OTEX Options History — March 2010

In March 2010, OTEX traded between $11.58 and $12.35. ATM implied volatility averaged 24.8%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 3.9% (HV 20d: 20.9%). Max pain ranged from $11.25 to $12.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 1.09.

Notable Days

  • 2010-03-01: Highest Volume — 3,860 contracts
  • 2010-03-09: Largest IV drop — 18.8% change
  • 2010-03-23: Highest IV Rank — 21.6%
  • 2010-03-23: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.01$11.58$12.35$12.07$11.87
Max Pain$12.28$11.25$12.50$11.25$12.50
ATM IV24.8%21.9%28.3%27.6%25.4%
Expected Move7.2%6.6%8.1%7.9%7.3%
HV 20d20.9%13.9%33.9%33.4%17.5%
HV 60d25.5%24.9%26.0%26.0%25.9%
IV Rank13.3%6.3%21.6%19.8%14.6%
IV Percentile7.4%1.2%22.6%12.7%11.5%
Term Structure3.2%-2.5%8.6%-2.5%5.2%
VWIV25.0%23.0%27.7%27.7%24.5%
Skew 25d3.5%-0.9%8.2%-0.9%2.2%
Skew 10d5.8%-2.8%13.7%13.7%3.7%
Call IV 25d22.9%18.9%26.5%26.5%22.4%
Put IV 25d26.4%23.9%27.9%25.6%24.6%
Bid-Ask Spread %26.8615.4556.9937.4826.08
Gamma HHI0.370.240.570.470.25
Net GEX194.5K88.1K361.7K304.1K110.0K
Net DEX-8.2M-10.0M-6.1M-9.4M-7.1M
Net VEX-48.5K-53.0K-45.2K-53.0K-46.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.002.820.201.61
Total Volume490.957123,8603,860164
Total OI30,089.56527,48832,85632,85627,836

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-03-01$12.07$11.2527.6%7.9%33.4%19.8%27.7%-0.9%-2.5%304.1K-9.4M-53.0K0.2037.48N/AN/A3,22863216,57616,280
2010-03-02$12.04$11.2522.9%6.6%33.6%8.8%23.4%3.9%0.1%280.6K-8.8M-52.5K0.5039.59N/AN/A1206015,95216,308
2010-03-03$12.08$11.2524.5%7.0%33.6%12.5%0.0%3.3%-0.5%205.2K-8.6M-51.2K2.4324.87N/AN/A8420414,88016,300
2010-03-04$12.00$11.2523.4%6.7%33.9%10.0%0.0%2.2%-0.5%188.2K-8.2M-49.5K0.0024.72N/AN/A12014,87216,244
2010-03-05$12.10$12.5025.1%7.0%25.4%14.0%24.5%7.0%3.7%203.2K-8.5M-52.1K1.9315.59N/AN/A10820814,88416,244
2010-03-08$11.96$12.5027.2%7.6%21.2%18.9%26.1%2.2%1.2%181.6K-8.0M-51.3K1.8656.99N/AN/A5610414,99216,244
2010-03-09$11.93$12.5022.1%7.1%19.8%6.8%25.2%3.8%2.6%179.8K-7.8M-50.7K0.3937.83N/AN/A2288815,04816,236
2010-03-10$12.13$12.5021.9%7.2%19.4%6.3%0.0%6.0%3.3%236.1K-8.8M-49.5K0.0017.84N/AN/A022415,11216,216
2010-03-11$12.25$12.5024.5%7.0%19.3%12.4%0.0%6.5%4.3%278.7K-9.5M-47.2K0.8740.55N/AN/A21618815,11216,208
2010-03-12$12.35$12.5025.0%7.2%19.2%13.7%24.3%8.2%4.2%332.4K-10.0M-47.8K1.0037.35N/AN/A24424415,19616,184
2010-03-15$12.32$12.5025.6%7.3%19.3%15.1%25.8%2.4%3.5%356.7K-9.9M-47.4K2.2928.55N/AN/A9622015,24016,040
2010-03-16$12.26$12.5024.7%7.1%18.7%12.9%24.7%6.9%5.2%361.7K-9.5M-46.8K0.1521.89N/AN/A2123215,27215,912
2010-03-17$12.12$12.5024.1%6.9%19.0%11.5%24.4%6.2%4.1%232.4K-8.7M-46.3K0.9715.45N/AN/A13613215,26415,892
2010-03-18$12.08$12.5024.1%6.9%16.0%11.6%25.0%5.0%4.7%181.8K-8.4M-45.5K1.5419.28N/AN/A26040015,28815,768
2010-03-19$11.98$12.5025.1%7.2%13.9%13.8%26.0%2.9%2.6%131.3K-8.0M-46.5K0.1018.96N/AN/A7127215,25616,096
2010-03-22$11.76$12.5027.9%8.0%15.0%20.4%25.5%2.3%2.7%90.6K-6.6M-48.6K0.6920.44N/AN/A33222812,66414,912
2010-03-23$11.82$12.5028.3%8.1%14.7%21.6%0.0%3.6%3.3%94.1K-7.0M-48.4K0.2018.42N/AN/A3727612,80814,876
2010-03-24$11.58$12.5025.6%7.3%16.1%15.1%24.4%-0.6%4.1%88.1K-6.1M-48.4K1.2220.67N/AN/A14417612,65214,844
2010-03-25$11.86$12.5024.9%7.1%18.6%13.4%23.0%3.0%8.6%103.4K-7.1M-47.8K0.5625.76N/AN/A1448012,75214,836
2010-03-26$11.83$12.5024.8%7.1%17.6%13.2%25.5%1.0%5.3%105.0K-7.1M-47.3K1.5624.13N/AN/A18028012,70414,784
2010-03-29$11.89$12.5023.0%6.6%17.6%9.0%24.5%-0.1%4.2%116.5K-7.5M-45.6K2.8222.15N/AN/A4412412,75614,904
2010-03-30$11.89$12.5023.4%6.7%17.6%10.0%0.0%2.9%4.9%111.8K-7.2M-45.2K1.6123.27N/AN/A16426412,66814,948
2010-03-31$11.87$12.5025.4%7.3%17.5%14.6%0.0%2.2%5.2%110.0K-7.1M-46.5K0.0026.08N/AN/A016412,78815,048