OTEX Options History — September 2011

In September 2011, OTEX traded between $12.72 and $14.54. ATM implied volatility averaged 43.8%, placing in the 42.0% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 1.1% (HV 20d: 42.8%). Max pain ranged from $13.75 to $15.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 3.23.

Notable Days

  • 2011-09-02: Highest Volume — 4,148 contracts
  • 2011-09-02: Largest IV spike — 23.8% change
  • 2011-09-29: Highest IV Rank — 55.0%
  • 2011-09-29: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.68$12.72$14.54$14.54$13.03
Max Pain$14.70$13.75$15.00$15.00$13.75
ATM IV43.8%34.6%51.8%34.6%50.2%
Expected Move12.4%9.9%14.9%9.9%14.4%
HV 20d42.8%32.6%65.1%64.7%38.3%
HV 60d47.6%46.5%49.1%46.9%48.7%
IV Rank42.0%27.1%55.0%27.1%52.4%
IV Percentile88.7%69.4%96.8%69.4%95.6%
Term Structure4.3%0.4%11.4%1.6%3.7%
VWIV42.8%38.2%48.2%39.5%43.7%
Skew 25d5.5%1.7%8.2%6.6%7.0%
Skew 10d9.4%-9.8%20.2%13.0%8.1%
Call IV 25d41.1%35.5%46.1%35.5%44.9%
Put IV 25d46.7%42.0%52.0%42.0%52.0%
Bid-Ask Spread %59.7436.4981.2863.4967.43
Gamma HHI0.210.180.230.220.23
Net GEX-63.7K-202.7K140.5K140.5K-202.7K
Net DEX10.8M3.9M15.3M3.9M15.3M
Net VEX-69.4K-84.8K-52.1K-84.4K-54.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.230.0815.432.200.20
Total Volume1,132324,1481,3321,940
Total OI46,740.57143,07250,84443,25246,616

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$14.54$15.0034.6%9.9%64.7%27.1%39.5%6.6%1.6%140.5K3.9M-84.4K2.2063.49N/AN/A41691622,46020,792
2011-09-02$14.19$15.0042.8%12.3%65.1%40.4%42.0%4.6%0.4%59.0K5.8M-82.6K1.0236.49N/AN/A2,0562,09222,59221,340
2011-09-06$13.89$15.0047.9%12.5%61.6%48.6%43.6%7.0%3.1%-22.0K9.6M-77.2K15.4354.40N/AN/A5686424,17223,040
2011-09-07$14.43$15.0041.9%10.9%57.1%39.0%39.8%4.2%2.1%47.8K6.4M-84.8K0.2941.43N/AN/A1,44042424,20823,484
2011-09-08$14.08$15.0042.9%11.8%55.1%40.5%41.2%4.6%3.5%-1.0K8.8M-78.7K4.0047.96N/AN/A11244825,60423,628
2011-09-09$13.66$15.0041.9%12.8%43.5%38.8%45.1%6.2%1.2%-83.2K10.7M-76.1K6.5565.36N/AN/A8052425,69623,800
2011-09-12$13.86$15.0048.0%13.5%42.9%48.8%46.2%5.2%1.6%-68.4K11.0M-73.8K1.4358.60N/AN/A47668025,74023,928
2011-09-13$13.96$15.0044.3%12.4%38.5%42.8%45.9%6.0%2.8%-58.1K9.9M-75.2K4.8951.56N/AN/A7235226,14024,016
2011-09-14$14.15$15.0042.5%11.2%36.1%39.9%38.6%5.5%5.9%-34.1K8.8M-76.7K0.7146.50N/AN/A1128026,19224,168
2011-09-15$14.30$15.0040.2%11.5%36.1%36.2%38.2%5.6%3.6%-15.7K7.6M-77.4K0.5066.99N/AN/A60430026,22824,196
2011-09-16$14.29$15.0038.7%11.1%32.6%33.8%39.1%4.3%5.4%-14.2K7.6M-76.1K0.0853.57N/AN/A2,59621226,53224,312
2011-09-19$13.93$15.0039.7%11.4%33.7%35.4%39.9%6.7%5.2%-15.3K10.1M-71.2K1.3060.24N/AN/A36447221,00022,072
2011-09-20$13.71$15.0039.8%11.4%34.0%35.6%39.4%4.9%6.5%-47.6K11.1M-67.2K0.4259.13N/AN/A31213221,29622,212
2011-09-21$13.43$15.0040.1%11.5%32.6%36.0%40.2%4.9%4.8%-88.5K12.4M-63.8K5.4668.36N/AN/A10456821,44022,208
2011-09-22$12.72$15.0048.5%13.9%37.3%49.6%44.2%1.7%9.6%-137.1K15.1M-55.2K0.7377.35N/AN/A85262421,48022,512
2011-09-23$12.85$15.0047.3%13.6%36.5%47.7%48.2%6.8%5.8%-126.5K15.1M-54.0K2.0866.19N/AN/A19640822,00022,384
2011-09-26$12.89$13.7546.9%13.4%36.1%47.0%46.7%8.2%2.8%-150.7K15.3M-52.1K12.5262.51N/AN/A1762,20422,02422,620
2011-09-27$13.41$13.7543.1%12.3%38.5%40.8%42.9%5.9%7.3%-148.6K13.1M-61.9K0.8581.28N/AN/A13211222,13624,284
2011-09-28$12.99$13.7547.3%13.6%39.8%47.7%46.5%4.8%11.4%-197.1K15.1M-57.4K7.0059.00N/AN/A42822,23224,260
2011-09-29$12.91$13.7551.8%14.9%38.0%55.0%47.5%4.9%1.4%-175.1K14.7M-55.9K0.2366.63N/AN/A1884422,23624,272
2011-09-30$13.03$13.7550.2%14.4%38.3%52.4%43.7%7.0%3.7%-202.7K15.3M-54.7K0.2067.43N/AN/A1,61232822,34024,276