OTEX Options History — September 2010

In September 2010, OTEX traded between $11.10 and $12.05. ATM implied volatility averaged 33.5%, placing in the 35.5% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 10.5% (HV 20d: 44.0%). Max pain ranged from $10.00 to $11.25. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.08.

Notable Days

  • 2010-09-29: Highest Volume — 1,916 contracts
  • 2010-09-07: Largest IV spike — 11.9% change
  • 2010-09-13: Highest IV Rank — 41.3%
  • 2010-09-13: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.46$11.10$12.05$11.19$11.76
Max Pain$11.13$10.00$11.25$10.00$11.25
ATM IV33.5%30.7%36.0%33.5%32.8%
Expected Move9.7%8.8%10.3%9.6%9.4%
HV 20d44.0%24.7%58.3%58.3%28.3%
HV 60d40.7%40.0%41.8%40.8%40.7%
IV Rank35.5%29.2%41.3%35.6%33.9%
IV Percentile60.5%37.7%79.4%63.5%54.0%
Term Structure4.0%1.3%6.0%1.3%6.0%
VWIV33.3%30.5%38.1%33.5%31.6%
Skew 25d2.4%0.1%3.4%3.4%2.0%
Skew 10d7.6%0.3%29.5%5.4%0.3%
Call IV 25d32.4%28.9%34.7%33.4%31.1%
Put IV 25d34.8%30.9%37.7%36.8%33.2%
Bid-Ask Spread %19.1810.0029.6825.5713.18
Gamma HHI0.380.220.670.390.22
Net GEX264.3K101.0K682.8K258.8K116.8K
Net DEX-9.2M-11.4M-7.0M-9.8M-8.7M
Net VEX-64.0K-76.7K-53.9K-76.7K-56.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.080.0010.600.350.87
Total Volume628.381881,916596344
Total OI46,101.14335,19254,17253,55637,520

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$11.19$10.0033.5%9.6%58.3%35.6%33.5%3.4%1.3%258.8K-9.8M-76.7K0.3525.57N/AN/A44015625,21628,340
2010-09-02$11.20$10.0032.6%9.3%58.2%33.4%33.4%2.1%2.9%261.5K-9.7M-75.3K1.0029.68N/AN/A26426425,05628,496
2010-09-03$11.30$11.2531.1%9.8%57.3%30.0%33.4%2.1%4.0%312.6K-11.0M-72.7K0.8925.15N/AN/A38034025,04028,420
2010-09-07$11.10$11.2534.8%10.1%57.9%38.4%35.5%2.7%2.8%260.4K-8.9M-71.8K0.0017.77N/AN/A460024,94828,668
2010-09-08$11.18$11.2534.3%10.2%57.6%37.5%0.0%3.2%3.0%269.4K-9.3M-70.4K0.0010.00N/AN/A014824,48828,668
2010-09-09$11.32$11.2534.6%9.9%56.4%38.0%35.3%2.8%3.1%336.1K-11.0M-68.2K0.5511.77N/AN/A33218424,48828,816
2010-09-10$11.22$11.2535.3%10.1%56.6%39.6%33.3%3.2%2.6%339.9K-10.1M-68.2K0.4612.10N/AN/A37617224,60428,944
2010-09-13$11.37$11.2536.0%10.3%56.6%41.3%38.1%3.4%3.1%383.3K-11.4M-65.9K3.5612.06N/AN/A13648424,54029,112
2010-09-14$11.32$11.2535.0%10.0%56.8%39.0%35.1%1.8%3.2%414.6K-10.9M-65.7K0.0018.29N/AN/A018024,53229,440
2010-09-15$11.24$11.2534.4%9.9%55.2%37.7%34.4%1.8%4.1%488.5K-9.8M-64.8K0.7215.88N/AN/A32023224,53229,568
2010-09-16$11.13$11.2534.0%9.7%55.6%36.7%34.0%3.0%4.1%563.9K-8.0M-64.2K0.0019.75N/AN/A164024,57629,568
2010-09-17$11.12$11.2531.8%9.1%24.7%31.6%31.8%2.0%5.8%682.8K-7.0M-62.6K10.6019.90N/AN/A2021224,60429,568
2010-09-20$11.77$11.2533.6%9.6%31.4%35.7%33.2%1.7%4.2%105.1K-8.3M-58.5K0.5128.15N/AN/A87244817,17618,016
2010-09-21$11.85$11.2533.1%9.5%30.9%34.7%31.6%3.2%3.9%120.0K-9.3M-58.9K7.9818.96N/AN/A2121,69217,65618,272
2010-09-22$11.54$11.2534.0%9.7%32.9%36.6%32.5%2.7%4.3%111.7K-7.3M-59.8K0.9224.02N/AN/A21219617,72417,936
2010-09-23$11.55$11.2532.8%9.4%32.9%33.9%0.0%3.4%5.3%101.3K-7.3M-59.7K10.0024.79N/AN/A88017,49618,500
2010-09-24$11.74$11.2532.8%9.4%33.2%34.0%30.5%0.1%4.9%110.2K-8.5M-58.2K0.5016.42N/AN/A1366817,50018,556
2010-09-27$11.76$11.2533.5%9.6%29.0%35.6%33.2%0.9%5.0%108.8K-8.6M-56.9K0.4814.07N/AN/A1,03250017,39218,556
2010-09-28$11.88$11.2532.5%9.3%26.6%33.3%31.3%2.1%5.1%103.0K-8.9M-55.6K0.1024.35N/AN/A1962017,10818,632
2010-09-29$12.05$11.2530.7%8.8%26.8%29.2%30.9%3.2%6.0%101.0K-10.4M-53.9K0.0320.93N/AN/A1,8684817,20018,652
2010-09-30$11.76$11.2532.8%9.4%28.3%33.9%31.6%2.0%6.0%116.8K-8.7M-56.8K0.8713.18N/AN/A18416018,84818,672