OTEX Options History — May 2011

In May 2011, OTEX traded between $15.13 and $16.31. ATM implied volatility averaged 27.2%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 0.3% (HV 20d: 26.9%). Max pain ranged from $13.75 to $16.25. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2011-05-31: Highest Volume — 1,932 contracts
  • 2011-05-25: Largest IV spike — 30.7% change
  • 2011-05-16: Highest IV Rank — 26.2%
  • 2011-05-09: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.57$15.13$16.31$15.39$16.31
Max Pain$15.77$13.75$16.25$13.75$16.25
ATM IV27.2%21.6%30.5%27.6%27.2%
Expected Move7.9%6.2%9.0%7.9%7.8%
HV 20d26.9%20.2%29.6%29.0%21.2%
HV 60d26.9%25.7%27.6%27.1%26.0%
IV Rank18.4%5.2%26.2%19.5%18.4%
IV Percentile15.6%0.4%36.9%13.5%14.3%
Term Structure2.7%-0.9%10.5%3.1%-0.4%
VWIV28.5%26.2%32.1%28.1%27.4%
Skew 25d0.3%-6.6%5.3%-0.7%-0.2%
Skew 10d1.9%-8.2%16.4%-3.4%1.2%
Call IV 25d28.9%21.3%32.0%29.9%28.2%
Put IV 25d29.2%25.4%31.7%29.2%28.0%
Bid-Ask Spread %42.3222.3082.8425.1178.44
Gamma HHI0.250.210.360.230.24
Net GEX-305.5K-600.9K-41.2K-389.6K-41.2K
Net DEX-3.3M-8.8M2.5M-4.3M-2.0M
Net VEX-76.8K-88.4K-63.4K-85.4K-63.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.042.070.560.28
Total Volume807.4292241,9321,0961,932
Total OI51,914.09534,93258,94057,68436,188

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$15.39$13.7527.6%7.9%29.0%19.5%28.1%-0.7%3.1%-389.6K-4.3M-85.4K0.5625.11N/AN/A70439221,72435,960
2011-05-03$15.23$13.7528.0%8.0%29.0%20.4%29.9%1.4%3.2%-466.5K-2.5M-88.4K0.8122.30N/AN/A90472821,67636,260
2011-05-04$15.13$13.7526.2%7.5%27.3%16.1%26.2%-0.6%3.9%-548.6K-1.6M-87.3K0.7132.74N/AN/A41229221,97236,332
2011-05-05$15.26$13.7526.1%7.5%27.5%15.9%27.4%-0.1%5.0%-502.2K-3.1M-85.6K0.7039.56N/AN/A29220422,08436,272
2011-05-06$15.29$16.2526.2%8.4%27.1%16.1%29.9%-0.1%2.2%-447.2K-3.5M-85.3K1.1129.07N/AN/A46852022,08436,272
2011-05-09$15.40$16.2527.9%9.0%27.2%20.1%32.1%1.2%0.7%-413.5K-4.1M-81.4K0.8629.34N/AN/A28424422,07636,436
2011-05-10$15.87$16.2527.3%8.4%28.6%18.7%30.0%-1.0%2.9%-120.9K-8.8M-77.5K0.1729.64N/AN/A1,42024822,12436,364
2011-05-11$15.57$16.2527.3%8.4%29.6%18.7%29.3%1.3%2.7%-308.1K-5.9M-80.1K0.6930.36N/AN/A35224422,03236,292
2011-05-12$15.65$16.2529.6%8.5%28.6%24.1%29.7%1.1%2.4%-242.6K-6.5M-80.4K0.0533.04N/AN/A1,0445622,17636,284
2011-05-13$15.49$16.2529.4%8.4%28.7%23.6%29.5%0.8%2.5%-309.1K-5.6M-79.1K0.3123.04N/AN/A38812022,51236,308
2011-05-16$15.43$16.2530.5%8.7%28.4%26.2%30.6%0.7%1.6%-388.3K-5.6M-73.2K0.6734.20N/AN/A87658422,56436,376
2011-05-17$15.20$16.2529.9%8.6%28.8%24.9%29.3%1.8%2.6%-600.9K-3.0M-78.0K0.3023.36N/AN/A77222822,84036,024
2011-05-18$15.43$16.2528.3%8.1%29.5%21.1%28.0%1.5%3.1%-418.1K-5.2M-76.7K0.3724.66N/AN/A1646022,79236,072
2011-05-19$15.81$16.2527.8%8.0%29.0%19.7%28.4%0.9%3.6%-58.0K-8.1M-73.2K1.1582.84N/AN/A24828422,56435,756
2011-05-20$15.82$16.2527.3%7.8%27.6%18.7%27.9%0.2%4.2%-95.7K-8.1M-72.2K0.2356.76N/AN/A3167222,58035,908
2011-05-23$15.62$16.2521.6%6.2%27.4%5.2%26.3%-6.6%10.5%-253.9K2.5M-69.4K2.0755.63N/AN/A16834811,23223,700
2011-05-24$15.63$16.2521.7%6.2%25.3%5.4%27.0%0.7%0.8%-235.6K2.1M-70.0K0.0449.72N/AN/A4401611,37223,892
2011-05-25$15.66$16.2528.3%8.1%24.8%21.1%27.8%-0.1%1.6%-223.2K2.0M-70.2K0.8135.25N/AN/A17214011,67623,904
2011-05-26$15.83$16.2525.7%7.4%20.3%14.9%26.4%-1.5%1.7%-185.6K1.6M-71.4K1.6479.34N/AN/A15625611,64424,028
2011-05-27$15.98$16.2527.1%7.8%20.2%18.2%26.8%5.3%-0.9%-167.2K-131.9K-64.1K0.9674.33N/AN/A20820011,74024,104
2011-05-31$16.31$16.2527.2%7.8%21.2%18.4%27.4%-0.2%-0.4%-41.2K-2.0M-63.4K0.2878.44N/AN/A1,51242011,93224,256