OTEX Options History — December 2011

In December 2011, OTEX traded between $12.52 and $14.26. ATM implied volatility averaged 35.2%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 3.1% (HV 20d: 32.1%). Max pain ranged from $13.75 to $15.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.25.

Notable Days

  • 2011-12-06: Highest Volume — 1,280 contracts
  • 2011-12-15: Largest IV spike — 76.6% change
  • 2011-12-15: Highest IV Rank — 42.8%
  • 2011-12-15: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.21$12.52$14.26$14.26$12.79
Max Pain$13.99$13.75$15.00$15.00$13.75
ATM IV35.2%25.1%44.3%36.3%33.1%
Expected Move10.5%8.9%12.7%10.4%9.5%
HV 20d32.1%28.4%37.6%36.1%29.0%
HV 60d42.9%40.5%44.1%44.1%40.5%
IV Rank28.1%11.7%42.8%29.9%24.7%
IV Percentile54.0%7.5%81.7%59.5%44.4%
Term Structure6.4%-2.0%10.8%3.6%10.8%
VWIV35.6%28.3%40.2%35.1%32.6%
Skew 25d5.8%3.8%8.7%5.8%3.8%
Skew 10d12.4%0.6%17.4%17.4%11.3%
Call IV 25d33.3%30.1%36.1%32.1%31.2%
Put IV 25d39.1%35.0%43.2%37.9%35.0%
Bid-Ask Spread %31.2215.4853.4424.6416.14
Gamma HHI0.210.190.230.190.21
Net GEX-89.4K-122.3K-39.5K-39.5K-117.5K
Net DEX3.4M779.9K5.1M779.9K4.4M
Net VEX-26.2K-29.1K-24.3K-25.9K-24.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.250.226.880.670.73
Total Volume547.619681,280288152
Total OI18,119.04815,41219,84415,41218,860

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$14.26$15.0036.3%10.4%36.1%29.9%35.1%5.8%3.6%-39.5K779.9K-25.9K0.6724.64N/AN/A1721166,8088,604
2011-12-02$14.04$15.0035.2%10.1%33.6%28.1%32.3%4.5%3.1%-57.5K1.4M-25.6K1.4520.57N/AN/A3324806,8008,688
2011-12-05$13.94$15.0035.5%11.1%33.1%28.6%37.6%6.3%5.3%-75.3K1.9M-25.5K5.3947.62N/AN/A1447767,0289,100
2011-12-06$13.95$15.0036.8%11.0%33.2%30.7%38.5%6.1%5.2%-85.3K2.1M-27.3K0.2250.24N/AN/A1,0482327,1609,652
2011-12-07$13.78$13.7535.7%10.9%32.9%28.8%37.8%6.1%5.7%-66.1K2.2M-28.3K1.5722.73N/AN/A1201887,9409,764
2011-12-08$13.57$13.7537.3%10.9%29.5%31.5%37.7%6.4%6.5%-72.1K2.7M-27.7K0.2532.10N/AN/A7481888,0609,832
2011-12-09$13.68$13.7532.6%10.4%29.7%23.9%35.3%5.3%6.5%-63.9K2.2M-28.8K3.1933.64N/AN/A1926128,5209,888
2011-12-12$13.69$13.7537.1%10.6%28.4%31.2%40.2%5.7%6.8%-81.1K2.5M-29.1K1.3925.00N/AN/A2563568,62810,348
2011-12-13$13.37$13.7534.1%10.5%28.8%26.3%37.7%5.9%7.2%-94.7K3.6M-28.2K2.8053.44N/AN/A1002808,73610,548
2011-12-14$13.06$13.7525.1%12.0%29.6%11.7%38.5%6.1%2.4%-65.7K4.6M-26.9K3.7337.11N/AN/A883288,81210,612
2011-12-15$12.74$13.7544.3%12.7%30.3%42.8%39.5%8.7%-2.0%-122.3K5.1M-25.3K1.4447.80N/AN/A4846968,85610,584
2011-12-16$12.75$13.7539.8%11.4%30.2%35.5%33.8%7.4%6.6%-99.9K4.9M-26.0K5.1129.33N/AN/A1125729,17610,668
2011-12-19$12.68$13.7534.3%9.8%30.2%26.6%36.7%5.2%10.4%-93.0K4.2M-24.7K0.7521.21N/AN/A4803607,7049,624
2011-12-20$13.18$13.7531.1%8.9%33.3%21.5%28.3%5.0%9.5%-75.0K3.0M-27.5K1.9732.07N/AN/A1442848,0689,784
2011-12-21$12.52$13.7535.0%10.0%37.6%27.8%35.7%4.5%8.6%-99.1K4.4M-24.8K2.3731.09N/AN/A1844368,1889,948
2011-12-22$12.61$13.7535.2%10.1%37.0%28.1%34.6%5.6%7.1%-109.4K4.5M-25.1K6.8830.06N/AN/A322208,20810,252
2011-12-23$12.77$13.7534.9%10.0%36.5%27.5%29.6%6.3%7.2%-107.9K4.3M-26.2K2.0030.68N/AN/A44888,22810,400
2011-12-27$12.66$13.7537.0%10.6%33.6%30.9%0.0%7.8%6.7%-113.8K4.4M-24.4K2.1435.39N/AN/A841808,27210,440
2011-12-28$12.64$13.7535.4%10.1%33.5%28.4%35.6%5.7%8.1%-120.3K4.7M-24.3K2.8815.48N/AN/A32928,29610,536
2011-12-29$12.73$13.7534.3%9.8%28.9%26.6%0.0%4.2%9.2%-118.1K4.4M-24.4K0.4219.20N/AN/A48208,31610,564
2011-12-30$12.79$13.7533.1%9.5%29.0%24.7%32.6%3.8%10.8%-117.5K4.4M-24.5K0.7316.14N/AN/A88648,28810,572