OTEX Options History — December 2010

In December 2010, OTEX traded between $10.81 and $11.87. ATM implied volatility averaged 30.1%, placing in the 27.9% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 10.4% (HV 20d: 19.7%). Max pain ranged from $10.00 to $11.25. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.88.

Notable Days

  • 2010-12-07: Highest Volume — 3,364 contracts
  • 2010-12-13: Largest IV spike — 14.5% change
  • 2010-12-13: Highest IV Rank — 35.0%
  • 2010-12-01: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.50$10.81$11.87$10.81$11.52
Max Pain$10.17$10.00$11.25$11.25$10.00
ATM IV30.1%28.4%33.2%32.0%28.7%
Expected Move8.6%8.1%9.2%9.2%8.2%
HV 20d19.7%13.5%25.5%24.5%14.1%
HV 60d27.2%25.4%29.1%28.9%25.4%
IV Rank27.9%23.9%35.0%32.1%24.7%
IV Percentile33.8%22.6%58.7%45.6%22.6%
Term Structure3.9%-1.4%7.1%-0.9%6.2%
VWIV27.6%18.5%31.8%27.8%25.7%
Skew 25d0.8%-4.0%7.0%4.5%-4.0%
Skew 10d5.1%-7.3%12.7%10.9%-7.3%
Call IV 25d29.5%27.4%31.7%30.7%30.1%
Put IV 25d30.3%26.1%35.3%35.2%26.1%
Bid-Ask Spread %22.3310.3288.3915.7710.32
Gamma HHI0.290.270.340.340.30
Net GEX263.4K-73.9K426.9K-73.9K369.3K
Net DEX-7.5M-11.3M-284.2K-284.2K-8.0M
Net VEX-46.1K-54.3K-37.7K-54.0K-37.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.007.200.427.20
Total Volume853.09183,3641,224164
Total OI49,308.72746,58855,70846,58847,636

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$10.81$11.2532.0%9.2%24.5%32.1%27.8%4.5%-0.9%-73.9K-284.2K-54.0K0.4215.77N/AN/A86036422,89223,696
2010-12-02$11.00$11.2531.8%9.1%25.1%31.7%31.8%7.0%-1.4%4.5K-1.9M-54.3K0.6521.34N/AN/A45229623,60423,736
2010-12-03$11.01$11.2529.6%8.5%25.1%26.7%27.7%5.3%-0.0%14.8K-2.2M-53.6K2.0826.33N/AN/A4810024,05223,696
2010-12-06$11.16$10.0032.9%8.6%25.5%34.1%30.1%1.8%2.6%67.4K-3.5M-50.3K0.1817.74N/AN/A89216024,02823,716
2010-12-07$11.25$10.0031.5%9.0%24.9%30.9%27.0%0.4%3.2%126.6K-4.8M-50.9K0.0013.65N/AN/A3,360424,79223,652
2010-12-08$11.29$10.0029.0%8.6%24.9%25.4%30.0%-0.4%4.8%173.8K-5.4M-51.7K0.5716.75N/AN/A46026027,44023,648
2010-12-09$11.36$10.0029.5%8.6%22.4%26.5%30.5%1.0%4.2%203.4K-6.1M-50.4K1.1214.75N/AN/A16418427,57223,616
2010-12-10$11.54$10.0029.0%8.4%21.4%25.4%30.4%1.0%4.1%286.7K-7.8M-48.7K0.9414.62N/AN/A65261627,64823,532
2010-12-13$11.56$10.0033.2%8.6%20.9%35.0%26.8%0.7%3.8%271.1K-8.0M-47.4K0.8317.62N/AN/A57247627,99623,704
2010-12-14$11.74$10.0031.7%8.6%21.4%31.4%30.2%0.3%4.4%315.2K-10.2M-45.9K0.6222.99N/AN/A87254428,50424,112
2010-12-15$11.62$10.0030.0%8.6%20.7%27.7%30.8%0.3%3.4%255.0K-9.0M-46.8K0.0220.21N/AN/A3,0445228,65624,288
2010-12-16$11.59$10.0029.8%8.5%18.5%27.2%30.4%0.8%5.0%283.9K-8.8M-48.3K0.1122.23N/AN/A5646431,40024,244
2010-12-17$11.71$10.0029.9%8.6%18.5%27.3%29.8%1.7%3.7%303.6K-10.0M-45.7K0.4319.92N/AN/A1406031,48824,220
2010-12-20$11.78$10.0028.8%8.2%18.4%24.8%27.9%-0.9%5.2%387.6K-10.2M-43.9K0.2315.49N/AN/A1,27628824,24822,516
2010-12-21$11.87$10.0029.0%8.3%18.3%25.3%28.9%1.6%5.3%426.9K-11.3M-42.9K0.3319.92N/AN/A42414024,67222,600
2010-12-22$11.75$10.0028.4%8.1%15.8%23.9%27.2%2.3%7.1%401.2K-10.2M-42.8K0.2327.23N/AN/A2084824,23622,704
2010-12-23$11.75$10.0028.6%8.2%15.0%24.5%18.5%-0.8%5.2%398.1K-9.9M-42.4K0.0920.93N/AN/A2202024,25622,712
2010-12-27$11.71$10.0029.7%8.5%15.3%27.0%18.6%-1.9%4.4%392.0K-9.5M-40.1K2.4288.39N/AN/A4811624,47622,720
2010-12-28$11.62$10.0030.8%8.8%15.8%29.3%0.0%-0.0%6.0%376.3K-9.0M-39.7K0.0021.32N/AN/A8024,52422,756
2010-12-29$11.71$10.0029.0%8.3%13.9%25.4%21.9%-1.8%6.1%400.0K-9.4M-38.0K0.0321.57N/AN/A3521224,52422,756
2010-12-30$11.69$10.0029.8%8.5%13.5%27.1%0.0%-1.3%4.1%410.5K-9.6M-37.9K0.0022.08N/AN/A018424,76822,756
2010-12-31$11.52$10.0028.7%8.2%14.1%24.7%25.7%-4.0%6.2%369.3K-8.0M-37.7K7.2010.32N/AN/A2014424,76822,868