OTEX Options History — November 2009

In November 2009, OTEX traded between $9.09 and $9.82. ATM implied volatility averaged 34.4%, placing in the 28.3% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 3.0% (HV 20d: 31.5%). Max pain ranged from $8.75 to $10.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 2.42.

Notable Days

  • 2009-11-03: Highest Volume — 13,780 contracts
  • 2009-11-04: Largest IV drop — 19.3% change
  • 2009-11-12: Highest IV Rank — 33.3%
  • 2009-11-03: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.42$9.09$9.82$9.23$9.52
Max Pain$8.81$8.75$10.00$8.75$8.75
ATM IV34.4%30.8%38.7%37.8%32.2%
Expected Move9.9%8.8%11.1%10.8%9.2%
HV 20d31.5%23.2%35.2%32.7%24.4%
HV 60d29.8%27.6%32.0%31.6%28.5%
IV Rank28.3%22.4%33.3%26.4%25.0%
IV Percentile38.4%17.1%53.6%50.4%26.2%
Term Structure0.9%-1.5%9.3%2.2%-1.5%
VWIV34.7%24.7%40.0%40.0%37.9%
Skew 25d1.0%-1.7%9.6%-1.2%2.4%
Skew 10d2.2%-10.8%35.8%-10.8%8.0%
Call IV 25d33.9%30.3%39.6%39.6%32.5%
Put IV 25d34.9%30.3%46.9%38.5%34.9%
Bid-Ask Spread %49.9721.8074.7274.7265.32
Gamma HHI0.380.320.500.330.36
Net GEX309.9K-129.9K780.1K318.8K121.0K
Net DEX-12.3M-20.2M-4.9M-11.6M-7.3M
Net VEX-58.7K-68.7K-51.0K-67.4K-51.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.420.0022.280.181.59
Total Volume1,98418813,7801,7881,272
Total OI95,174.860,428113,884103,36460,928

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$9.23$8.7537.8%10.8%32.7%26.4%40.0%-1.2%2.2%318.8K-11.6M-67.4K0.1874.72N/AN/A1,51627267,57235,792
2009-11-03$9.13$8.7538.7%11.1%32.7%27.7%37.9%9.6%0.2%167.8K-8.8M-64.9K0.6871.19N/AN/A8,2045,57667,17635,828
2009-11-04$9.35$8.7531.3%9.0%33.5%23.2%36.6%1.8%9.3%465.7K-13.3M-68.7K5.7970.62N/AN/A3802,20071,01637,188
2009-11-05$9.54$8.7535.0%10.0%34.0%30.4%24.7%-1.2%0.4%376.5K-15.2M-65.4K0.9771.80N/AN/A45644465,39638,596
2009-11-06$9.52$8.7534.2%9.8%34.0%28.8%35.5%0.8%0.8%341.6K-14.8M-63.5K0.3521.80N/AN/A2408465,53238,956
2009-11-09$9.76$8.7536.2%10.0%35.2%32.6%34.7%1.3%1.1%589.3K-19.1M-59.3K1.7169.16N/AN/A58099265,54039,028
2009-11-10$9.78$8.7534.5%10.3%34.5%29.4%36.0%0.8%-0.3%644.9K-19.6M-56.2K1.5264.15N/AN/A55284065,46039,292
2009-11-11$9.82$8.7534.2%10.0%33.1%28.8%0.0%0.4%-0.5%780.1K-20.2M-58.5K22.2862.63N/AN/A721,60465,88439,156
2009-11-12$9.63$8.7536.5%10.5%33.3%33.3%36.5%0.0%-0.9%622.3K-17.2M-64.0K0.4563.19N/AN/A28412865,90840,672
2009-11-13$9.61$8.7533.8%9.7%32.8%28.0%33.9%-0.7%0.9%542.8K-16.4M-58.8K0.0045.50N/AN/A508065,93640,736
2009-11-16$9.56$8.7534.7%10.0%32.1%29.8%34.8%-0.1%-0.8%622.6K-16.1M-58.2K0.0352.08N/AN/A9163266,30440,736
2009-11-17$9.47$8.7535.4%10.1%31.3%31.1%0.0%2.0%0.3%348.4K-14.3M-54.7K2.6838.19N/AN/A6961,86867,16440,756
2009-11-18$9.32$8.7534.8%10.0%31.6%29.9%34.7%0.3%0.5%106.7K-12.1M-54.4K0.9145.05N/AN/A89281267,74841,944
2009-11-19$9.15$10.0033.7%9.7%31.7%27.9%33.4%-1.7%0.2%18.2K-10.6M-53.0K2.9222.53N/AN/A1,2883,76068,30042,416
2009-11-20$9.09$8.7533.3%9.6%31.6%27.2%33.3%-1.2%0.4%-129.9K-9.3M-56.0K4.0124.11N/AN/A4001,60469,16844,716
2009-11-23$9.17$8.7533.7%9.7%31.8%27.9%0.0%1.3%1.0%62.0K-4.9M-56.3K0.1522.89N/AN/A2644033,92426,504
2009-11-24$9.23$8.7530.8%8.8%31.8%22.4%30.8%0.5%1.4%57.3K-5.1M-54.8K0.6625.67N/AN/A21214034,13626,544
2009-11-25$9.32$8.7531.5%9.0%24.0%23.6%0.0%2.2%4.6%81.7K-6.0M-55.4K0.0023.83N/AN/A188034,30826,504
2009-11-27$9.20$8.7536.3%10.4%23.2%32.9%37.9%3.2%-0.9%60.1K-4.9M-54.3K1.5364.96N/AN/A14422034,22826,504
2009-11-30$9.52$8.7532.2%9.2%24.4%25.0%0.0%2.4%-1.5%121.0K-7.3M-51.0K1.5965.32N/AN/A49278034,34026,588