OTEX Options History — January 2010

In January 2010, OTEX traded between $9.86 and $10.55. ATM implied volatility averaged 30.0%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 10.9% (HV 20d: 19.1%). Max pain ranged from $11.25 to $11.25. Net GEX was positive for 9 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 3.01.

Notable Days

  • 2010-01-05: Highest Volume — 2,116 contracts
  • 2010-01-05: Largest IV drop — 21.8% change
  • 2010-01-26: Highest IV Rank — 39.8%
  • 2010-01-26: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.18$9.86$10.55$10.14$9.86
Max Pain$11.25$11.25$11.25$11.25$11.25
ATM IV30.0%21.8%36.0%27.9%33.9%
Expected Move9.2%8.3%10.3%8.7%9.7%
HV 20d19.1%15.5%21.2%18.9%20.9%
HV 60d24.5%21.2%25.8%25.4%21.4%
IV Rank25.5%6.1%39.8%20.5%34.7%
IV Percentile28.7%0.4%65.1%9.5%55.6%
Term Structure-0.9%-5.6%2.0%1.0%-2.6%
VWIV32.9%28.7%38.9%31.2%33.9%
Skew 25d3.5%-3.9%10.4%3.3%10.4%
Skew 10d9.6%-7.3%17.5%11.6%17.5%
Call IV 25d29.9%26.3%34.9%28.9%26.3%
Put IV 25d33.5%26.4%38.2%32.2%36.8%
Bid-Ask Spread %26.2313.2358.0516.3920.92
Gamma HHI0.400.310.490.320.48
Net GEX-9.9K-138.3K145.5K92.1K-138.3K
Net DEX-2.5M-12.0M5.1M-6.5M5.1M
Net VEX-70.2K-75.1K-64.9K-75.1K-65.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.010.0012.801.338.85
Total Volume653.684442,116364788
Total OI66,442.10543,92486,62085,29645,768

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-01-04$10.14$11.2527.9%8.7%18.9%20.5%31.2%3.3%1.0%92.1K-6.5M-75.1K1.3316.39N/AN/A15620842,38042,916
2010-01-05$10.24$11.2521.8%8.3%18.8%6.1%28.7%2.7%2.0%98.9K-6.9M-71.3K1.3314.85N/AN/A9081,20842,24842,940
2010-01-06$10.23$11.2526.1%8.8%18.7%16.3%30.7%4.5%0.8%97.8K-7.7M-74.6K0.1213.23N/AN/A1,07212842,43242,796
2010-01-07$10.13$11.2527.7%8.7%17.2%20.0%30.5%3.3%1.6%89.6K-6.5M-73.5K1.7615.23N/AN/A13223242,89243,024
2010-01-08$10.21$11.2522.7%8.7%17.3%8.2%30.4%4.2%1.9%75.3K-7.5M-73.1K1.0717.63N/AN/A10811642,86842,948
2010-01-11$10.15$11.2526.2%9.0%16.5%16.5%31.4%3.7%-0.2%93.0K-7.2M-70.8K0.2715.22N/AN/A882442,88842,876
2010-01-12$10.02$11.2527.5%8.9%15.7%19.7%0.0%3.4%0.4%120.8K-5.2M-70.7K12.8021.09N/AN/A2025642,97242,876
2010-01-13$10.12$11.2526.5%8.8%15.5%17.3%0.0%3.2%-0.1%145.5K-6.8M-69.5K6.0020.51N/AN/A127242,95642,736
2010-01-14$10.55$11.2532.1%9.2%19.9%30.4%32.3%4.4%-0.6%-12.6K-12.0M-71.3K0.2520.34N/AN/A1,33233642,94842,716
2010-01-15$10.39$11.2532.6%9.4%21.2%31.7%38.9%4.1%-0.7%32.7K-11.6M-73.2K0.3520.42N/AN/A1926843,88842,732
2010-01-19$10.37$11.2534.0%9.8%20.3%35.0%35.5%4.9%-3.2%-82.4K1.5M-69.9K7.2835.06N/AN/A1881,36817,49226,432
2010-01-20$10.29$11.2532.1%9.2%20.5%30.5%32.1%3.7%-2.4%-93.7K2.2M-67.7K6.5535.82N/AN/A13286417,55626,456
2010-01-21$10.20$11.2531.7%9.1%20.7%29.4%31.7%2.1%-1.3%-116.1K3.0M-69.2K0.6441.97N/AN/A61639617,57627,216
2010-01-22$10.12$11.2532.6%9.3%20.7%31.6%36.1%3.4%-3.1%-119.2K3.6M-69.5K0.0030.00N/AN/A028817,97227,416
2010-01-25$10.06$11.2532.7%9.4%20.1%31.8%32.7%-3.9%-1.9%-116.1K4.0M-67.4K0.0058.05N/AN/A44017,97227,364
2010-01-26$10.12$11.2536.0%10.3%19.7%39.8%36.0%3.4%-5.6%-129.8K3.7M-67.5K0.4430.07N/AN/A29212818,01627,344
2010-01-27$10.15$11.2534.4%9.9%19.7%35.8%35.6%3.3%-4.3%-107.4K3.5M-68.4K3.4330.86N/AN/A289618,11627,300
2010-01-28$9.99$11.2531.4%9.0%20.4%28.9%32.2%3.2%1.8%-118.4K4.4M-64.9K1.6240.68N/AN/A20032418,12027,252
2010-01-29$9.86$11.2533.9%9.7%20.9%34.7%33.9%10.4%-2.6%-138.3K5.1M-65.8K8.8520.92N/AN/A8070818,32027,448