OTEX Options History — June 2011

In June 2011, OTEX traded between $14.61 and $16.36. ATM implied volatility averaged 25.8%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 0.3% (HV 20d: 25.5%). Max pain ranged from $15.00 to $16.25. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.63.

Notable Days

  • 2011-06-30: Highest Volume — 15,852 contracts
  • 2011-06-06: Largest IV spike — 39.5% change
  • 2011-06-16: Highest IV Rank — 23.0%
  • 2011-06-16: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.36$14.61$16.36$16.36$16.00
Max Pain$15.80$15.00$16.25$16.25$15.00
ATM IV25.8%17.9%29.1%27.5%23.0%
Expected Move7.5%5.1%8.3%7.9%6.6%
HV 20d25.5%19.9%29.6%20.6%29.6%
HV 60d26.4%24.9%28.0%25.0%25.9%
IV Rank15.5%0.0%23.0%19.2%11.7%
IV Percentile14.1%0.0%35.3%16.7%3.2%
Term Structure5.2%1.3%12.5%1.6%7.4%
VWIV26.9%22.9%29.3%27.6%23.3%
Skew 25d1.9%-0.1%9.1%0.6%2.6%
Skew 10d4.6%-3.8%23.4%3.4%10.4%
Call IV 25d26.7%21.2%29.8%27.6%21.2%
Put IV 25d28.5%23.8%34.6%28.3%23.8%
Bid-Ask Spread %58.3927.5689.1650.9978.64
Gamma HHI0.310.230.360.250.27
Net GEX-407.9K-635.3K-18.0K-18.0K-251.1K
Net DEX4.4M-3.0M9.4M-3.0M265.3K
Net VEX-58.2K-64.0K-47.8K-57.9K-48.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.630.1216.050.120.99
Total Volume1,251.45512015,85286815,852
Total OI36,244.90934,71238,46036,18034,920

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$16.36$16.2527.5%7.9%20.6%19.2%27.6%0.6%1.6%-18.0K-3.0M-57.9K0.1250.99N/AN/A7769211,80424,376
2011-06-02$16.25$16.2524.9%7.1%20.6%13.0%27.2%0.3%1.3%-47.2K-1.8M-62.2K0.4289.16N/AN/A44018411,90024,436
2011-06-03$15.93$16.2520.6%7.8%22.1%2.9%28.2%1.8%3.2%-118.3K-139.2K-63.6K2.2278.94N/AN/A14432011,97624,540
2011-06-06$15.76$16.2528.8%7.9%22.6%22.2%22.9%0.2%2.8%-235.2K1.7M-64.0K2.8164.94N/AN/A6418011,98024,792
2011-06-07$15.70$16.2522.6%7.7%22.6%7.5%27.8%0.9%4.4%-249.0K1.9M-61.3K1.2049.34N/AN/A10012012,00424,872
2011-06-08$15.39$16.2528.3%7.7%20.9%21.1%26.9%0.9%5.5%-364.0K3.8M-61.9K1.0542.50N/AN/A22423611,98824,912
2011-06-09$15.46$16.2527.6%7.9%19.9%19.3%27.5%0.9%4.4%-363.1K4.1M-63.9K2.0745.18N/AN/A12024811,95224,888
2011-06-10$14.80$16.2525.6%7.3%25.0%14.7%29.0%2.5%5.9%-498.8K7.6M-62.3K1.8246.77N/AN/A52495611,91224,828
2011-06-13$14.61$16.2528.7%8.2%25.1%21.9%28.8%2.5%6.1%-543.9K9.0M-61.8K0.9446.72N/AN/A28827212,19225,296
2011-06-14$15.04$16.2528.4%8.1%27.6%21.2%29.3%2.3%4.3%-499.8K6.3M-60.0K1.1746.43N/AN/A9611212,31225,352
2011-06-15$14.82$16.2527.7%7.9%27.6%19.5%28.4%1.7%5.4%-546.5K7.8M-60.5K0.8546.47N/AN/A13611612,34825,348
2011-06-16$14.65$16.2529.1%8.3%27.1%23.0%28.9%1.6%4.6%-521.8K9.1M-59.5K16.0559.89N/AN/A801,28412,17625,220
2011-06-17$14.71$16.2529.0%8.3%25.3%22.8%28.9%4.1%5.2%-594.7K9.4M-61.2K5.7185.92N/AN/A11264012,24826,212
2011-06-20$14.93$16.2527.6%7.9%26.1%19.4%27.7%-0.1%4.5%-587.8K7.4M-58.7K1.3771.42N/AN/A1201649,93624,776
2011-06-21$15.37$15.0025.8%7.4%28.1%15.0%25.9%0.6%5.8%-491.0K5.0M-57.1K0.5868.74N/AN/A26415210,02024,828
2011-06-22$15.27$15.0025.9%7.4%28.2%15.3%25.6%2.2%6.1%-494.5K5.1M-55.8K1.0062.66N/AN/A606010,22024,932
2011-06-23$15.34$15.0020.4%5.8%28.2%2.4%24.2%9.1%12.5%-635.3K4.4M-47.8K0.7335.09N/AN/A22016010,26024,988
2011-06-24$15.11$15.0027.0%7.7%28.3%17.9%27.0%1.0%5.6%-529.5K6.0M-56.9K6.2027.56N/AN/A2012410,29625,020
2011-06-27$15.16$15.0025.6%7.3%28.1%14.7%25.6%2.1%5.8%-566.4K6.2M-55.3K6.1730.93N/AN/A2161,33210,30825,084
2011-06-28$15.48$15.0026.0%7.5%28.1%15.7%0.0%0.1%3.1%-464.9K4.1M-50.7K1.1781.00N/AN/A14016410,24824,612
2011-06-29$15.68$15.0017.9%5.1%28.5%0.0%25.3%3.0%8.9%-353.8K1.7M-49.2K3.1975.28N/AN/A14847210,36424,712
2011-06-30$16.00$15.0023.0%6.6%29.6%11.7%23.3%2.6%7.4%-251.1K265.3K-48.4K0.9978.64N/AN/A7,9607,89210,36024,560