OTEX Options History — April 2010

In April 2010, OTEX traded between $10.54 and $12.46. ATM implied volatility averaged 28.4%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 9.1% (HV 20d: 19.3%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.95.

Notable Days

  • 2010-04-30: Highest Volume — 4,952 contracts
  • 2010-04-14: Largest IV spike — 27.3% change
  • 2010-04-29: Highest IV Rank — 44.1%
  • 2010-04-29: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.90$10.54$12.46$11.86$10.54
Max Pain$11.07$10.00$12.50$12.50$11.25
ATM IV28.4%17.9%37.2%25.1%34.6%
Expected Move9.0%7.2%10.7%7.2%9.9%
HV 20d19.3%15.4%45.1%17.4%45.1%
HV 60d25.8%24.0%34.8%25.9%34.8%
IV Rank23.4%0.0%44.1%14.0%38.3%
IV Percentile35.8%0.0%85.3%9.9%74.2%
Term Structure-2.0%-4.8%4.4%4.4%-2.6%
VWIV32.9%30.2%40.1%33.1%33.6%
Skew 25d4.2%-0.5%8.7%8.7%0.9%
Skew 10d9.1%-6.3%19.4%9.5%13.6%
Call IV 25d29.1%14.5%36.3%14.5%34.5%
Put IV 25d33.3%23.2%39.2%23.2%35.5%
Bid-Ask Spread %21.8313.9942.5242.5215.84
Gamma HHI0.280.240.340.250.29
Net GEX130.8K14.3K186.5K111.8K14.3K
Net DEX-7.5M-10.5M-1.3M-7.2M-1.3M
Net VEX-43.7K-45.5K-41.5K-45.3K-41.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.054.112.670.53
Total Volume713.524484,9521604,952
Total OI29,270.47627,90831,24027,90831,240

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$11.86$12.5025.1%7.2%17.4%14.0%0.0%8.7%4.4%111.8K-7.2M-45.3K0.0042.52N/AN/A016012,78815,120
2010-04-05$12.01$10.0024.6%8.4%17.8%12.8%33.1%3.3%0.0%118.7K-7.8M-43.9K2.6720.93N/AN/A4812812,78815,188
2010-04-06$11.99$10.0020.7%8.4%17.3%3.4%31.4%4.2%-1.1%133.6K-7.5M-43.9K4.1122.55N/AN/A10844412,83215,248
2010-04-07$11.95$10.0020.4%8.3%17.3%2.9%32.2%4.2%-1.0%105.7K-7.4M-44.9K0.6021.47N/AN/A804812,92415,636
2010-04-08$11.94$10.0019.1%8.2%16.2%0.0%31.9%5.3%0.4%121.6K-7.2M-43.5K1.5022.43N/AN/A12819212,92415,636
2010-04-09$11.93$11.2517.9%8.3%15.7%0.0%32.2%8.2%-1.1%118.0K-7.3M-43.2K1.1727.85N/AN/A485613,01615,708
2010-04-12$11.86$11.2522.7%9.4%15.4%11.1%32.4%4.4%-2.9%94.0K-6.9M-43.9K0.3024.13N/AN/A2447213,01615,672
2010-04-13$11.80$11.2525.1%9.4%15.4%16.5%32.7%6.6%-3.4%100.0K-7.0M-44.2K2.2024.44N/AN/A6013213,19215,720
2010-04-14$11.88$11.2532.0%9.5%15.6%32.2%32.4%5.3%-3.3%96.1K-7.2M-44.0K0.2531.36N/AN/A3689213,21215,840
2010-04-15$12.05$11.2529.9%8.6%16.2%27.6%32.0%3.4%-1.3%124.6K-8.0M-43.7K0.5116.00N/AN/A32816813,48415,920
2010-04-16$12.05$11.2529.1%8.3%16.1%25.6%40.1%3.8%-0.8%137.7K-8.2M-43.6K0.7126.64N/AN/A282013,79615,880
2010-04-19$11.79$11.2532.7%9.4%17.8%33.8%30.2%4.0%-4.8%130.7K-7.3M-43.7K0.1617.90N/AN/A98015213,09615,220
2010-04-20$12.11$11.2529.0%8.3%19.0%25.4%31.3%7.9%-1.8%159.1K-8.9M-42.4K1.2715.96N/AN/A24030413,63615,280
2010-04-21$12.21$11.2530.3%8.7%19.1%28.5%30.5%2.8%-1.9%164.3K-9.4M-42.1K0.8915.34N/AN/A59252813,72415,232
2010-04-22$12.23$11.2530.9%8.9%17.2%29.9%31.2%3.1%-3.4%176.5K-9.4M-43.0K0.0513.99N/AN/A2361214,20815,540
2010-04-23$12.46$11.2531.6%9.1%16.3%31.3%32.5%3.4%-2.9%186.5K-10.5M-42.2K0.1616.34N/AN/A4366814,27615,540
2010-04-26$12.00$11.2533.1%9.5%21.6%34.7%33.7%2.8%-4.4%171.5K-8.3M-42.9K0.5419.58N/AN/A1,11660014,27215,556
2010-04-27$11.73$11.2535.7%10.2%23.0%40.9%32.9%3.8%-3.8%160.4K-7.2M-45.0K0.8816.42N/AN/A686014,81215,944
2010-04-28$11.75$11.2535.0%10.0%23.0%39.1%34.3%-0.5%-2.5%167.1K-7.2M-45.2K0.3924.36N/AN/A28010814,83615,964
2010-04-29$11.76$11.2537.2%10.7%23.0%44.1%36.4%2.9%-4.1%154.6K-7.0M-45.5K0.2122.31N/AN/A1,07622414,70016,064
2010-04-30$10.54$11.2534.6%9.9%45.1%38.3%33.6%0.9%-2.6%14.3K-1.3M-41.5K0.5315.84N/AN/A3,2361,71615,04816,192