OTEX Options History — April 2011

In April 2011, OTEX traded between $15.17 and $16.62. ATM implied volatility averaged 32.3%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 5.1% (HV 20d: 27.2%). Max pain ranged from $13.75 to $13.75. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.94.

Notable Days

  • 2011-04-04: Highest Volume — 10,176 contracts
  • 2011-04-14: Largest IV spike — 81.5% change
  • 2011-04-27: Highest IV Rank — 54.9%
  • 2011-04-27: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.75$15.17$16.62$16.02$15.30
Max Pain$13.75$13.75$13.75$13.75$13.75
ATM IV32.3%19.4%42.6%28.2%28.5%
Expected Move10.0%8.1%12.2%8.1%8.2%
HV 20d27.2%23.8%30.8%27.5%30.7%
HV 60d32.3%31.2%34.0%31.2%34.0%
IV Rank30.3%0.0%54.9%23.4%21.4%
IV Percentile48.2%0.0%93.7%18.7%17.1%
Term Structure-2.5%-7.5%6.5%5.3%1.4%
VWIV35.5%28.3%42.5%28.3%28.8%
Skew 25d1.0%-0.9%5.6%5.6%-0.9%
Skew 10d3.5%-3.8%23.6%23.6%-3.8%
Call IV 25d34.7%22.9%42.4%22.9%29.8%
Put IV 25d35.7%28.4%42.4%28.4%28.9%
Bid-Ask Spread %29.0515.8554.8625.0318.60
Gamma HHI0.210.180.290.290.23
Net GEX-93.5K-427.5K160.3K151.2K-427.5K
Net DEX-8.2M-13.5M-2.8M-13.0M-2.8M
Net VEX-88.7K-95.7K-75.0K-75.0K-90.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.112.260.762.26
Total Volume3,128.860010,1762,4723,364
Total OI53,968.845,52860,12845,52857,740

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$16.02$13.7528.2%8.1%27.5%23.4%28.3%5.6%5.3%151.2K-13.0M-75.0K0.7625.03N/AN/A1,4041,06817,16028,368
2011-04-04$16.08$13.7529.7%10.3%23.8%26.9%35.7%2.1%-3.9%160.3K-13.5M-77.4K0.4226.52N/AN/A7,1643,01217,50428,988
2011-04-05$15.62$13.7533.4%10.4%26.6%35.4%37.0%2.4%-3.7%121.8K-9.9M-91.5K1.4318.64N/AN/A2,5203,61222,65630,604
2011-04-06$15.65$13.7531.2%10.2%25.3%30.3%36.1%1.7%-3.2%89.3K-9.5M-92.3K1.6120.39N/AN/A29647622,52832,688
2011-04-07$15.43$13.7531.0%10.2%25.8%29.8%35.1%2.5%-3.2%23.6K-7.0M-94.3K1.8818.30N/AN/A6081,14022,70832,496
2011-04-08$15.40$13.7530.6%10.3%25.9%20.9%36.4%2.3%-3.9%-30.3K-6.5M-95.7K2.0815.85N/AN/A4841,00822,74833,336
2011-04-11$15.17$13.7529.7%9.9%26.6%18.6%36.3%0.3%-2.5%-200.2K-4.6M-93.8K0.7218.59N/AN/A1,29693623,12433,916
2011-04-12$15.22$13.7529.5%9.9%26.4%18.2%35.0%1.1%-3.4%-224.6K-4.3M-93.1K0.5832.01N/AN/A2,6801,55622,70034,424
2011-04-13$15.57$13.7519.4%10.0%27.1%0.0%35.8%0.4%-3.0%-84.8K-7.4M-93.6K0.1120.95N/AN/A2,67628822,72835,212
2011-04-14$15.64$13.7535.2%10.1%27.0%37.3%37.1%0.7%-4.1%-180.9K-8.6M-93.1K0.8820.13N/AN/A96885624,52035,228
2011-04-15$15.81$13.7534.2%9.8%27.0%35.0%34.5%0.5%-3.1%117.1K-10.1M-91.1K0.6616.61N/AN/A44029224,74035,388
2011-04-18$15.85$13.7534.6%9.9%26.0%35.8%36.1%0.4%-3.3%-191.8K-7.2M-89.8K1.7454.86N/AN/A8201,42417,80031,972
2011-04-19$15.80$13.7534.6%9.9%26.1%35.8%37.0%1.1%-2.5%-230.9K-7.0M-88.8K0.4246.57N/AN/A1,08045217,78433,240
2011-04-20$16.25$13.7535.4%10.2%27.4%37.8%35.9%-0.3%-2.7%-105.7K-9.6M-91.1K0.1537.45N/AN/A5208018,72433,252
2011-04-21$16.62$13.7534.6%9.9%27.4%36.0%35.1%-0.5%-3.4%-11.1K-12.7M-81.2K0.7051.28N/AN/A1,18882818,68433,224
2011-04-25$16.34$13.7537.4%10.7%28.5%42.4%37.9%-0.2%-4.6%-94.6K-10.4M-83.9K0.4427.22N/AN/A96842418,11233,464
2011-04-26$15.85$13.7538.1%10.9%30.8%44.2%39.1%0.4%-4.2%-214.4K-7.0M-86.3K0.3621.58N/AN/A1,69660818,33233,564
2011-04-27$16.05$13.7542.6%12.2%27.1%54.9%42.5%0.0%-7.5%-144.7K-8.6M-83.9K1.0436.77N/AN/A3,3123,45619,15633,484
2011-04-28$15.41$13.7528.5%8.2%30.8%21.5%29.5%-0.3%6.5%-392.2K-4.0M-88.4K0.5753.61N/AN/A4,8162,76020,99636,084
2011-04-29$15.30$13.7528.5%8.2%30.7%21.4%28.8%-0.9%1.4%-427.5K-2.8M-90.5K2.2618.60N/AN/A1,0322,33221,48436,256