OTEX Options History — December 2009

In December 2009, OTEX traded between $9.36 and $10.17. ATM implied volatility averaged 28.7%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 6.6% (HV 20d: 22.1%). Max pain ranged from $8.75 to $8.75. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.88.

Notable Days

  • 2009-12-29: Highest Volume — 13,696 contracts
  • 2009-12-09: Largest IV drop — 22.7% change
  • 2009-12-04: Highest IV Rank — 33.0%
  • 2009-12-04: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.75$9.36$10.17$9.58$10.16
Max Pain$8.75$8.75$8.75$8.75$8.75
ATM IV28.7%25.1%33.2%29.7%26.0%
Expected Move8.3%7.2%9.5%8.5%7.4%
HV 20d22.1%19.0%24.4%24.4%19.0%
HV 60d26.4%25.6%28.5%28.5%25.6%
IV Rank22.1%13.8%33.0%20.5%16.0%
IV Percentile12.5%1.6%34.9%10.3%4.4%
Term Structure2.5%0.1%7.1%2.8%3.0%
VWIV30.3%20.7%34.7%33.7%31.2%
Skew 25d5.5%-7.4%69.7%4.0%3.2%
Skew 10d12.8%-12.0%123.5%9.3%9.7%
Call IV 25d30.5%20.9%33.5%29.4%29.4%
Put IV 25d35.9%21.1%100.0%33.4%32.6%
Bid-Ask Spread %25.928.8672.6824.7611.55
Gamma HHI0.390.320.480.400.34
Net GEX141.8K-59.3K317.4K156.6K134.3K
Net DEX-7.9M-10.9M-4.1M-8.1M-6.5M
Net VEX-57.5K-77.0K-45.9K-53.4K-77.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.880.0016.380.000.03
Total Volume1,992.18212813,6966402,712
Total OI68,98861,72887,18461,72887,016

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$9.58$8.7529.7%8.5%24.4%20.5%0.0%4.0%2.8%156.6K-8.1M-53.4K0.0024.76N/AN/A640034,73226,996
2009-12-02$9.63$8.7529.8%8.5%23.9%20.8%33.7%3.4%2.1%190.9K-8.7M-55.5K0.0631.34N/AN/A3242035,21626,996
2009-12-03$9.72$8.7528.9%8.3%22.6%22.9%29.0%-3.6%2.4%238.1K-9.7M-54.9K0.0642.05N/AN/A1,0886035,42426,996
2009-12-04$9.83$8.7533.2%9.5%22.0%33.0%33.6%0.6%1.9%285.3K-10.7M-56.1K0.1025.10N/AN/A2082035,98827,056
2009-12-07$9.80$8.7529.6%9.2%22.0%24.7%32.2%0.2%2.5%314.9K-10.8M-54.5K0.5219.63N/AN/A1246436,12427,076
2009-12-08$9.59$8.7533.1%9.4%21.6%32.7%34.7%0.6%2.1%208.0K-8.7M-52.3K3.0030.67N/AN/A329636,16427,080
2009-12-09$9.64$8.7525.6%8.9%21.7%15.0%30.1%1.1%2.6%228.9K-8.5M-48.6K2.5732.37N/AN/A17645236,19627,168
2009-12-10$9.82$8.7531.0%8.9%22.7%27.8%31.0%0.7%3.2%317.4K-10.2M-52.3K10.4029.10N/AN/A2020836,34027,456
2009-12-11$9.64$8.7531.9%9.1%22.6%30.0%31.7%1.6%2.0%231.0K-8.8M-50.9K0.5923.87N/AN/A1488836,36027,576
2009-12-14$9.56$8.7531.9%9.1%22.8%30.0%34.5%0.5%2.2%192.3K-7.8M-47.5K0.0014.71N/AN/A528036,27227,576
2009-12-15$9.45$8.7531.8%9.1%23.1%29.7%32.6%0.3%1.3%128.5K-6.7M-45.9K0.4023.44N/AN/A2208836,58027,576
2009-12-16$9.48$8.7531.5%9.0%22.9%29.0%30.8%-0.1%0.1%146.5K-6.9M-45.9K13.1917.55N/AN/A5727,54436,46427,520
2009-12-17$9.36$8.7527.2%7.8%22.6%19.0%28.2%-2.2%7.1%-8.7K-4.3M-54.4K16.3831.77N/AN/A3125,11236,62433,048
2009-12-18$9.51$8.7528.2%8.1%22.2%21.2%23.9%-0.5%2.1%-31.4K-4.1M-62.1K6.5835.20N/AN/A3202,10436,88836,964
2009-12-21$9.62$8.7527.5%7.9%22.2%19.5%27.8%-0.1%1.8%-59.3K-4.7M-62.4K4.7943.14N/AN/A13263235,85236,416
2009-12-22$9.75$8.7526.7%7.7%22.4%17.7%26.9%-1.8%3.2%-34.2K-5.7M-62.0K0.9872.68N/AN/A73272035,94436,800
2009-12-23$9.91$8.7525.1%7.2%22.9%13.8%25.1%-7.4%2.8%33.0K-7.6M-60.6K1.8514.73N/AN/A30055636,16037,112
2009-12-24$10.04$8.7525.4%7.3%23.0%14.7%20.7%1.0%2.4%84.2K-8.8M-59.8K0.188.86N/AN/A2,14037635,96436,884
2009-12-28$10.08$8.7526.8%7.7%22.0%17.9%32.0%69.7%2.1%110.9K-10.0M-66.6K0.2412.52N/AN/A52412438,00836,768
2009-12-29$10.14$8.7525.3%7.2%19.0%14.3%34.4%-7.3%3.0%155.1K-10.9M-66.3K0.8710.05N/AN/A7,3406,35638,39236,780
2009-12-30$10.17$8.7525.7%7.4%19.0%15.3%33.0%56.0%3.0%97.0K-6.1M-75.0K0.5115.24N/AN/A40820844,27642,908
2009-12-31$10.16$8.7526.0%7.4%19.0%16.0%31.2%3.2%3.0%134.3K-6.5M-77.0K0.0311.55N/AN/A2,6407244,08442,932