OTEX Options History — June 2010

In June 2010, OTEX traded between $9.36 and $10.58. ATM implied volatility averaged 33.6%, placing in the 53.1% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 4.3% (HV 20d: 29.3%). Max pain ranged from $10.00 to $11.25. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 4.34.

Notable Days

  • 2010-06-14: Highest Volume — 4,904 contracts
  • 2010-06-02: Largest IV drop — 30.7% change
  • 2010-06-01: Highest IV Rank — 84.8%
  • 2010-06-01: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.93$9.36$10.58$10.39$9.38
Max Pain$10.23$10.00$11.25$11.25$10.00
ATM IV33.6%25.8%43.0%43.0%25.8%
Expected Move9.5%7.4%12.3%12.3%7.4%
HV 20d29.3%26.6%36.7%32.3%26.6%
HV 60d34.7%33.2%35.4%33.2%35.4%
IV Rank53.1%26.7%84.8%84.8%26.7%
IV Percentile58.8%16.7%98.8%98.8%16.7%
Term Structure2.1%-6.3%12.0%-6.3%4.2%
VWIV32.3%17.9%38.4%38.4%30.9%
Skew 25d4.7%0.6%10.7%3.0%3.6%
Skew 10d9.7%3.9%17.5%9.7%6.2%
Call IV 25d31.2%24.0%37.8%37.8%30.4%
Put IV 25d35.8%31.6%42.0%40.8%34.0%
Bid-Ask Spread %25.3416.5150.2026.9421.08
Gamma HHI0.430.310.580.440.31
Net GEX131.3K17.1K256.3K141.4K105.9K
Net DEX-1.6M-4.9M950.7K-2.6M950.7K
Net VEX-55.4K-60.5K-49.0K-49.0K-49.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.340.0057.000.040.15
Total Volume1,275.091444,9043,8041,276
Total OI32,890.54525,78438,27225,78433,272

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$10.39$11.2543.0%12.3%32.3%84.8%38.4%3.0%-6.3%141.4K-2.6M-49.0K0.0426.94N/AN/A3,65614816,7409,044
2010-06-02$10.58$11.2529.8%8.5%32.8%40.1%0.0%0.6%11.2%225.5K-4.5M-54.6K0.3029.27N/AN/A40012019,9409,044
2010-06-03$10.57$11.2537.7%10.8%32.8%67.1%31.5%3.4%-3.3%256.3K-4.9M-55.0K0.0226.51N/AN/A200420,3409,164
2010-06-04$10.05$10.0038.4%10.7%36.7%69.2%37.5%3.5%-0.1%133.3K-2.2M-51.9K0.8826.34N/AN/A2,1161,86420,3529,160
2010-06-07$10.02$10.0040.5%11.1%36.5%76.5%32.9%6.7%0.1%131.6K-2.3M-58.8K0.8519.60N/AN/A81669622,12410,664
2010-06-08$10.06$11.2540.3%10.5%28.3%75.8%36.8%4.9%0.7%117.0K-2.1M-59.6K1.3616.64N/AN/A446022,35210,920
2010-06-09$9.99$10.0041.1%10.6%28.3%78.5%36.5%4.0%0.5%109.5K-2.0M-58.5K57.0021.07N/AN/A422822,39610,940
2010-06-10$10.22$10.0035.1%10.1%28.5%58.2%35.1%4.9%1.0%117.9K-2.8M-60.3K21.5019.08N/AN/A817222,39611,124
2010-06-11$10.27$10.0034.7%9.9%27.9%56.7%0.0%4.4%1.1%112.5K-3.1M-59.6K0.0018.50N/AN/A010022,38811,196
2010-06-14$10.01$10.0036.1%10.4%28.5%61.7%36.1%5.7%-0.8%17.1K-1.7M-56.9K0.4723.47N/AN/A3,3401,56422,38811,236
2010-06-15$10.06$10.0032.6%9.4%28.5%49.8%0.0%3.4%2.0%123.8K-2.7M-60.5K0.5524.46N/AN/A884825,14812,156
2010-06-16$10.01$10.0032.5%9.3%28.5%49.4%32.5%4.2%1.0%64.6K-2.0M-59.4K0.6624.94N/AN/A23615624,95612,160
2010-06-17$9.85$10.0031.5%9.0%28.6%45.9%31.6%3.2%2.1%51.9K-377.6K-56.6K0.0521.24N/AN/A1,1485225,06412,220
2010-06-18$9.89$10.0031.6%9.1%26.6%46.3%17.9%10.7%2.3%186.3K-616.8K-57.3K0.2243.31N/AN/A4449626,00412,268
2010-06-21$9.69$10.0031.3%9.0%27.1%45.2%31.2%5.2%2.3%154.4K-1.2M-54.4K0.4450.20N/AN/A56824821,20010,600
2010-06-22$9.80$10.0029.2%8.4%27.7%38.2%28.8%7.9%3.4%163.0K-1.3M-55.5K1.1517.28N/AN/A34039221,47610,788
2010-06-23$9.68$10.0030.4%8.7%27.7%42.2%0.0%7.7%1.9%152.1K-912.4K-55.4K0.0024.72N/AN/A44021,50410,936
2010-06-24$9.54$10.0029.0%8.3%27.8%37.5%34.2%4.7%3.6%134.4K-152.9K-52.7K4.3021.23N/AN/A4017221,50810,936
2010-06-25$9.51$10.0028.6%8.2%26.8%36.1%28.5%3.0%4.1%127.8K254.3K-52.0K0.4116.51N/AN/A74430821,54811,044
2010-06-28$9.63$10.0029.1%8.3%27.5%37.8%29.1%5.0%4.0%141.2K-272.8K-51.3K0.1428.52N/AN/A1,87626821,55210,964
2010-06-29$9.36$10.0031.2%8.9%27.8%45.0%30.9%3.3%12.0%120.4K527.6K-50.6K0.6836.56N/AN/A2,3561,61221,26811,112
2010-06-30$9.38$10.0025.8%7.4%26.6%26.7%0.0%3.6%4.2%105.9K950.7K-49.8K0.1521.08N/AN/A1,11216421,26812,004