OTEX Options History — October 2011

In October 2011, OTEX traded between $12.18 and $15.26. ATM implied volatility averaged 48.8%, placing in the 50.0% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 0.1% (HV 20d: 48.6%). 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 4 of 21 days. Put/call ratio averaged 3.15.

Notable Days

  • 2011-10-11: Highest Volume — 8,496 contracts
  • 2011-10-11: Largest IV spike — 22.1% change
  • 2011-10-17: Highest IV Rank — 58.8%
  • 2011-10-07: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.27$12.18$15.26$12.18$15.26
Max Pain$15.77$13.75$16.25$13.75$16.25
ATM IV48.8%35.7%54.2%51.8%38.6%
Expected Move14.3%10.2%16.9%14.8%11.1%
HV 20d48.6%41.3%55.9%43.8%48.4%
HV 60d51.9%49.5%54.6%50.3%53.9%
IV Rank50.0%28.9%58.8%54.9%33.6%
IV Percentile90.5%66.7%98.0%96.4%72.6%
Term Structure-3.2%-13.9%5.9%5.9%-1.2%
VWIV49.2%35.9%59.1%46.1%36.3%
Skew 25d8.1%4.5%10.5%6.0%6.8%
Skew 10d16.8%-3.9%28.5%-3.9%22.8%
Call IV 25d46.5%34.0%51.5%51.5%35.2%
Put IV 25d54.5%38.9%60.6%57.4%42.0%
Bid-Ask Spread %35.3119.6073.5469.9230.75
Gamma HHI0.310.210.560.280.22
Net GEX-276.2K-554.2K-78.9K-246.3K-78.9K
Net DEX14.7M4.6M18.7M18.1M4.6M
Net VEX-42.4K-50.2K-34.6K-43.9K-46.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.150.2224.802.150.49
Total Volume1,841.7142728,4963401,036
Total OI45,449.33334,46453,37646,99636,420

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$12.18$13.7551.8%14.8%43.8%54.9%46.1%6.0%5.9%-246.3K18.1M-43.9K2.1569.92N/AN/A10823222,46824,528
2011-10-04$12.30$13.7551.1%14.6%43.9%53.8%51.5%4.5%4.4%-243.2K18.7M-42.8K0.5173.54N/AN/A4,5682,33622,51224,516
2011-10-05$12.42$13.7549.4%14.2%41.3%51.0%50.2%7.3%4.4%-252.1K18.1M-40.5K0.8672.44N/AN/A55648022,06023,868
2011-10-06$12.97$13.7548.8%14.0%44.6%50.1%41.9%10.5%-1.3%-229.4K15.7M-49.0K1.6247.91N/AN/A10416822,42023,756
2011-10-07$12.52$16.2546.9%16.9%45.1%47.1%52.3%9.2%-13.9%-253.1K17.1M-42.5K0.3833.40N/AN/A47618022,42823,784
2011-10-10$13.13$16.2543.9%14.4%48.3%42.2%59.1%10.0%-4.6%-239.5K14.8M-47.6K1.6627.57N/AN/A26043222,81223,772
2011-10-11$12.88$16.2553.6%16.1%48.5%57.9%53.2%9.8%-7.0%-244.1K15.9M-44.9K5.1036.24N/AN/A1,3927,10422,92823,864
2011-10-12$12.99$16.2553.1%15.7%48.3%57.0%51.4%10.0%-5.0%-465.7K17.1M-50.2K0.2232.00N/AN/A46010023,85629,520
2011-10-13$13.28$16.2548.9%14.0%49.0%50.3%48.4%10.1%-3.6%-414.4K15.1M-49.6K11.6320.32N/AN/A5486,37623,72829,208
2011-10-14$13.61$16.2548.8%14.0%50.0%50.1%51.7%8.2%-3.7%-222.7K12.4M-49.9K24.8026.88N/AN/A601,48823,66427,216
2011-10-17$12.93$16.2554.2%15.5%52.3%58.8%54.0%7.1%-6.6%-489.7K17.3M-40.3K2.2631.73N/AN/A14031623,70027,852
2011-10-18$13.18$16.2550.8%14.6%52.8%53.3%53.8%8.3%-4.7%-401.4K16.1M-41.8K2.0030.19N/AN/A24849623,75627,876
2011-10-19$13.03$16.2553.7%15.4%52.4%58.0%55.9%7.7%-5.2%-463.2K16.8M-38.0K0.9219.60N/AN/A14413223,76828,108
2011-10-20$12.88$16.2554.0%15.5%48.7%58.6%52.5%8.5%-6.0%-554.2K17.2M-36.1K1.5128.71N/AN/A20430823,74028,092
2011-10-21$13.03$16.2554.1%15.5%48.8%58.7%50.1%9.3%-6.4%-233.8K16.2M-35.2K2.8226.65N/AN/A11231623,74828,064
2011-10-24$13.40$16.2549.6%14.2%49.7%51.3%52.1%9.9%-5.7%-177.8K14.2M-35.2K1.4221.65N/AN/A28840814,04020,424
2011-10-25$13.38$16.2549.5%14.2%47.7%51.3%50.8%7.6%-4.5%-175.1K14.1M-34.6K1.5825.92N/AN/A14422814,26020,464
2011-10-26$13.48$16.2548.7%14.0%46.2%49.9%47.1%7.7%-3.4%-177.7K13.8M-35.0K2.1937.34N/AN/A8521,86814,35620,564
2011-10-27$14.76$16.2538.8%11.1%55.6%33.9%39.5%6.3%-0.1%-132.6K8.5M-43.0K1.3427.37N/AN/A1,3321,78814,66821,268
2011-10-28$15.10$16.2535.7%10.2%55.9%28.9%35.9%4.9%0.7%-104.6K6.7M-44.2K0.7621.43N/AN/A50438414,89621,464
2011-10-31$15.26$16.2538.6%11.1%48.4%33.6%36.3%6.8%-1.2%-78.9K4.6M-46.0K0.4930.75N/AN/A69634015,04821,372