OTEX Options History — July 2011

In July 2011, OTEX traded between $16.16 and $17.37. ATM implied volatility averaged 33.7%, placing in the 36.0% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 4.4% (HV 20d: 29.3%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.54.

Notable Days

2011-07-14: Highest Volume — 3,168 contracts
2011-07-11: Largest IV spike — 51.0% change
2011-07-29: Highest IV Rank — 61.3%
2011-07-29: Largest Expected Move — 12.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.93	$16.16	$17.37	$16.16	$16.89
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	33.7%	21.9%	44.8%	21.9%	44.8%
Expected Move	10.4%	6.3%	12.8%	6.3%	12.8%
HV 20d	29.3%	25.9%	31.0%	28.9%	29.5%
HV 60d	27.3%	25.8%	29.3%	26.0%	26.6%
IV Rank	36.0%	9.1%	61.3%	9.1%	61.3%
IV Percentile	60.8%	2.4%	97.6%	2.4%	97.6%
Term Structure	-1.6%	-7.5%	7.7%	7.7%	-7.5%
VWIV	36.3%	21.9%	45.4%	21.9%	45.4%
Skew 25d	2.1%	-0.9%	5.3%	5.3%	0.4%
Skew 10d	5.5%	-2.9%	18.6%	8.8%	3.7%
Call IV 25d	35.3%	18.8%	44.0%	18.8%	44.0%
Put IV 25d	37.5%	24.1%	44.4%	24.1%	44.4%
Bid-Ask Spread %	45.47	21.21	72.48	71.19	41.47
Gamma HHI	0.27	0.25	0.29	0.29	0.29
Net GEX	1.2K	-189.5K	154.7K	-189.5K	-75.3K
Net DEX	-7.2M	-11.2M	-2.3M	-2.3M	-5.2M
Net VEX	-94.0K	-97.0K	-86.1K	-94.0K	-97.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.54	0.18	6.79	2.46	3.41
Total Volume	1,202	336	3,168	872	512
Total OI	50,718.2	48,188	53,024	48,188	52,840

Daily Data (20 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
2011-07-01	$16.16	$15.00	21.9%	6.3%	28.9%	9.1%	21.9%	5.3%	7.7%	-189.5K	-2.3M	-94.0K	2.46	71.19	N/A	N/A	252	620	17,028	31,160
2011-07-05	$16.26	$15.00	24.1%	9.2%	28.6%	14.2%	32.0%	5.1%	0.9%	-92.9K	-3.5M	-95.1K	0.33	59.09	N/A	N/A	1,100	368	17,008	31,276
2011-07-06	$16.71	$15.00	22.1%	9.7%	29.9%	9.6%	33.6%	1.1%	-1.4%	624	-6.5M	-92.3K	0.89	72.48	N/A	N/A	632	560	17,516	31,504
2011-07-07	$16.91	$15.00	25.8%	8.8%	28.8%	18.0%	31.9%	2.7%	-1.0%	107.7K	-8.5M	-94.7K	0.49	49.29	N/A	N/A	1,228	604	17,752	31,604
2011-07-08	$16.89	$15.00	22.6%	9.2%	28.9%	10.7%	32.3%	0.9%	-1.1%	112.5K	-8.7M	-91.8K	0.70	26.96	N/A	N/A	440	308	17,940	31,480
2011-07-11	$16.34	$15.00	34.1%	9.6%	26.7%	36.9%	33.1%	1.8%	-0.8%	-76.3K	-4.0M	-94.2K	0.47	59.15	N/A	N/A	472	224	17,756	31,624
2011-07-12	$16.32	$15.00	23.4%	9.6%	25.9%	12.6%	33.7%	1.1%	-1.0%	-96.8K	-3.3M	-93.4K	0.50	28.11	N/A	N/A	256	128	17,648	31,748
2011-07-13	$17.30	$15.00	31.6%	10.6%	31.0%	31.2%	35.3%	-0.9%	-3.8%	118.2K	-10.8M	-86.1K	4.05	54.23	N/A	N/A	416	1,684	17,700	31,812
2011-07-14	$17.17	$15.00	37.7%	10.8%	30.4%	45.3%	36.8%	2.5%	-3.7%	154.7K	-11.2M	-90.0K	0.92	42.94	N/A	N/A	1,652	1,516	17,604	32,956
2011-07-15	$17.18	$15.00	36.9%	10.6%	29.8%	43.5%	37.8%	1.2%	-0.8%	110.5K	-10.0M	-93.0K	0.63	31.46	N/A	N/A	1,176	740	18,228	33,792
2011-07-18	$17.05	$15.00	38.9%	11.2%	30.2%	48.0%	39.7%	2.6%	-1.9%	-4.5K	-7.5M	-96.1K	5.62	28.04	N/A	N/A	180	1,012	17,664	32,940
2011-07-19	$17.26	$15.00	36.7%	10.5%	30.2%	42.9%	36.7%	2.3%	-0.5%	45.2K	-8.9M	-96.1K	0.42	28.22	N/A	N/A	2,032	848	17,620	33,600
2011-07-20	$17.05	$15.00	36.9%	10.6%	29.8%	43.3%	38.1%	2.8%	-1.1%	-25.7K	-7.3M	-96.1K	0.23	37.56	N/A	N/A	460	108	17,236	34,328
2011-07-21	$17.19	$15.00	37.4%	10.7%	29.4%	44.4%	38.7%	2.1%	-2.3%	5.8K	-8.2M	-96.0K	0.18	62.35	N/A	N/A	464	84	17,140	34,352
2011-07-22	$17.37	$15.00	36.8%	10.6%	29.5%	43.2%	36.9%	2.3%	-0.8%	57.0K	-9.3M	-92.1K	1.52	63.44	N/A	N/A	396	600	17,228	34,296
2011-07-25	$17.21	$15.00	38.7%	11.1%	29.0%	47.5%	38.5%	2.6%	-2.1%	-19.3K	-7.6M	-95.5K	6.79	31.20	N/A	N/A	112	760	16,940	34,884
2011-07-26	$17.35	$15.00	41.6%	11.9%	29.0%	54.1%	41.6%	3.8%	-4.0%	-27.6K	-8.1M	-94.5K	0.29	47.38	N/A	N/A	260	76	16,984	35,464
2011-07-27	$17.01	$15.00	39.8%	11.4%	29.9%	50.1%	39.9%	1.7%	-3.0%	-58.7K	-6.3M	-95.1K	0.43	21.21	N/A	N/A	692	296	17,220	35,468
2011-07-28	$17.05	$15.00	41.7%	12.0%	29.8%	54.4%	42.0%	1.1%	-3.6%	-21.9K	-6.5M	-96.2K	0.51	53.59	N/A	N/A	512	260	17,560	35,464
2011-07-29	$16.89	$15.00	44.8%	12.8%	29.5%	61.3%	45.4%	0.4%	-7.5%	-75.3K	-5.2M	-97.0K	3.41	41.47	N/A	N/A	116	396	17,384	35,456