OTEX Options History — August 2010

In August 2010, OTEX traded between $9.29 and $11.23. ATM implied volatility averaged 41.2%, placing in the 61.9% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 1.4% (HV 20d: 39.8%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 3.98.

Notable Days

  • 2010-08-19: Highest Volume — 38,984 contracts
  • 2010-08-19: Largest IV drop — 30.8% change
  • 2010-08-09: Highest IV Rank — 100.0%
  • 2010-08-18: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.16$9.29$11.23$9.93$11.00
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV41.2%32.5%61.7%41.4%35.0%
Expected Move11.1%9.3%13.7%11.9%10.0%
HV 20d39.8%23.8%58.6%30.2%58.5%
HV 60d33.8%27.9%41.6%31.2%40.7%
IV Rank61.9%33.3%100.0%79.7%39.1%
IV Percentile84.4%56.0%100.0%98.0%73.8%
Term Structure-2.5%-8.1%1.7%-6.3%0.9%
VWIV39.3%30.6%47.1%41.5%30.6%
Skew 25d3.4%0.5%6.7%4.4%2.4%
Skew 10d7.1%-0.4%19.7%7.7%1.3%
Call IV 25d38.1%31.1%46.6%40.7%35.6%
Put IV 25d41.5%35.7%48.1%45.2%38.0%
Bid-Ask Spread %22.1312.7833.5412.7822.45
Gamma HHI0.390.300.520.390.36
Net GEX-73.4K-683.6K301.3K-159.1K193.2K
Net DEX526.7K-19.0M22.7M2.2M-7.9M
Net VEX-65.7K-77.1K-56.3K-56.9K-77.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.980.0035.070.007.94
Total Volume6,083.0912438,98424644
Total OI60,119.81840,56098,35640,56052,944

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$9.93$10.0041.4%11.9%30.2%79.7%41.5%4.4%-6.3%-159.1K2.2M-56.9K0.0012.78N/AN/A24020,30820,252
2010-08-03$9.90$10.0042.3%12.1%30.1%82.7%42.3%3.7%-7.3%-159.7K2.3M-56.3K0.0414.58N/AN/A5,32824020,31220,252
2010-08-04$10.14$10.0044.3%12.7%30.7%89.3%44.8%6.7%-8.1%45.1K-2.3M-61.0K0.2412.84N/AN/A4,00496024,33220,368
2010-08-05$10.10$10.0044.5%12.8%30.7%89.9%44.4%4.0%-7.2%179.1K-3.5M-63.9K0.0214.67N/AN/A4,2247628,09220,336
2010-08-06$9.88$10.0043.7%10.5%31.7%87.4%38.4%4.4%-1.1%301.3K-2.1M-63.7K2.6614.23N/AN/A26871231,68020,336
2010-08-09$9.84$10.0049.1%10.7%31.7%100.0%37.3%3.0%-1.4%276.8K-1.4M-62.2K35.0718.60N/AN/A1204,20831,58821,284
2010-08-10$9.75$10.0051.6%10.7%26.6%100.0%37.2%3.3%-1.5%116.1K1.7M-61.8K1.7715.98N/AN/A1,0081,78831,62024,304
2010-08-11$9.52$10.0061.7%12.2%26.4%100.0%42.6%2.3%-3.3%40.8K5.2M-59.3K14.0022.71N/AN/A96013,43631,98425,824
2010-08-12$9.48$10.0044.4%12.7%25.9%60.4%45.8%3.6%-4.5%-325.5K12.3M-67.4K5.1622.59N/AN/A1,3566,99232,58438,132
2010-08-13$9.50$10.0044.1%12.7%23.8%59.8%45.9%2.9%-3.6%-511.1K15.0M-69.2K9.2321.74N/AN/A9088,38432,54444,092
2010-08-16$9.59$10.0043.0%12.3%24.1%57.3%43.0%2.3%-4.3%-683.6K16.6M-66.8K0.4916.09N/AN/A85641633,04848,296
2010-08-17$9.29$10.0045.9%13.2%25.1%63.8%47.1%0.5%-5.4%-613.0K22.0M-60.3K2.5926.75N/AN/A1,9565,06833,30048,308
2010-08-18$9.31$10.0047.7%13.7%25.1%68.0%46.9%1.6%-7.0%-682.2K22.7M-61.8K0.9421.36N/AN/A8,3767,83634,19651,404
2010-08-19$10.73$10.0033.0%9.5%57.4%34.5%36.3%4.0%1.3%-169.2K-19.0M-63.3K1.3732.96N/AN/A16,45622,52838,56055,944
2010-08-20$10.74$10.0034.6%9.9%56.5%38.2%36.8%3.8%0.5%-2.6K-16.6M-70.7K1.2133.54N/AN/A64478038,79259,564
2010-08-23$10.64$10.0032.5%9.3%56.7%33.3%33.1%2.8%-0.1%64-3.7M-68.8K1.1032.29N/AN/A58864820,48825,272
2010-08-24$10.64$10.0033.0%9.4%56.5%34.3%33.6%5.4%0.3%312-3.6M-69.6K1.2221.78N/AN/A34442020,67225,808
2010-08-25$10.72$10.0034.8%10.0%55.6%38.4%36.4%4.9%-0.1%14.7K-4.2M-69.3K0.3523.14N/AN/A2,60490420,79226,028
2010-08-26$10.71$10.0032.7%9.4%55.6%33.8%33.4%2.8%1.6%85.2K-5.5M-73.2K0.1032.15N/AN/A1,01610022,74426,128
2010-08-27$11.23$10.0032.6%9.3%57.2%33.5%31.9%3.5%1.7%237.5K-10.4M-69.9K0.1723.11N/AN/A1,67228823,27626,128
2010-08-30$10.91$10.0034.3%9.8%58.6%37.4%35.8%2.8%0.4%199.9K-8.1M-72.0K1.9130.55N/AN/A1,6123,07624,51226,208
2010-08-31$11.00$10.0035.0%10.0%58.5%39.1%30.6%2.4%0.9%193.2K-7.9M-77.1K7.9422.45N/AN/A7257225,26827,676