OTEX Options History — July 2010

In July 2010, OTEX traded between $9.07 and $10.43. ATM implied volatility averaged 33.2%, placing in the 51.9% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 2.4% (HV 20d: 30.8%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 2.29.

Notable Days

  • 2010-07-28: Highest Volume — 5,544 contracts
  • 2010-07-15: Largest IV spike — 34.3% change
  • 2010-07-30: Highest IV Rank — 72.6%
  • 2010-07-30: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.93$9.07$10.43$9.07$9.88
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV33.2%26.7%39.4%34.4%39.4%
Expected Move10.2%9.4%11.3%9.9%11.3%
HV 20d30.8%26.3%33.8%28.3%31.6%
HV 60d36.3%30.9%38.3%35.9%31.4%
IV Rank51.9%29.7%72.6%55.9%72.6%
IV Percentile59.6%19.0%92.5%68.7%92.5%
Term Structure-0.8%-4.2%4.1%4.1%-4.2%
VWIV36.0%33.6%40.1%34.5%40.1%
Skew 25d4.2%0.1%6.3%0.1%2.8%
Skew 10d8.5%-2.5%17.5%-2.5%2.3%
Call IV 25d33.8%30.0%39.8%33.5%39.8%
Put IV 25d38.1%33.6%42.5%33.6%42.5%
Bid-Ask Spread %15.648.9338.3228.4111.43
Gamma HHI0.400.290.550.290.40
Net GEX118.4K-136.5K241.6K58.5K-136.5K
Net DEX-1.2M-5.6M2.5M2.3M2.5M
Net VEX-53.0K-59.0K-45.1K-45.1K-58.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.290.0017.000.220.48
Total Volume1,306.8571285,5443,7122,256
Total OI34,539.04832,71640,85232,94440,852

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$9.07$10.0034.4%9.9%28.3%55.9%34.5%0.1%4.1%58.5K2.3M-45.1K0.2228.41N/AN/A3,04866420,88812,056
2010-07-02$9.34$10.0033.0%9.4%26.3%50.9%0.0%3.7%2.0%66.8K1.7M-46.8K0.2538.32N/AN/A3408420,22812,488
2010-07-06$9.45$10.0027.3%10.3%26.8%31.9%38.5%3.1%0.7%86.1K1.1M-48.3K0.2418.99N/AN/A55613620,31212,560
2010-07-07$9.61$10.0029.7%10.1%27.6%39.9%34.9%2.8%0.6%127.7K600.8K-48.1K1.2119.21N/AN/A769220,71612,528
2010-07-08$9.67$10.0026.9%10.1%27.7%30.3%37.9%3.8%0.8%153.1K10.7K-49.5K0.0017.66N/AN/A012820,76812,504
2010-07-09$9.77$10.0027.1%9.7%26.7%30.9%33.8%3.9%2.0%179.0K-512.4K-50.0K0.0311.80N/AN/A236820,76812,500
2010-07-12$9.76$10.0028.8%9.8%26.5%36.7%34.2%4.2%1.3%182.4K-240.8K-48.3K0.008.93N/AN/A176020,95212,500
2010-07-13$10.23$10.0028.8%10.3%30.4%36.8%35.0%5.1%-0.6%241.6K-4.4M-52.9K2.0712.56N/AN/A7721,60021,05212,456
2010-07-14$10.43$10.0026.7%10.3%31.0%29.7%34.5%4.9%0.0%195.4K-5.6M-53.9K0.4211.78N/AN/A1,56865221,01613,640
2010-07-15$10.23$10.0035.8%10.3%31.8%60.6%35.9%5.4%-0.4%163.9K-3.8M-52.9K1.408.95N/AN/A1,5962,23220,73214,020
2010-07-16$9.91$10.0035.9%10.3%33.2%61.1%35.9%4.6%-0.6%183.8K-258.3K-55.6K0.2611.94N/AN/A2646821,93215,000
2010-07-19$9.93$10.0036.3%10.4%33.2%62.1%36.3%6.2%-1.5%114.0K-1.1M-54.1K0.0013.45N/AN/A568019,93212,908
2010-07-20$10.11$10.0035.6%10.2%32.8%60.0%35.7%6.1%-1.7%143.5K-2.2M-55.8K4.9016.06N/AN/A12460820,36812,908
2010-07-21$10.13$10.0035.8%10.3%32.6%60.4%35.8%5.7%-2.1%132.5K-2.2M-55.8K0.9812.35N/AN/A48447220,33613,276
2010-07-22$10.34$10.0035.3%10.1%32.8%58.7%35.1%4.0%-2.0%163.8K-3.6M-57.2K2.5512.81N/AN/A11629620,60013,376
2010-07-23$10.09$10.0033.3%9.6%33.7%52.2%33.6%2.8%-1.6%121.2K-1.9M-55.4K0.1217.28N/AN/A2002420,62013,512
2010-07-26$10.17$10.0036.4%10.4%33.6%62.6%36.3%6.3%-4.0%142.0K-2.5M-55.2K8.2115.60N/AN/A1321,08420,78813,536
2010-07-27$10.32$10.0035.6%10.2%33.8%60.0%0.0%5.2%-2.9%138.8K-3.2M-56.1K0.0014.47N/AN/A292020,86814,300
2010-07-28$10.06$10.0038.6%11.1%33.5%70.0%38.7%4.3%-4.2%99.2K-1.5M-55.1K17.0013.12N/AN/A3085,23621,05214,300
2010-07-29$10.04$10.0037.3%10.7%33.6%65.5%37.3%4.3%-3.1%-70.4K408.9K-59.0K5.4113.43N/AN/A14880021,29618,876
2010-07-30$9.88$10.0039.4%11.3%31.6%72.6%40.1%2.8%-4.2%-136.5K2.5M-58.1K0.4811.43N/AN/A1,52073621,17619,676