OTEX Options History — May 2010

In May 2010, OTEX traded between $10.30 and $11.50. ATM implied volatility averaged 35.5%, placing in the 55.5% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 13.1% (HV 20d: 48.6%). Max pain ranged from $11.25 to $11.25. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.12.

Notable Days

  • 2010-05-14: Highest Volume — 4,864 contracts
  • 2010-05-28: Largest IV drop — 22.5% change
  • 2010-05-24: Highest IV Rank — 79.3%
  • 2010-05-24: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.83$10.30$11.50$10.63$10.65
Max Pain$11.25$11.25$11.25$11.25$11.25
ATM IV35.5%27.5%41.3%34.8%27.5%
Expected Move10.0%7.9%11.8%10.0%7.9%
HV 20d48.6%31.2%52.2%44.9%31.2%
HV 60d32.2%30.0%33.0%31.9%33.0%
IV Rank55.5%32.4%79.3%38.6%32.4%
IV Percentile74.4%21.4%96.8%75.4%21.4%
Term Structure-0.5%-5.3%2.2%-4.3%2.2%
VWIV33.5%21.9%39.3%35.8%21.9%
Skew 25d4.0%0.2%15.5%2.5%4.0%
Skew 10d9.3%-2.1%37.4%19.3%10.9%
Call IV 25d32.4%22.8%39.3%35.5%31.0%
Put IV 25d36.4%32.3%41.0%38.0%35.0%
Bid-Ask Spread %30.8110.8782.7319.6531.93
Gamma HHI0.440.220.730.220.47
Net GEX212.8K17.6K660.4K25.8K181.4K
Net DEX-4.0M-8.6M-241.1K-1.5M-3.6M
Net VEX-48.8K-55.8K-42.4K-43.4K-51.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.005.500.790.00
Total Volume1,215.2524,864636148
Total OI36,18624,82048,57634,22025,780

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$10.63$11.2534.8%10.0%44.9%38.6%35.8%2.5%-4.3%25.8K-1.5M-43.4K0.7919.65N/AN/A35628016,60417,616
2010-05-04$10.53$11.2537.2%10.7%44.9%44.3%38.3%0.3%-2.0%18.1K-1.2M-43.8K0.1710.87N/AN/A1,37624016,66417,884
2010-05-05$10.52$11.2536.8%10.5%45.0%43.3%32.9%3.7%-5.3%79.4K-1.1M-42.4K0.1623.04N/AN/A6129617,71617,992
2010-05-06$10.30$11.2540.3%11.5%45.2%52.3%25.2%15.5%-2.3%17.6K-241.1K-43.6K0.4682.73N/AN/A23610817,99618,032
2010-05-07$10.41$11.2539.3%9.8%45.6%72.3%33.7%1.9%0.8%29.0K-775.5K-44.1K0.5037.55N/AN/A98448817,98818,072
2010-05-10$11.05$11.2532.2%8.9%51.5%48.4%31.3%10.6%1.8%177.5K-4.2M-44.3K0.1641.91N/AN/A62410017,98818,072
2010-05-11$11.03$11.2533.6%8.9%51.5%53.1%31.3%2.3%0.8%209.0K-4.5M-44.7K0.0019.74N/AN/A1,740018,84818,220
2010-05-12$11.27$11.2535.2%8.8%52.1%58.5%29.3%2.9%1.1%289.8K-6.9M-48.3K0.7526.18N/AN/A33224820,28018,220
2010-05-13$11.43$11.2533.1%9.5%52.1%51.4%0.0%4.6%-0.2%318.8K-8.2M-48.7K1.2819.50N/AN/A60477620,26018,116
2010-05-14$11.50$11.2531.8%9.1%52.2%47.1%32.1%4.6%0.4%324.8K-8.4M-50.3K0.5327.20N/AN/A3,1801,68420,51218,680
2010-05-17$11.30$11.2532.3%9.3%51.9%48.6%32.3%3.3%1.3%381.7K-8.6M-54.4K0.1823.64N/AN/A2,04836823,52019,180
2010-05-18$11.21$11.2533.2%9.5%50.8%51.7%33.2%4.2%0.9%660.4K-8.6M-55.8K2.6322.03N/AN/A9722,56025,46819,400
2010-05-19$11.05$11.2533.6%9.6%50.7%53.0%33.7%3.4%1.2%460.1K-5.1M-55.8K0.6428.38N/AN/A52033226,29621,556
2010-05-20$10.67$11.2536.7%10.5%51.8%63.5%37.4%5.1%-0.9%199.5K-959.4K-52.1K0.7642.64N/AN/A56843226,10021,828
2010-05-21$10.71$11.2536.7%10.5%51.1%63.5%37.1%2.6%0.5%242.0K-1.6M-53.1K2.1035.52N/AN/A15632826,58821,988
2010-05-24$10.61$11.2541.3%11.8%49.9%79.3%39.2%2.4%-1.6%163.1K-3.8M-50.3K0.0327.58N/AN/A244816,2128,608
2010-05-25$10.47$11.2540.2%11.5%49.6%75.4%39.3%0.2%-4.1%137.2K-2.6M-49.0K5.5035.57N/AN/A84416,3008,604
2010-05-26$10.52$11.2539.7%11.4%49.6%73.7%35.8%4.4%-0.9%161.1K-3.6M-49.3K0.6531.10N/AN/A58838016,2968,584
2010-05-27$10.68$11.2535.4%10.2%50.1%59.3%36.2%0.8%-0.2%179.5K-3.6M-51.5K5.0929.46N/AN/A8844816,7448,908
2010-05-28$10.65$11.2527.5%7.9%31.2%32.4%21.9%4.0%2.2%181.4K-3.6M-51.0K0.0031.93N/AN/A148016,7369,044