OTEX Options History — November 2011

In November 2011, OTEX traded between $13.10 and $15.45. ATM implied volatility averaged 40.3%, placing in the 36.3% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 5.0% (HV 20d: 45.3%). 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 18 of 21 days. Put/call ratio averaged 7.27.

Notable Days

  • 2011-11-14: Highest Volume — 3,404 contracts
  • 2011-11-09: Largest IV spike — 22.0% change
  • 2011-11-25: Highest IV Rank — 46.1%
  • 2011-11-25: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.37$13.10$15.45$14.70$14.26
Max Pain$15.12$13.75$16.25$16.25$15.00
ATM IV40.3%35.7%46.3%42.8%36.5%
Expected Move11.6%10.5%13.3%12.3%10.5%
HV 20d45.3%32.9%51.4%51.3%36.6%
HV 60d45.4%43.5%52.8%52.8%44.7%
IV Rank36.3%28.9%46.1%40.4%30.2%
IV Percentile73.2%60.3%84.1%79.4%60.3%
Term Structure2.6%-1.4%6.0%-1.4%2.8%
VWIV40.7%35.2%45.5%43.9%35.2%
Skew 25d6.2%4.7%7.7%6.3%5.4%
Skew 10d13.9%-0.4%24.4%17.6%17.4%
Call IV 25d37.9%31.9%41.2%41.2%31.9%
Put IV 25d44.1%37.3%47.8%47.5%37.3%
Bid-Ask Spread %39.4420.7766.6729.0039.62
Gamma HHI0.240.170.350.240.18
Net GEX-111.9K-385.2K-11.1K-111.6K-40.7K
Net DEX7.5M905.7K16.5M8.2M905.7K
Net VEX-31.5K-44.9K-23.8K-43.0K-25.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.270.0176.360.760.71
Total Volume872603,404780676
Total OI30,781.71413,12440,98037,03615,136

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$14.70$16.2542.8%12.3%51.3%40.4%43.9%6.3%-1.4%-111.6K8.2M-43.0K0.7629.00N/AN/A44433615,61621,420
2011-11-02$14.91$16.2542.1%12.1%51.4%39.2%43.0%6.9%-0.9%-79.0K6.6M-44.9K0.5820.77N/AN/A43625215,90021,480
2011-11-03$15.45$16.2536.5%10.5%50.7%30.1%37.5%6.2%5.7%-11.1K2.8M-44.3K0.4233.53N/AN/A33614016,14821,532
2011-11-04$15.14$13.7539.7%11.7%49.1%35.4%41.7%6.7%4.6%-40.4K5.3M-43.6K2.2631.41N/AN/A23252416,24021,504
2011-11-07$15.07$15.0040.6%11.7%47.2%36.8%41.1%6.5%2.0%-49.2K6.3M-39.7K4.8935.74N/AN/A14470416,32821,708
2011-11-08$15.22$15.0035.7%11.3%46.1%28.9%38.9%6.8%2.8%-32.4K6.1M-38.7K1.2637.89N/AN/A23229216,34422,212
2011-11-09$14.54$15.0043.6%12.2%50.0%41.6%45.5%7.7%1.7%-128.8K10.6M-35.5K1.0354.52N/AN/A39240416,48022,144
2011-11-10$14.46$15.0040.8%11.7%49.8%37.2%44.9%7.4%2.4%-152.3K11.9M-32.4K11.8635.40N/AN/A2833216,56422,284
2011-11-11$14.77$15.0038.9%11.2%49.6%34.1%41.6%5.7%4.3%-92.3K10.0M-32.0K0.3753.03N/AN/A2288416,58422,168
2011-11-14$14.51$15.0039.5%11.3%45.9%35.0%41.1%5.9%3.9%-138.9K11.8M-28.9K76.3628.41N/AN/A443,36016,60022,172
2011-11-15$14.48$15.0038.8%11.1%45.7%33.9%38.2%5.9%4.0%-385.2K15.1M-27.7K2.6252.81N/AN/A14838816,64024,320
2011-11-16$14.47$15.0038.2%10.9%45.4%32.9%39.0%6.5%4.5%-352.0K15.3M-26.7K7.3835.81N/AN/A5238416,75624,216
2011-11-17$14.26$15.0042.5%12.2%45.6%39.9%39.8%6.5%4.7%-225.3K16.5M-24.6K30.3238.38N/AN/A1003,03216,72824,252
2011-11-18$14.16$15.0040.1%11.5%45.7%35.9%38.6%6.3%6.0%-117.0K15.7M-24.4K2.1339.61N/AN/A4921,04816,72823,856
2011-11-21$13.85$15.0041.1%11.8%45.7%37.6%41.1%5.1%1.0%-64.2K2.0M-23.8K0.3237.75N/AN/A1,2684005,2127,912
2011-11-22$13.77$15.0039.6%11.3%45.7%35.1%37.7%5.0%1.6%-56.1K1.9M-26.5K1.5641.93N/AN/A1001566,1408,228
2011-11-23$13.42$15.0042.0%12.0%46.6%39.0%42.2%4.7%0.0%-65.6K2.5M-25.1K0.9341.03N/AN/A2162006,2168,348
2011-11-25$13.10$15.0046.3%13.3%32.9%46.1%45.5%6.6%3.0%-71.4K3.1M-24.0K6.5025.44N/AN/A8526,2688,412
2011-11-28$13.60$15.0042.7%12.2%34.9%40.2%42.8%7.1%-0.4%-67.5K2.3M-24.9K0.4366.67N/AN/A204886,2728,452
2011-11-29$13.65$15.0038.5%11.0%34.6%33.4%35.9%5.8%2.0%-68.7K2.2M-24.9K0.0149.59N/AN/A35246,3888,508
2011-11-30$14.26$15.0036.5%10.5%36.6%30.2%35.2%5.4%2.8%-40.7K905.7K-25.9K0.7139.62N/AN/A3962806,6248,512