OTEX Options History — February 2011

In February 2011, OTEX traded between $12.54 and $14.76. ATM implied volatility averaged 28.8%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 9.3% (HV 20d: 38.1%). Max pain ranged from $11.25 to $13.75. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 1.47.

Notable Days

  • 2011-02-03: Highest Volume — 14,732 contracts
  • 2011-02-03: Largest IV drop — 34.6% change
  • 2011-02-02: Highest IV Rank — 62.4%
  • 2011-02-02: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.21$12.54$14.76$12.54$14.73
Max Pain$13.36$11.25$13.75$11.25$13.75
ATM IV28.8%23.4%45.2%37.4%27.1%
Expected Move8.4%7.4%13.0%10.7%7.8%
HV 20d38.1%19.3%41.6%19.5%39.1%
HV 60d26.8%20.2%28.7%20.2%26.7%
IV Rank24.8%12.4%62.4%44.4%21.0%
IV Percentile26.6%4.8%98.0%84.5%17.5%
Term Structure1.6%-10.5%5.7%-5.6%1.7%
VWIV29.4%26.0%44.6%37.4%27.2%
Skew 25d0.7%-3.0%4.7%2.5%0.2%
Skew 10d2.0%-8.3%14.5%7.5%-2.2%
Call IV 25d29.2%25.6%42.0%37.9%27.7%
Put IV 25d29.9%25.7%46.7%40.4%27.9%
Bid-Ask Spread %24.3516.1345.5518.0328.31
Gamma HHI0.420.300.680.480.32
Net GEX182.9K-115.5K476.3K315.3K-2.9K
Net DEX-13.7M-20.7M-4.3M-8.4M-8.0M
Net VEX-41.6K-58.5K-25.8K-28.0K-55.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.470.189.961.240.21
Total Volume3,422.52644014,7321,1721,156
Total OI38,933.89527,41252,21227,52433,952

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-02-01$12.54$11.2537.4%10.7%19.5%44.4%37.4%2.5%-5.6%315.3K-8.4M-28.0K1.2418.03N/AN/A52464813,68813,836
2011-02-02$12.70$11.2545.2%13.0%19.3%62.4%44.6%4.7%-10.5%302.3K-9.1M-29.4K0.7919.60N/AN/A5,3404,20014,09614,228
2011-02-03$14.06$11.2529.6%8.5%39.7%26.7%30.2%0.7%0.8%427.7K-18.9M-25.8K0.7422.15N/AN/A8,4606,27217,07217,180
2011-02-04$13.91$13.7528.7%8.8%40.3%24.6%31.8%1.5%1.1%339.4K-15.5M-32.1K0.4127.00N/AN/A1,10845618,75619,528
2011-02-07$13.96$13.7529.5%8.6%40.0%26.6%29.0%2.7%1.7%353.6K-16.2M-31.5K0.4227.49N/AN/A58024419,43619,740
2011-02-08$14.38$13.7529.5%8.3%40.3%26.5%29.9%-0.4%1.7%383.9K-18.9M-29.3K0.4616.24N/AN/A1,12852019,32021,356
2011-02-09$14.52$13.7523.4%8.6%40.2%12.4%30.1%0.6%1.7%418.8K-20.1M-29.4K0.1945.55N/AN/A1,06820419,69620,040
2011-02-10$14.59$13.7528.8%8.3%40.0%24.9%29.1%1.1%2.7%448.6K-20.7M-29.2K0.1829.54N/AN/A3726820,07620,092
2011-02-11$14.63$13.7526.4%7.6%40.0%19.3%27.2%0.9%4.3%476.3K-20.7M-29.1K9.9619.79N/AN/A9529,48019,94420,124
2011-02-14$14.76$13.7526.9%7.7%39.8%20.6%27.5%1.2%3.3%323.7K-19.6M-42.9K3.0316.13N/AN/A7482,26420,16027,952
2011-02-15$14.40$13.7526.0%7.4%41.6%18.4%26.8%0.6%3.1%171.9K-16.0M-50.6K2.6627.19N/AN/A4721,25620,41229,312
2011-02-16$14.48$13.7525.8%7.4%41.2%18.1%26.4%1.2%4.1%20.6K-16.0M-50.9K0.5430.64N/AN/A1,9041,02420,25630,492
2011-02-17$14.41$13.7525.9%7.4%41.1%18.3%26.0%0.2%3.5%-62.0K-15.3M-51.5K0.5328.95N/AN/A1,05656021,04031,172
2011-02-18$14.43$13.7525.7%7.4%40.1%17.8%26.3%0.2%3.8%-73.3K-15.1M-51.2K1.2623.06N/AN/A29236820,99631,172
2011-02-22$14.24$13.7528.1%8.1%40.8%23.3%27.2%-3.0%5.7%-108.0K-4.3M-51.9K2.2116.29N/AN/A2,2444,96811,43215,980
2011-02-23$14.28$13.7528.0%8.0%40.7%23.1%27.3%-0.7%4.2%-95.4K-4.4M-57.8K0.9819.65N/AN/A1,4521,41613,13617,624
2011-02-24$14.41$13.7527.8%8.0%40.3%22.5%28.0%-0.2%1.0%-115.5K-5.5M-58.5K0.8019.78N/AN/A87270014,05618,840
2011-02-25$14.60$13.7526.6%7.6%39.7%19.8%26.8%-0.3%1.2%-50.1K-7.2M-56.5K1.3327.22N/AN/A28037214,51219,040
2011-02-28$14.73$13.7527.1%7.8%39.1%21.0%27.2%0.2%1.7%-2.9K-8.0M-55.1K0.2128.31N/AN/A95220414,71219,240