OTEX Options History — October 2010

In October 2010, OTEX traded between $10.88 and $12.04. ATM implied volatility averaged 37.7%, placing in the 45.2% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 9.9% (HV 20d: 27.8%). Max pain ranged from $11.25 to $11.25. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 3.02.

Notable Days

  • 2010-10-26: Highest Volume — 4,768 contracts
  • 2010-10-11: Largest IV spike — 43.3% change
  • 2010-10-27: Highest IV Rank — 61.1%
  • 2010-10-27: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.60$10.88$12.04$11.77$11.06
Max Pain$11.25$11.25$11.25$11.25$11.25
ATM IV37.7%26.4%44.7%31.8%35.7%
Expected Move11.5%9.1%12.8%9.1%10.2%
HV 20d27.8%20.7%33.8%28.3%33.8%
HV 60d39.9%38.6%41.8%40.7%41.8%
IV Rank45.2%19.3%61.1%31.6%40.6%
IV Percentile78.3%17.9%98.0%44.4%75.0%
Term Structure-3.0%-5.1%6.9%6.9%1.1%
VWIV40.1%32.1%45.1%32.1%38.4%
Skew 25d3.0%1.2%4.2%1.2%4.2%
Skew 10d5.0%-2.9%12.3%0.4%3.0%
Call IV 25d38.8%30.7%43.7%30.7%35.4%
Put IV 25d41.8%32.0%47.0%32.0%39.6%
Bid-Ask Spread %22.1014.9531.0915.3019.59
Gamma HHI0.240.190.360.220.30
Net GEX8.9K-196.9K133.7K118.6K40.5K
Net DEX-7.2M-11.4M-2.2M-8.9M-4.0M
Net VEX-55.3K-59.6K-51.0K-56.3K-56.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.020.0016.130.111.21
Total Volume1,608.19364,768488964
Total OI41,919.42937,56046,66437,56046,664

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$11.77$11.2531.8%9.1%28.3%31.6%32.1%1.2%6.9%118.6K-8.9M-56.3K0.1115.30N/AN/A4404818,82418,736
2010-10-04$11.62$11.2534.4%11.5%28.6%37.6%38.7%3.5%-3.0%120.2K-7.6M-57.0K1.0724.41N/AN/A44047219,14818,736
2010-10-05$11.67$11.2533.5%11.2%27.8%35.5%38.5%2.7%-3.4%133.7K-8.3M-56.4K1.1123.66N/AN/A18420419,33618,924
2010-10-06$11.44$11.2537.4%11.8%28.8%44.4%0.0%3.1%-4.8%121.1K-6.7M-57.3K16.1318.71N/AN/A2684,32419,50818,944
2010-10-07$11.47$11.2535.1%11.4%28.5%39.3%40.1%3.7%-3.6%-155.3K-5.4M-59.6K12.6015.33N/AN/A2025219,64822,728
2010-10-08$11.66$11.2526.4%11.4%28.8%19.3%39.0%3.8%-3.9%-139.2K-7.5M-57.4K4.1622.95N/AN/A3401,41619,62822,828
2010-10-11$11.63$11.2537.8%11.8%28.5%45.4%40.8%3.4%-4.9%-196.9K-7.0M-57.8K8.0025.49N/AN/A43219,78824,160
2010-10-12$11.71$11.2531.3%11.5%28.6%30.6%38.3%3.0%-3.3%-167.0K-8.0M-55.9K0.2922.11N/AN/A80023219,78824,180
2010-10-13$11.90$11.2537.2%11.2%28.8%44.1%0.0%2.9%-3.8%-56.4K-9.8M-55.1K0.3015.34N/AN/A32810020,58824,336
2010-10-14$11.96$11.2540.0%11.5%28.4%50.3%40.6%1.9%-4.3%48.6K-11.0M-54.0K2.5823.14N/AN/A9362,41620,83224,300
2010-10-15$12.04$11.2539.1%11.2%28.3%48.4%39.6%2.3%-4.8%61.4K-11.4M-52.4K0.4529.05N/AN/A34015221,60425,060
2010-10-18$11.95$11.2539.5%11.3%20.7%49.3%40.5%2.7%-3.5%73.7K-8.7M-52.1K0.1514.95N/AN/A1,84426819,63218,760
2010-10-19$11.49$11.2543.2%12.4%25.0%57.6%44.0%3.7%-4.7%16.9K-5.9M-55.0K7.4123.05N/AN/A10880021,30018,928
2010-10-20$11.61$11.2542.5%12.2%23.5%56.2%42.1%3.6%-4.8%37.4K-6.6M-54.7K1.3931.09N/AN/A37652421,38019,092
2010-10-21$11.51$11.2540.6%11.6%23.7%51.7%40.9%3.3%-2.7%9.1K-6.0M-53.7K2.4521.31N/AN/A15237221,40419,152
2010-10-22$11.62$11.2541.4%11.9%23.2%53.5%39.3%3.5%-5.1%30.4K-6.8M-53.6K0.0018.04N/AN/A392021,51219,272
2010-10-25$11.95$11.2541.0%11.7%25.2%52.6%42.5%1.8%-3.9%90.3K-9.2M-51.0K0.6522.12N/AN/A36824021,83619,224
2010-10-26$11.34$11.2543.9%12.6%31.1%59.2%45.1%3.4%-4.2%-2.2K-4.9M-53.9K1.7023.82N/AN/A1,7643,00422,17619,308
2010-10-27$11.37$11.2544.7%12.8%30.5%61.1%44.6%3.3%-4.6%11.0K-5.2M-56.2K0.2030.35N/AN/A3,58872822,88020,056
2010-10-28$10.88$11.2535.7%10.2%33.1%40.6%36.1%2.0%1.3%-9.8K-2.2M-55.1K1.5024.30N/AN/A1,8122,72026,13219,976
2010-10-29$11.06$11.2535.7%10.2%33.8%40.6%38.4%4.2%1.1%40.5K-4.0M-56.2K1.2119.59N/AN/A43652826,97219,692