OTEX Options History — August 2011 In August 2011, OTEX traded between $12.78 and $16.79. ATM implied volatility averaged 51.2%, placing in the 58.8% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded below realized volatility by 6.3% (HV 20d: 57.6%). Max pain ranged from $15.00 to $16.25. Net GEX was positive for 6 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 3.04.
Notable Days 2011-08-11 : Highest Volume — 9,692 contracts2011-08-08 : Largest IV spike — 46.1% change2011-08-08 : Highest IV Rank — 100.0%2011-08-10 : Largest Expected Move — 17.4%Monthly Statistics Metric Avg Min Max Open Close Price $14.29 $12.78 $16.79 $16.79 $14.75 Max Pain $15.43 $15.00 $16.25 $15.00 $15.00 ATM IV 51.2% 38.3% 79.6% 46.5% 38.3% Expected Move 13.9% 11.0% 17.4% 13.3% 11.0% HV 20d 57.6% 29.5% 70.1% 29.5% 66.8% HV 60d 41.0% 26.6% 47.0% 26.6% 47.0% IV Rank 58.8% 33.1% 100.0% 65.3% 33.1% IV Percentile 95.6% 83.7% 100.0% 98.4% 83.7% Term Structure -3.4% -18.9% 6.8% -2.5% -0.2% VWIV 47.6% 35.9% 56.2% 47.9% 39.1% Skew 25d 6.6% 2.7% 11.2% 4.7% 4.0% Skew 10d 16.1% -19.4% 35.4% 15.2% 11.1% Call IV 25d 45.0% 39.0% 52.2% 44.5% 39.0% Put IV 25d 51.6% 43.0% 59.7% 49.2% 43.0% Bid-Ask Spread % 44.96 22.71 76.67 52.82 39.05 Gamma HHI 0.31 0.17 0.62 0.32 0.21 Net GEX -435.7K -893.0K 134.1K -100.3K 134.1K Net DEX 16.2M -4.5M 34.2M -4.5M 3.5M Net VEX -77.4K -101.8K -56.1K -93.2K -79.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 3.04 0.03 13.77 4.35 0.90 Total Volume 2,837.739 484 9,692 8,180 4,504 Total OI 51,674.087 30,512 64,152 52,780 40,332
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 2011-08-01 $16.79 $15.00 46.5% 13.3% 29.5% 65.3% 47.9% 4.7% -2.5% -100.3K -4.5M -93.2K 4.35 52.82 N/A N/A 1,528 6,652 17,336 35,444 2011-08-02 $15.65 $16.25 46.5% 13.3% 39.0% 65.3% 47.9% 4.3% -3.9% -655.5K 7.8M -101.8K 0.88 53.51 N/A N/A 516 456 17,988 40,228 2011-08-03 $15.84 $16.25 44.3% 12.7% 37.9% 60.2% 45.9% 2.7% -5.0% -703.6K 8.1M -100.5K 4.56 42.76 N/A N/A 364 1,660 18,052 40,368 2011-08-04 $15.07 $16.25 59.6% 17.1% 41.0% 95.2% 56.2% 4.5% -18.9% -722.2K 14.8M -98.7K 0.67 37.30 N/A N/A 396 264 18,188 39,496 2011-08-05 $14.92 $16.25 54.1% 13.4% 41.0% 82.6% 46.4% 5.7% -3.8% -775.5K 17.0M -96.8K 4.78 37.30 N/A N/A 296 1,416 18,368 39,496 2011-08-08 $14.02 $16.25 79.1% 17.1% 44.7% 100.0% 50.6% 7.5% -10.9% -726.9K 23.1M -87.7K 4.76 41.57 N/A N/A 316 1,504 18,368 40,428 2011-08-09 $15.08 $16.25 64.1% 14.3% 53.1% 75.5% 55.7% 8.0% -4.9% -752.5K 15.4M -88.6K 6.19 71.08 N/A N/A 228 1,412 18,380 40,856 2011-08-10 $14.37 $16.25 79.6% 17.4% 49.9% 100.0% 54.3% 7.9% -17.7% -736.2K 19.9M -89.1K 3.47 60.17 N/A N/A 1,612 5,596 18,348 40,800 2011-08-11 $13.04 $16.25 53.7% 15.4% 58.9% 58.0% 54.3% 8.2% -3.3% -893.0K 34.0M -66.9K 13.77 55.88 N/A N/A 656 9,036 19,140 44,484 2011-08-12 $12.78 $15.00 54.7% 15.7% 58.6% 59.7% 48.5% 11.2% -2.5% -810.0K 34.2M -63.0K 6.01 49.81 N/A N/A 284 1,708 19,280 43,820 2011-08-15 $13.50 $15.00 46.5% 13.3% 63.6% 46.3% 45.4% 4.5% 2.5% -633.4K 30.3M -56.1K 1.26 34.08 N/A N/A 1,364 1,716 19,372 42,968 2011-08-16 $13.03 $15.00 44.6% 12.8% 63.5% 43.3% 49.9% 7.3% 6.7% -822.0K 31.9M -59.9K 7.28 25.13 N/A N/A 144 1,048 20,052 43,044 2011-08-17 $13.04 $15.00 43.8% 12.5% 63.7% 41.9% 41.5% 5.3% 6.8% -790.2K 32.7M -56.6K 3.94 30.90 N/A N/A 204 804 20,116 43,396 2011-08-18 $13.66 $15.00 53.1% 15.2% 66.8% 57.1% 52.6% 11.2% -8.7% -612.1K 28.8M -62.2K 0.85 76.67 N/A N/A 1,928 1,636 20,000 42,840 2011-08-19 $13.85 $15.00 50.3% 14.4% 67.0% 52.5% 50.4% 6.4% -2.2% -312.9K 24.7M -67.8K 1.44 68.90 N/A N/A 1,368 1,964 21,004 43,148 2011-08-22 $13.97 $15.00 50.4% 14.5% 67.4% 52.7% 48.0% 8.5% -0.3% -123.2K 8.6M -68.6K 0.56 39.19 N/A N/A 612 340 11,772 18,740 2011-08-23 $14.40 $15.00 40.2% 11.5% 68.6% 36.2% 43.3% 6.9% 2.1% -123.7K 7.9M -70.2K 0.05 54.69 N/A N/A 3,900 212 12,100 18,800 2011-08-24 $14.29 $15.00 49.6% 14.2% 68.5% 51.5% 44.1% 8.8% -5.1% 5.8K 6.3M -76.3K 0.22 30.64 N/A N/A 1,800 392 15,856 18,760 2011-08-25 $13.87 $15.00 49.8% 14.3% 68.8% 51.6% 48.9% 7.4% -6.2% 7.3K 7.4M -73.1K 0.30 22.71 N/A N/A 916 272 16,940 19,020 2011-08-26 $14.05 $15.00 42.1% 12.1% 69.3% 39.3% 42.2% 6.0% 3.2% 19.6K 8.3M -71.2K 1.57 31.26 N/A N/A 276 432 17,752 19,088 2011-08-29 $14.35 $15.00 44.9% 12.9% 70.1% 43.7% 44.9% 6.1% -2.5% 49.0K 5.9M -77.1K 2.10 29.86 N/A N/A 156 328 17,808 19,316 2011-08-30 $14.37 $15.00 43.0% 12.3% 66.1% 40.6% 35.9% 5.9% -0.5% 56.2K 6.1M -75.6K 0.03 48.77 N/A N/A 2,972 80 17,856 19,556 2011-08-31 $14.75 $15.00 38.3% 11.0% 66.8% 33.1% 39.1% 4.0% -0.2% 134.1K 3.5M -79.6K 0.90 39.05 N/A N/A 2,372 2,132 20,704 19,628
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