OTEX Options History — March 2012

In March 2012, OTEX traded between $14.49 and $15.31. ATM implied volatility averaged 23.5%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 0.2% (HV 20d: 23.3%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.35.

Notable Days

  • 2012-03-13: Highest Volume — 5,052 contracts
  • 2012-03-15: Largest IV spike — 35.2% change
  • 2012-03-15: Highest IV Rank — 12.5%
  • 2012-03-07: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.92$14.49$15.31$15.31$15.29
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV23.5%18.9%25.6%24.5%23.3%
Expected Move7.3%6.7%8.2%7.0%6.7%
HV 20d23.3%19.5%52.2%52.2%24.8%
HV 60d39.1%37.5%40.4%39.6%37.9%
IV Rank9.1%1.7%12.5%10.8%8.8%
IV Percentile6.2%0.4%11.1%5.2%6.3%
Term Structure7.7%3.3%12.2%3.3%12.2%
VWIV25.7%22.7%29.5%24.5%22.7%
Skew 25d2.9%-1.9%10.8%-1.9%1.9%
Skew 10d5.6%-4.5%15.3%-4.5%5.3%
Call IV 25d24.4%15.7%28.4%24.6%22.9%
Put IV 25d27.3%22.7%31.1%22.7%24.7%
Bid-Ask Spread %30.6922.4857.7322.4824.49
Gamma HHI0.260.240.320.250.24
Net GEX116.3K-146.7K371.2K371.2K284.2K
Net DEX-1.5M-7.0M3.6M-6.0M-7.0M
Net VEX-82.4K-88.8K-75.0K-80.9K-88.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.350.059.860.220.20
Total Volume1,4382325,0525322,484
Total OI47,61643,17654,00043,17649,948

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$15.31$15.0024.5%7.0%52.2%10.8%24.5%-1.9%3.3%371.2K-6.0M-80.9K0.2222.48N/AN/A4369624,27618,900
2012-03-02$15.28$15.0024.4%7.0%19.6%10.5%0.0%2.9%3.9%358.9K-5.7M-80.3K0.6929.92N/AN/A68847224,54018,904
2012-03-05$15.05$15.0024.0%8.1%20.2%9.9%28.4%3.1%5.9%256.3K-3.8M-78.4K7.2122.69N/AN/A7654825,22019,140
2012-03-06$14.59$15.0024.8%8.2%23.0%11.2%29.5%2.8%6.4%36.3K797.3K-76.1K4.6524.13N/AN/A18485625,26819,620
2012-03-07$14.76$15.0024.6%8.2%23.3%10.9%0.0%3.3%6.0%74.5K-484.8K-77.7K0.8824.77N/AN/A17215225,40420,260
2012-03-08$15.08$15.0021.6%8.0%24.2%6.1%28.1%2.9%5.9%200.9K-2.7M-78.4K1.3026.96N/AN/A22429225,44020,412
2012-03-09$15.11$15.0021.2%7.8%23.5%5.5%28.9%2.8%7.1%208.7K-3.1M-79.9K8.7735.78N/AN/A10491225,58820,656
2012-03-12$14.73$15.0022.4%7.9%24.2%7.4%27.2%2.3%7.0%53.0K937.1K-75.0K1.4130.26N/AN/A27638825,53221,452
2012-03-13$14.95$15.0020.7%7.8%20.5%4.6%27.3%2.5%7.6%162.5K-907.5K-79.8K0.8033.93N/AN/A2,8002,25225,73221,752
2012-03-14$14.98$15.0018.9%7.5%20.5%1.7%27.7%2.5%8.1%177.0K-1.9M-85.0K1.7557.73N/AN/A1,2962,26427,76023,096
2012-03-15$14.96$15.0025.6%7.3%20.3%12.5%25.8%2.4%8.2%131.1K-956.6K-87.2K0.4548.98N/AN/A1,30058828,21624,724
2012-03-16$14.82$15.0025.1%7.2%20.4%11.8%26.4%2.3%7.9%24.8K1.5M-86.1K9.8627.90N/AN/A1961,93228,82825,172
2012-03-19$14.82$15.0024.6%7.1%20.3%11.0%24.5%2.5%8.0%-46.4K349.3K-85.1K0.8033.81N/AN/A45636422,73222,872
2012-03-20$14.76$15.0023.3%6.7%20.3%8.8%23.3%2.2%8.7%-84.5K992.6K-83.2K0.1633.69N/AN/A2,10033622,95223,056
2012-03-21$14.62$15.0023.6%6.8%20.1%9.3%23.5%3.0%8.5%-57.6K1.8M-83.0K0.5033.23N/AN/A94446824,12023,212
2012-03-22$14.53$15.0024.0%6.9%19.7%9.9%23.7%5.2%8.2%-122.1K3.0M-81.3K2.7630.15N/AN/A8423223,99623,520
2012-03-23$14.49$15.0023.4%6.7%19.5%9.0%23.9%1.0%8.1%-146.7K3.6M-81.1K0.0530.56N/AN/A6042824,02423,576
2012-03-26$15.04$15.0024.2%6.9%24.0%10.2%25.2%10.8%9.2%146.1K-2.2M-84.7K0.1129.19N/AN/A3,75240424,52823,576
2012-03-27$14.98$15.0024.3%7.0%24.0%10.5%0.0%3.1%9.2%172.7K-3.3M-87.1K1.6424.19N/AN/A10016426,21223,800
2012-03-28$15.01$15.0023.6%6.8%24.0%9.3%23.6%2.7%10.4%172.8K-3.6M-86.6K4.2724.68N/AN/A4418825,76023,908
2012-03-29$15.05$15.0023.8%6.8%24.0%9.6%23.8%3.4%10.2%184.3K-4.1M-86.9K3.3225.69N/AN/A8829225,80424,064
2012-03-30$15.29$15.0023.3%6.7%24.8%8.8%22.7%1.9%12.2%284.2K-7.0M-88.8K0.2024.49N/AN/A2,07640825,78824,160