OTEX Options History — January 2011

In January 2011, OTEX traded between $11.66 and $12.35. ATM implied volatility averaged 31.6%, placing in the 31.3% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 15.4% (HV 20d: 16.2%). Max pain ranged from $10.00 to $11.25. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.85.

Notable Days

  • 2011-01-21: Highest Volume — 3,136 contracts
  • 2011-01-13: Largest IV spike — 35.0% change
  • 2011-01-31: Highest IV Rank — 46.9%
  • 2011-01-31: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.89$11.66$12.35$11.75$12.35
Max Pain$10.94$10.00$11.25$10.00$11.25
ATM IV31.6%22.4%38.5%29.7%38.5%
Expected Move9.7%6.9%11.0%8.5%11.0%
HV 20d16.2%13.6%20.8%15.5%19.9%
HV 60d23.3%19.2%25.7%25.7%20.1%
IV Rank31.3%10.1%46.9%26.9%46.9%
IV Percentile49.4%2.8%86.5%29.4%86.5%
Term Structure0.3%-6.2%17.4%4.0%-5.4%
VWIV34.6%25.1%43.9%30.1%43.9%
Skew 25d2.1%-0.6%5.7%2.1%1.1%
Skew 10d13.8%-3.2%83.9%83.9%22.7%
Call IV 25d33.0%27.3%37.9%30.2%37.9%
Put IV 25d35.0%27.9%39.0%32.3%39.0%
Bid-Ask Spread %20.9615.9726.0418.1923.14
Gamma HHI0.360.280.520.310.52
Net GEX340.2K100.8K517.7K459.1K306.0K
Net DEX-9.4M-13.7M-4.0M-9.9M-7.5M
Net VEX-28.3K-35.3K-22.7K-34.8K-27.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.850.0111.500.110.23
Total Volume826.6323,136320444
Total OI41,349.226,13248,22447,55227,612

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$11.75$10.0029.7%8.5%15.5%26.9%30.1%2.1%4.0%459.1K-9.9M-34.8K0.1118.19N/AN/A2883224,78822,764
2011-01-04$11.66$10.0027.6%7.9%15.3%22.1%29.0%-0.3%8.5%447.1K-9.5M-35.3K4.8520.98N/AN/A5225224,99622,748
2011-01-05$11.70$10.0027.9%8.0%15.2%22.7%28.3%-0.6%7.1%449.7K-9.7M-33.8K0.5618.47N/AN/A1086025,01222,708
2011-01-06$11.84$10.0024.0%6.9%15.6%13.8%0.0%1.5%17.4%492.8K-11.0M-31.9K0.6017.61N/AN/A201224,97222,680
2011-01-07$11.77$10.0023.1%10.1%15.8%11.8%35.7%3.2%-0.4%517.7K-10.3M-31.8K0.1821.07N/AN/A1,27622424,99222,668
2011-01-10$11.70$11.2528.5%10.2%15.2%24.1%34.0%2.7%-0.8%451.7K-9.6M-29.8K1.5021.05N/AN/A7210824,50822,748
2011-01-11$11.76$11.2522.4%10.1%15.2%10.1%34.3%3.1%-0.9%469.0K-10.1M-29.1K8.4720.04N/AN/A6050824,50822,856
2011-01-12$11.74$11.2525.6%10.0%14.2%17.6%35.3%2.6%-0.7%442.8K-10.2M-27.7K5.4319.65N/AN/A2815224,48822,692
2011-01-13$11.76$11.2534.6%9.9%13.6%38.1%35.2%1.9%1.1%408.9K-10.4M-26.3K0.1919.79N/AN/A1,14022024,46822,756
2011-01-14$12.03$11.2535.2%10.1%15.6%39.4%34.9%-0.6%-0.7%442.1K-13.0M-25.7K0.0826.04N/AN/A6845225,28422,700
2011-01-18$12.08$11.2534.7%9.9%15.3%38.2%36.2%2.1%-0.8%473.3K-13.7M-24.5K0.2420.56N/AN/A1,19228825,57222,652
2011-01-19$12.00$11.2534.4%9.8%15.5%37.5%25.1%1.8%-1.6%222.8K-12.7M-23.7K0.0417.38N/AN/A1,2245225,26422,572
2011-01-20$11.91$11.2533.9%9.7%15.5%36.5%40.5%2.2%-1.2%148.1K-12.1M-23.1K0.0125.56N/AN/A436425,17622,572
2011-01-21$11.72$11.2535.5%10.2%16.2%40.2%35.0%1.9%-1.3%100.8K-10.9M-22.7K0.1023.78N/AN/A2,85228424,80422,568
2011-01-24$11.71$11.2536.9%10.6%16.1%43.3%37.4%3.5%-2.9%128.6K-4.2M-28.2K11.5022.94N/AN/A2427612,66413,784
2011-01-25$11.69$11.2536.0%10.3%16.1%41.4%36.1%3.3%-3.0%123.6K-4.0M-27.5K1.1917.79N/AN/A10412412,66813,792
2011-01-26$11.98$11.2533.8%9.7%18.0%36.2%34.2%5.7%-2.3%187.8K-5.4M-26.7K0.4915.97N/AN/A60029212,62413,668
2011-01-27$12.34$11.2534.8%10.0%20.4%38.4%35.6%2.1%-3.2%264.1K-7.0M-26.5K0.2524.15N/AN/A2,04851612,60813,524
2011-01-28$12.22$11.2535.7%10.2%20.8%40.6%37.1%2.1%-6.2%267.9K-7.1M-29.7K0.9624.95N/AN/A21620813,84413,680
2011-01-31$12.35$11.2538.5%11.0%19.9%46.9%43.9%1.1%-5.4%306.0K-7.5M-27.5K0.2323.14N/AN/A3608413,76013,852