OTEX Options History — March 2011

In March 2011, OTEX traded between $13.93 and $15.58. ATM implied volatility averaged 27.7%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 1.1% (HV 20d: 28.8%). Max pain ranged from $13.75 to $13.75. Net GEX was positive for 3 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 3.58.

Notable Days

2011-03-30: Highest Volume — 9,128 contracts
2011-03-10: Largest IV spike — 16.9% change
2011-03-16: Highest IV Rank — 30.6%
2011-03-16: Largest Expected Move — 9.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.44	$13.93	$15.58	$14.13	$15.58
Max Pain	$13.75	$13.75	$13.75	$13.75	$13.75
ATM IV	27.7%	24.9%	31.3%	28.5%	27.8%
Expected Move	8.1%	7.3%	9.0%	8.2%	8.0%
HV 20d	28.8%	25.1%	43.4%	43.0%	26.1%
HV 60d	29.8%	28.2%	31.1%	28.2%	30.9%
IV Rank	22.4%	16.0%	30.6%	24.1%	22.6%
IV Percentile	19.5%	6.3%	39.3%	22.2%	16.7%
Term Structure	4.5%	0.6%	7.4%	0.6%	6.5%
VWIV	27.7%	24.4%	31.2%	29.0%	27.3%
Skew 25d	2.0%	-3.8%	7.6%	-3.6%	1.6%
Skew 10d	7.6%	-4.8%	19.4%	-4.8%	10.3%
Call IV 25d	27.1%	19.7%	30.9%	29.3%	26.8%
Put IV 25d	29.1%	25.1%	33.7%	25.6%	28.4%
Bid-Ask Spread %	26.56	16.60	50.23	18.55	16.60
Gamma HHI	0.42	0.22	0.73	0.42	0.24
Net GEX	-258.9K	-808.6K	159.1K	-211.2K	120.9K
Net DEX	-4.7M	-10.5M	-764.0K	-3.5M	-10.5M
Net VEX	-54.2K	-65.7K	-46.5K	-59.7K	-65.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.58	0.08	23.34	0.53	2.00
Total Volume	1,877.913	224	9,128	632	7,276
Total OI	33,869.217	26,752	40,620	34,380	40,620

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2011-03-01	$14.13	$13.75	28.5%	8.2%	43.0%	24.1%	29.0%	-3.6%	0.6%	-211.2K	-3.5M	-59.7K	0.53	18.55	N/A	N/A	412	220	14,956	19,424
2011-03-02	$14.22	$13.75	27.6%	7.9%	42.9%	22.0%	28.5%	-1.7%	2.0%	-200.8K	-4.0M	-58.6K	0.65	20.08	N/A	N/A	192	124	15,252	19,524
2011-03-03	$14.60	$13.75	25.9%	7.4%	43.4%	18.3%	24.4%	2.9%	2.3%	-29.4K	-7.4M	-54.4K	0.14	20.61	N/A	N/A	196	28	15,316	19,612
2011-03-04	$14.66	$13.75	24.9%	8.0%	25.1%	16.0%	28.0%	2.0%	3.9%	11.1K	-8.0M	-53.6K	0.78	21.21	N/A	N/A	1,092	848	15,312	19,604
2011-03-07	$14.19	$13.75	27.1%	8.4%	27.6%	20.9%	28.9%	2.4%	3.2%	-270.9K	-4.1M	-56.3K	2.76	23.87	N/A	N/A	476	1,312	15,036	20,208
2011-03-08	$14.42	$13.75	26.4%	8.4%	28.1%	19.4%	29.0%	1.9%	4.3%	-157.0K	-5.4M	-53.9K	0.24	26.13	N/A	N/A	444	108	14,792	20,312
2011-03-09	$14.15	$13.75	26.3%	8.3%	27.0%	19.1%	29.1%	1.9%	4.1%	-392.1K	-3.2M	-55.1K	15.00	26.23	N/A	N/A	20	300	14,484	20,324
2011-03-10	$14.04	$13.75	30.7%	8.8%	26.8%	29.2%	27.6%	2.2%	4.1%	-456.0K	-1.9M	-55.7K	3.72	50.23	N/A	N/A	488	1,816	14,488	20,376
2011-03-11	$14.09	$13.75	29.4%	8.4%	26.7%	26.2%	29.3%	2.9%	4.6%	-480.4K	-2.6M	-56.2K	5.08	35.59	N/A	N/A	144	732	14,480	21,204
2011-03-14	$14.03	$13.75	29.8%	8.6%	26.7%	27.2%	29.7%	2.6%	4.0%	-655.0K	-1.8M	-55.0K	9.33	24.65	N/A	N/A	60	560	14,508	21,644
2011-03-15	$13.94	$13.75	28.0%	8.0%	26.4%	22.9%	28.0%	1.6%	4.5%	-805.7K	-764.0K	-52.7K	1.82	38.11	N/A	N/A	220	400	14,504	21,756
2011-03-16	$13.93	$13.75	31.3%	9.0%	25.1%	30.6%	31.2%	2.9%	4.0%	-808.6K	-790.2K	-54.5K	0.65	28.07	N/A	N/A	636	412	14,476	21,616
2011-03-17	$14.04	$13.75	30.6%	8.8%	25.2%	29.0%	27.5%	2.7%	3.3%	-790.8K	-2.5M	-52.9K	2.68	28.66	N/A	N/A	384	1,028	14,576	21,704
2011-03-18	$14.03	$13.75	29.1%	8.3%	25.2%	25.6%	29.1%	1.5%	5.0%	-462.0K	-3.5M	-52.2K	1.37	22.31	N/A	N/A	140	192	14,576	21,960
2011-03-21	$14.39	$13.75	29.6%	8.5%	26.9%	26.6%	26.3%	-3.8%	3.4%	-113.9K	-4.4M	-46.9K	1.43	34.70	N/A	N/A	644	924	10,556	16,196
2011-03-22	$14.39	$13.75	26.1%	7.5%	26.5%	18.8%	25.4%	2.6%	6.3%	-84.0K	-4.5M	-47.6K	0.97	27.43	N/A	N/A	252	244	10,988	16,440
2011-03-23	$14.43	$13.75	26.3%	7.5%	26.5%	19.1%	26.7%	0.9%	5.7%	-86.8K	-4.6M	-48.0K	0.31	28.62	N/A	N/A	628	196	11,148	16,552
2011-03-24	$14.76	$13.75	25.4%	7.3%	27.5%	17.1%	26.0%	7.6%	7.4%	-22.1K	-6.5M	-46.5K	23.34	25.33	N/A	N/A	140	3,268	11,360	16,712
2011-03-25	$14.74	$13.75	25.4%	7.3%	27.1%	17.1%	25.7%	6.7%	6.3%	-72.5K	-5.6M	-55.2K	7.84	22.90	N/A	N/A	252	1,976	11,444	19,580
2011-03-28	$14.60	$13.75	25.9%	7.4%	27.2%	18.2%	26.5%	4.7%	6.1%	-124.8K	-4.4M	-58.7K	0.39	28.53	N/A	N/A	460	180	11,464	21,204
2011-03-29	$15.27	$13.75	27.5%	7.9%	27.2%	21.9%	27.3%	1.8%	6.7%	-21.9K	-7.8M	-52.9K	0.08	20.12	N/A	N/A	4,280	360	11,548	21,320
2011-03-30	$15.46	$13.75	28.0%	8.0%	27.4%	22.9%	27.3%	2.5%	4.9%	159.1K	-10.3M	-55.2K	1.22	22.32	N/A	N/A	4,104	5,024	14,344	21,492
2011-03-31	$15.58	$13.75	27.8%	8.0%	26.1%	22.6%	27.3%	1.6%	6.5%	120.9K	-10.5M	-65.7K	2.00	16.60	N/A	N/A	2,428	4,848	15,760	24,860