OTEX Options History — November 2010

In November 2010, OTEX traded between $10.57 and $11.33. ATM implied volatility averaged 33.2%, placing in the 34.9% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 1.0% (HV 20d: 32.2%). Max pain ranged from $11.25 to $11.25. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 6.09.

Notable Days

  • 2010-11-04: Highest Volume — 4,908 contracts
  • 2010-11-23: Largest IV spike — 11.6% change
  • 2010-11-01: Highest IV Rank — 44.0%
  • 2010-11-01: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.90$10.57$11.33$10.88$10.65
Max Pain$11.25$11.25$11.25$11.25$11.25
ATM IV33.2%31.0%37.2%37.2%33.7%
Expected Move9.5%8.9%10.7%10.7%9.7%
HV 20d32.2%24.2%35.6%34.0%24.2%
HV 60d34.7%28.8%41.7%41.7%28.9%
IV Rank34.9%29.9%44.0%44.0%36.1%
IV Percentile55.3%36.5%82.5%82.5%63.1%
Term Structure-1.4%-4.5%0.7%-1.4%-1.2%
VWIV34.3%31.0%44.8%37.3%44.8%
Skew 25d1.0%-10.6%5.6%-1.5%4.2%
Skew 10d2.0%-16.5%12.4%2.8%-3.3%
Call IV 25d33.2%27.7%37.7%37.7%32.8%
Put IV 25d34.2%23.9%38.5%36.2%36.9%
Bid-Ask Spread %27.3515.7458.2429.0627.69
Gamma HHI0.320.280.390.310.35
Net GEX-82.4K-180.2K33.9K33.9K-106.1K
Net DEX-1.1M-4.9M3.4M-3.2M950.8K
Net VEX-57.2K-61.5K-52.2K-54.7K-55.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.090.1134.431.160.72
Total Volume1,242.2861484,908960592
Total OI51,285.90544,80859,14847,17646,516

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$10.88$11.2537.2%10.7%34.0%44.0%37.3%-1.5%-1.4%33.9K-3.2M-54.7K1.1629.06N/AN/A44451627,17620,000
2010-11-02$11.01$11.2535.4%10.1%34.3%39.8%35.4%2.5%-0.2%22.0K-3.6M-54.2K0.3427.34N/AN/A1886427,23219,988
2010-11-03$11.09$11.2535.2%10.1%33.9%39.4%35.2%2.1%0.4%32.5K-4.5M-54.2K0.9625.68N/AN/A68065627,30420,016
2010-11-04$11.05$11.2532.2%9.2%33.9%32.6%32.2%-10.6%0.7%5.2K-4.0M-52.2K18.1742.87N/AN/A2564,65227,49620,484
2010-11-05$11.15$11.2531.8%9.3%33.4%31.6%33.2%2.1%-1.1%-45.9K-3.9M-58.7K9.7815.74N/AN/A2202,15227,47623,804
2010-11-08$10.98$11.2535.0%9.4%33.7%38.9%34.2%1.6%-1.5%-99.4K-2.0M-58.9K34.4317.34N/AN/A2896427,48025,056
2010-11-09$10.98$11.2532.0%9.3%33.5%32.1%34.0%2.0%-1.1%-133.2K-1.7M-59.0K1.2320.49N/AN/A64078427,42825,856
2010-11-10$11.33$11.2531.4%9.5%35.1%30.9%33.5%0.8%-4.5%-105.5K-4.9M-59.8K0.1122.77N/AN/A2,36825627,77626,540
2010-11-11$11.08$11.2532.5%9.3%35.6%33.3%32.6%1.7%-1.7%-132.9K-2.6M-61.5K13.1017.58N/AN/A4052429,36826,660
2010-11-12$10.96$11.2533.5%9.6%35.5%35.5%33.7%0.6%-2.8%-157.5K-975.7K-60.6K5.2219.88N/AN/A14877229,38426,728
2010-11-15$10.98$11.2534.1%9.8%35.5%36.9%33.8%1.2%-1.9%-180.2K-1.3M-59.6K0.0019.93N/AN/A014829,35627,176
2010-11-16$10.80$11.2533.7%9.7%33.4%36.1%34.6%0.0%-1.6%-176.3K1.1M-57.3K1.4418.94N/AN/A63291229,35627,268
2010-11-17$10.57$11.2533.6%9.6%33.7%35.7%32.6%0.7%-2.2%-124.4K3.4M-56.8K7.1327.06N/AN/A3122,22429,66027,876
2010-11-18$10.70$11.2531.0%8.9%34.1%30.0%32.1%-0.1%-2.0%-151.5K3.0M-59.0K5.8858.24N/AN/A10058829,71629,432
2010-11-19$10.71$11.2531.0%8.9%33.8%29.9%31.0%0.2%-0.9%-97.7K2.8M-58.6K1.2824.62N/AN/A26033229,78029,184
2010-11-22$10.85$11.2531.4%9.0%32.4%30.8%31.5%4.3%-0.5%-57.4K-745.9K-55.4K1.0343.90N/AN/A47649222,04422,764
2010-11-23$10.59$11.2535.1%10.1%28.3%39.1%31.5%3.4%-1.6%-105.4K1.3M-56.7K1.2330.80N/AN/A51663622,46022,968
2010-11-24$10.79$11.2531.5%9.0%29.3%30.9%31.5%0.4%-1.0%-58.0K-212.6K-57.3K0.9630.21N/AN/A30829622,43623,400
2010-11-26$10.84$11.2532.8%9.4%25.0%34.0%35.0%5.6%-1.7%-37.3K-521.6K-56.9K2.1222.37N/AN/A20844022,69623,364
2010-11-29$10.83$11.2533.0%9.5%24.2%34.5%40.0%0.7%-1.2%-55.2K-368.1K-55.0K15.5031.90N/AN/A1624822,86023,440
2010-11-30$10.65$11.2533.7%9.7%24.2%36.1%44.8%4.2%-1.2%-106.1K950.8K-55.6K0.7227.69N/AN/A34424822,86823,648