OTEX Options History — January 2012

In January 2012, OTEX traded between $12.05 and $13.38. ATM implied volatility averaged 40.9%, placing in the 37.4% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 12.0% (HV 20d: 28.9%). Max pain ranged from $13.75 to $15.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 3.52.

Notable Days

  • 2012-01-31: Highest Volume — 26,528 contracts
  • 2012-01-12: Largest IV spike — 31.6% change
  • 2012-01-31: Highest IV Rank — 68.2%
  • 2012-01-31: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.67$12.05$13.38$13.06$12.67
Max Pain$14.00$13.75$15.00$13.75$13.75
ATM IV40.9%31.6%60.0%35.8%60.0%
Expected Move12.4%9.6%17.2%10.3%17.2%
HV 20d28.9%21.6%31.8%30.3%30.7%
HV 60d35.8%31.2%39.8%39.8%31.7%
IV Rank37.4%22.3%68.2%29.0%68.2%
IV Percentile67.9%41.7%98.8%56.3%98.8%
Term Structure-2.0%-10.3%10.7%8.0%-6.8%
VWIV43.5%31.8%61.0%37.4%61.0%
Skew 25d5.4%-0.2%11.0%4.1%-0.2%
Skew 10d10.8%-16.0%18.7%17.5%-16.0%
Call IV 25d40.5%29.6%61.6%32.0%61.6%
Put IV 25d45.9%34.8%61.5%36.0%61.5%
Bid-Ask Spread %25.5814.5861.5122.6239.99
Gamma HHI0.330.210.650.210.30
Net GEX-209.0K-658.3K-106.9K-106.9K-201.6K
Net DEX5.3M3.2M7.0M3.7M6.4M
Net VEX-28.1K-49.1K-21.5K-24.3K-49.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.520.4713.001.271.76
Total Volume2,80824426,52833626,528
Total OI23,52418,91235,24018,91235,240

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$13.06$13.7535.8%10.3%30.3%29.0%37.4%4.1%8.0%-106.9K3.7M-24.3K1.2722.62N/AN/A1481888,29610,616
2012-01-04$12.89$13.7534.9%10.0%30.4%27.6%33.5%5.0%9.4%-120.7K4.1M-23.8K4.0823.47N/AN/A481968,39210,708
2012-01-05$12.93$13.7533.4%9.6%30.5%25.2%31.8%5.2%10.7%-129.3K4.2M-23.3K4.5328.97N/AN/A602728,43610,832
2012-01-06$12.69$15.0034.1%12.4%30.8%26.2%43.2%7.9%-1.7%-144.5K4.7M-22.6K2.7130.51N/AN/A2767488,48810,892
2012-01-09$12.74$15.0031.6%12.7%30.6%22.3%42.5%7.8%-3.0%-174.4K4.9M-23.2K1.8715.35N/AN/A4768888,69211,440
2012-01-10$12.43$15.0033.1%13.8%31.2%24.7%45.3%11.0%-5.3%-193.1K5.7M-23.6K9.3828.43N/AN/A524888,94812,128
2012-01-11$12.45$15.0032.5%12.4%31.2%23.7%46.2%7.9%-1.8%-215.9K6.2M-23.7K8.1624.58N/AN/A1281,0448,96812,420
2012-01-12$12.44$13.7542.8%12.3%30.5%40.3%48.5%8.7%-0.5%-225.1K6.2M-23.3K0.0026.57N/AN/A03889,02812,500
2012-01-13$12.05$13.7543.3%12.4%31.3%41.2%45.4%7.4%0.3%-219.5K7.0M-21.5K13.0022.56N/AN/A801,0409,02812,348
2012-01-17$12.15$13.7543.0%12.3%30.6%40.6%42.5%8.3%-2.4%-249.2K7.0M-21.7K2.1814.58N/AN/A2846209,02012,784
2012-01-18$12.37$13.7542.0%12.0%31.4%39.1%40.9%7.9%-3.3%-255.3K6.4M-23.1K3.7914.67N/AN/A762889,14412,976
2012-01-19$12.54$13.7541.7%11.9%31.8%38.5%41.1%5.6%-3.2%-291.0K5.8M-23.6K0.6118.89N/AN/A3201969,20013,088
2012-01-20$12.49$13.7542.0%12.1%28.2%39.1%39.1%5.4%-3.3%-658.3K6.1M-23.2K0.5023.45N/AN/A1,4447169,27213,188
2012-01-23$12.49$13.7541.1%11.8%21.7%37.6%44.5%4.7%-3.6%-196.3K5.8M-23.8K2.3416.07N/AN/A6201,4529,32412,944
2012-01-24$12.42$13.7541.5%11.9%21.6%38.2%41.3%4.0%-3.9%-208.3K5.9M-25.7K3.1718.82N/AN/A1404449,89613,964
2012-01-25$12.86$13.7542.2%12.1%24.6%39.4%40.7%2.8%-4.8%-165.7K4.4M-27.3K4.6861.51N/AN/A9004,2089,93614,144
2012-01-26$13.28$13.7548.2%13.8%26.8%49.2%48.2%0.4%-8.6%-165.3K3.7M-41.7K0.5325.78N/AN/A3,6761,94010,53618,232
2012-01-27$13.38$13.7544.7%12.8%26.8%43.4%44.7%1.9%-5.9%-114.0K3.2M-46.8K0.4732.60N/AN/A1,68478413,12819,028
2012-01-30$13.13$13.7550.8%14.6%27.8%53.3%52.3%2.9%-10.3%-145.8K4.3M-47.4K1.7922.12N/AN/A1,1922,12813,62819,648
2012-01-31$12.67$13.7560.0%17.2%30.7%68.2%61.0%-0.2%-6.8%-201.6K6.4M-49.1K1.7639.99N/AN/A9,60416,92414,43620,804