew 25d3.1%-0.9%9.9%9.9%0.1%
Skew 10d4.1%-11.2%21.0%10.7%-9.7%
Call IV 25d35.6%20.9%41.2%20.9%37.0%
Put IV 25d38.7%29.5%41.2%30.7%37.1%
Bid-Ask Spread %49.7532.4473.1264.0073.12
Gamma HHI0.420.320.500.420.32
Net GEX390.4K50.5K1.2M50.5K362.0K
Net DEX-18.7M-29.2M-10.5M-10.5M-12.2M
Net VEX-71.1K-82.7K-60.2K-77.4K-73.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.004.350.030.14
Total Volume5,037.636021,6922,0202,588
Total OI89,066.90976,384106,34076,384102,396

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-10-01$9.21$8.7531.3%9.0%28.9%13.4%19.3%9.9%5.5%50.5K-10.5M-77.4K0.0364.00N/AN/A1,9606036,16840,216
2009-10-02$9.28$8.7527.3%7.8%28.9%9.1%0.0%0.1%13.3%84.6K-12.2M-76.1K2.3265.65N/AN/A20046437,36040,188
2009-10-05$9.34$8.7528.9%11.4%28.9%10.8%34.4%9.9%-4.6%85.2K-13.0M-73.0K0.0450.54N/AN/A104437,18040,240
2009-10-06$9.44$8.7530.0%9.9%28.0%12.0%34.7%5.7%-1.7%94.4K-14.8M-70.4K0.2945.40N/AN/A1404037,18040,240
2009-10-07$9.57$8.7530.9%10.2%27.9%13.1%35.5%4.6%-3.3%98.7K-16.9M-66.7K0.0441.99N/AN/A200837,09640,240
2009-10-08$9.68$8.7528.8%10.5%25.6%10.7%38.5%4.4%-3.4%115.3K-18.4M-64.4K4.3544.23N/AN/A8034837,08440,232
2009-10-09$9.64$8.7523.9%10.5%25.2%5.3%0.0%4.5%-3.4%113.6K-17.9M-63.1K0.0047.20N/AN/A0036,73639,720
2009-10-12$9.68$8.7527.5%11.6%24.2%9.3%41.5%-0.7%-6.7%111.8K-18.6M-60.2K0.2633.85N/AN/A17,1724,45636,73639,720
2009-10-13$9.88$8.7533.9%11.2%23.0%17.7%39.6%0.0%-5.0%415.7K-23.2M-68.2K0.2843.42N/AN/A4,6801,31251,20041,996
2009-10-14$10.14$8.7535.7%11.1%21.2%19.9%38.2%3.3%-3.8%657.0K-29.0M-72.0K0.1137.14N/AN/A1,97622054,36842,456
2009-10-15$10.24$8.7539.0%11.2%21.3%23.9%37.9%3.0%-4.0%530.8K-29.2M-70.9K0.0038.06N/AN/A21,6246851,97242,548
2009-10-16$10.06$8.7538.7%11.1%22.4%23.6%35.7%4.1%-4.0%1.2M-29.0M-82.7K0.0834.65N/AN/A7,39655663,82442,516
2009-10-19$10.23$8.7535.8%10.3%22.2%20.1%38.5%1.9%1.1%715.5K-23.7M-73.6K0.5432.44N/AN/A2,7921,49654,29238,088
2009-10-20$9.99$8.7536.8%10.5%23.7%21.2%37.6%3.9%-0.7%564.4K-20.4M-69.8K0.4256.79N/AN/A50020853,00437,248
2009-10-21$9.89$8.7536.0%10.3%24.0%20.3%0.0%3.4%-0.5%487.8K-18.5M-71.2K0.3047.98N/AN/A2848453,39637,352
2009-10-22$9.96$8.7537.5%10.7%23.8%22.1%41.0%4.2%-1.3%525.7K-19.0M-71.3K0.0443.33N/AN/A1,4326453,56437,436
2009-10-23$9.82$8.7536.2%10.4%21.8%20.5%37.2%3.3%-1.5%481.9K-18.0M-71.9K0.0662.29N/AN/A3,50019656,14437,372
2009-10-26$9.85$8.7537.0%10.6%21.6%21.5%38.9%3.4%1.7%499.9K-18.6M-70.1K0.2353.24N/AN/A1,26028457,26437,400
2009-10-27$9.91$8.7538.6%11.1%21.6%23.5%39.9%0.3%-2.5%584.5K-20.0M-72.4K0.9359.14N/AN/A10,6529,86058,22037,408
2009-10-28$9.33$8.7537.6%10.8%30.8%22.3%37.7%0.0%-0.4%334.5K-12.4M-72.4K1.1261.91N/AN/A4,6685,24063,84835,244
2009-10-29$9.53$8.7536.0%10.3%31.2%23.9%35.3%-0.9%1.8%512.4K-15.9M-73.2K0.0858.04N/AN/A2,46019266,86835,712
2009-10-30$9.26$8.7540.3%11.5%32.8%29.9%40.5%0.1%-8.9%362.0K-12.2M-73.5K0.1473.12N/AN/A2,26832066,68435,712