OTEX Options History — February 2010

In February 2010, OTEX traded between $9.99 and $12.16. ATM implied volatility averaged 28.9%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 4.0% (HV 20d: 33.0%). Max pain ranged from $10.00 to $11.25. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 1.52.

Notable Days

  • 2010-02-26: Highest Volume — 5,084 contracts
  • 2010-02-25: Largest IV spike — 26.1% change
  • 2010-02-03: Highest IV Rank — 39.5%
  • 2010-02-03: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.38$9.99$12.16$9.99$12.16
Max Pain$10.46$10.00$11.25$11.25$11.25
ATM IV28.9%19.3%35.9%34.6%26.4%
Expected Move8.3%5.5%10.3%9.9%7.6%
HV 20d33.0%21.6%36.9%21.6%33.9%
HV 60d25.5%20.7%26.8%21.4%25.9%
IV Rank23.0%0.1%39.5%36.3%16.9%
IV Percentile23.0%0.4%66.3%59.9%8.3%
Term Structure1.4%-5.8%5.5%-4.1%-2.4%
VWIV29.0%21.1%35.7%34.6%26.4%
Skew 25d4.5%-2.7%12.9%12.9%-2.7%
Skew 10d10.2%-0.7%20.6%20.6%-0.7%
Call IV 25d27.1%22.1%34.1%25.9%28.5%
Put IV 25d31.5%25.2%38.8%38.8%25.9%
Bid-Ask Spread %32.2420.7161.6120.7135.57
Gamma HHI0.440.250.670.460.29
Net GEX144.0K-137.2K450.4K-137.2K161.1K
Net DEX-8.6M-20.0M4.9M4.9M-9.0M
Net VEX-61.0K-69.2K-49.9K-64.6K-49.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.025.550.350.02
Total Volume1,371.158805,0843245,084
Total OI44,528.42129,00851,76445,99630,540

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-02-01$9.99$11.2534.6%9.9%21.6%36.3%34.6%12.9%-4.1%-137.2K4.9M-64.6K0.3520.71N/AN/A2408418,40027,596
2010-02-02$10.15$11.2534.1%9.8%22.3%35.1%21.1%5.5%-2.7%-103.9K3.9M-65.1K2.2531.77N/AN/A8018018,55627,600
2010-02-03$10.14$11.2535.9%10.3%22.0%39.5%35.7%4.2%-5.8%-108.3K3.7M-64.5K2.0523.32N/AN/A9161,88018,55627,528
2010-02-04$10.86$11.2529.2%8.4%33.0%23.6%29.3%4.5%-0.5%6.5K-2.8M-68.9K0.2932.42N/AN/A3,7401,06819,34828,620
2010-02-05$11.36$10.0029.7%8.5%35.8%24.7%29.6%4.2%3.6%133.2K-9.8M-69.2K0.3729.12N/AN/A1,50855620,98428,696
2010-02-08$11.63$10.0032.1%9.0%36.3%30.4%30.3%4.6%3.8%149.7K-13.4M-65.8K0.4524.86N/AN/A1,40062821,36428,740
2010-02-09$11.44$10.0028.0%9.0%36.9%20.7%31.5%3.8%2.0%249.7K-11.6M-68.0K2.2824.48N/AN/A21649222,35628,904
2010-02-10$11.39$10.0029.7%8.5%36.4%24.9%30.0%3.9%4.3%248.8K-10.8M-68.0K1.1344.80N/AN/A9210422,46028,840
2010-02-11$11.51$10.0031.1%8.9%36.4%28.1%0.0%5.4%2.8%237.3K-12.5M-66.5K2.0623.78N/AN/A6814022,47228,764
2010-02-12$11.48$10.0030.6%8.8%34.0%26.9%0.0%3.8%3.0%330.0K-13.1M-64.6K2.3323.99N/AN/A245622,50028,840
2010-02-16$11.35$10.0030.1%8.6%33.8%25.7%30.1%3.8%3.5%359.7K-11.1M-63.1K0.8331.59N/AN/A27622822,50028,792
2010-02-17$11.26$10.0030.5%8.7%34.0%26.6%33.6%4.7%3.6%450.4K-10.5M-62.4K3.0733.80N/AN/A17654022,61228,756
2010-02-18$11.63$10.0028.9%8.3%35.0%22.9%28.8%4.0%4.5%171.6K-18.3M-54.6K0.9733.48N/AN/A42441222,72029,044
2010-02-19$11.92$10.0026.2%7.5%35.1%16.6%25.9%7.2%5.5%63.5K-20.0M-53.1K0.1830.42N/AN/A1,78432822,57629,092
2010-02-22$12.04$10.0025.4%7.3%34.6%14.6%26.5%5.9%0.9%117.6K-8.2M-52.2K2.3756.41N/AN/A20448413,34015,668
2010-02-23$11.91$10.0024.0%6.9%35.0%11.4%26.8%2.9%2.2%117.5K-7.8M-53.0K0.6925.25N/AN/A48433613,53215,708
2010-02-24$11.98$11.2519.3%5.5%35.0%0.1%23.8%3.1%2.5%142.7K-8.4M-53.2K1.6625.26N/AN/A57695613,88815,696
2010-02-25$11.97$11.2524.3%7.0%35.1%12.0%0.0%3.2%-0.3%145.9K-8.0M-52.1K5.5561.61N/AN/A4424414,32016,132
2010-02-26$12.16$11.2526.4%7.6%33.9%16.9%26.4%-2.7%-2.4%161.1K-9.0M-49.9K0.0235.57N/AN/A4,9968814,32016,220