OTEX Options History — February 2012

In February 2012, OTEX traded between $13.15 and $15.59. ATM implied volatility averaged 32.6%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 22.9% (HV 20d: 55.5%). Max pain ranged from $13.75 to $15.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.44.

Notable Days

2012-02-02: Highest Volume — 23,816 contracts
2012-02-02: Largest IV drop — 52.1% change
2012-02-01: Highest IV Rank — 73.9%
2012-02-01: Largest Expected Move — 18.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.14	$13.15	$15.59	$13.15	$15.28
Max Pain	$14.88	$13.75	$15.00	$13.75	$15.00
ATM IV	32.6%	25.3%	63.5%	63.5%	25.3%
Expected Move	9.5%	7.3%	18.2%	18.2%	7.3%
HV 20d	55.5%	32.7%	58.1%	32.7%	53.2%
HV 60d	41.1%	31.8%	42.7%	31.8%	39.8%
IV Rank	23.9%	12.0%	73.9%	73.9%	12.0%
IV Percentile	37.8%	6.3%	98.8%	98.8%	6.3%
Term Structure	3.0%	-15.5%	7.6%	-15.5%	3.8%
VWIV	33.1%	25.3%	65.5%	65.5%	25.3%
Skew 25d	2.2%	-2.0%	5.5%	5.5%	-2.0%
Skew 10d	5.5%	-3.9%	27.1%	27.1%	-3.9%
Call IV 25d	32.5%	25.1%	61.8%	61.8%	25.1%
Put IV 25d	34.7%	23.1%	67.3%	67.3%	23.1%
Bid-Ask Spread %	32.35	18.08	51.75	51.75	33.80
Gamma HHI	0.27	0.22	0.39	0.39	0.24
Net GEX	395.9K	-408.6K	590.9K	-408.6K	400.4K
Net DEX	-11.9M	-20.4M	7.7M	7.7M	-6.2M
Net VEX	-68.3K	-86.3K	-46.3K	-70.1K	-81.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.44	0.10	8.81	1.17	0.10
Total Volume	3,844.2	536	23,816	4,684	1,792
Total OI	54,172.2	39,308	70,700	55,012	43,572

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2012-02-01	$13.15	$13.75	63.5%	18.2%	32.7%	73.9%	65.5%	5.5%	-15.5%	-408.6K	7.7M	-70.1K	1.17	51.75	N/A	N/A	2,156	2,528	20,080	34,932
2012-02-02	$15.09	$13.75	30.4%	8.7%	58.1%	20.3%	31.4%	3.1%	3.3%	547.2K	-16.7M	-47.7K	0.59	46.59	N/A	N/A	15,008	8,808	21,196	31,664
2012-02-03	$15.20	$15.00	31.6%	9.9%	58.0%	22.2%	34.5%	2.5%	3.7%	539.1K	-16.7M	-62.6K	1.27	28.81	N/A	N/A	940	1,196	26,020	34,716
2012-02-06	$15.15	$15.00	31.6%	9.8%	57.4%	22.2%	35.1%	3.3%	5.2%	373.2K	-14.2M	-60.3K	7.10	24.02	N/A	N/A	712	5,056	24,772	34,496
2012-02-07	$15.26	$15.00	33.2%	10.0%	57.4%	24.8%	35.2%	1.6%	4.2%	514.1K	-17.0M	-51.0K	1.27	39.68	N/A	N/A	444	564	24,928	31,660
2012-02-08	$15.05	$15.00	31.4%	9.7%	56.6%	21.9%	34.5%	2.0%	5.0%	480.9K	-15.1M	-50.6K	0.80	35.88	N/A	N/A	384	308	24,964	31,816
2012-02-09	$15.31	$15.00	33.4%	9.6%	56.6%	25.1%	34.0%	1.3%	5.3%	515.7K	-17.7M	-48.8K	0.33	36.33	N/A	N/A	868	284	25,112	31,956
2012-02-10	$15.02	$15.00	35.0%	10.0%	57.4%	27.8%	34.9%	2.5%	4.7%	455.6K	-14.6M	-49.8K	1.00	33.99	N/A	N/A	356	356	24,924	32,096
2012-02-13	$15.59	$15.00	35.8%	10.3%	56.1%	29.0%	34.6%	3.0%	4.4%	520.7K	-20.3M	-46.3K	0.93	35.75	N/A	N/A	7,664	7,124	25,116	32,156
2012-02-14	$15.48	$15.00	36.3%	10.4%	56.5%	29.9%	35.5%	2.9%	2.6%	519.7K	-20.4M	-76.8K	1.24	41.77	N/A	N/A	576	716	31,172	38,044
2012-02-15	$15.35	$15.00	34.5%	9.9%	57.0%	26.9%	33.6%	3.0%	5.6%	451.2K	-18.6M	-74.9K	0.48	48.76	N/A	N/A	400	192	31,108	38,404
2012-02-16	$15.25	$15.00	32.0%	9.2%	57.3%	22.9%	32.0%	2.1%	7.0%	451.1K	-18.2M	-72.5K	0.32	26.33	N/A	N/A	2,036	660	31,036	38,472
2012-02-17	$15.13	$15.00	28.6%	8.2%	57.4%	17.4%	28.4%	2.1%	7.6%	590.9K	-18.0M	-72.1K	0.29	18.87	N/A	N/A	6,636	1,940	31,684	39,016
2012-02-21	$15.07	$15.00	28.7%	8.2%	57.5%	17.6%	28.8%	1.9%	2.1%	197.7K	-3.7M	-79.0K	0.59	18.08	N/A	N/A	780	464	21,576	17,732
2012-02-22	$15.21	$15.00	28.4%	8.1%	57.2%	17.0%	27.7%	1.9%	2.7%	256.7K	-4.4M	-82.0K	0.16	29.76	N/A	N/A	1,008	160	22,144	18,024
2012-02-23	$15.35	$15.00	27.7%	7.9%	56.5%	15.9%	26.6%	1.5%	2.0%	344.5K	-5.8M	-83.3K	0.94	26.53	N/A	N/A	276	260	22,972	18,120
2012-02-24	$15.43	$15.00	29.1%	8.3%	55.8%	18.2%	29.2%	2.5%	1.5%	384.2K	-6.7M	-84.9K	0.15	27.62	N/A	N/A	2,516	376	23,184	18,196
2012-02-27	$15.26	$15.00	28.2%	8.1%	56.2%	16.7%	28.2%	1.2%	1.9%	392.7K	-5.9M	-84.9K	1.31	21.84	N/A	N/A	308	404	24,556	18,516
2012-02-28	$15.26	$15.00	27.5%	7.9%	55.5%	15.6%	27.4%	2.4%	2.6%	391.4K	-6.2M	-86.3K	8.81	20.92	N/A	N/A	64	564	24,748	18,564
2012-02-29	$15.28	$15.00	25.3%	7.3%	53.2%	12.0%	25.3%	-2.0%	3.8%	400.4K	-6.2M	-81.7K	0.10	33.80	N/A	N/A	1,628	164	24,768	18,804