OTEX Options History — April 2012

In April 2012, OTEX traded between $13.74 and $15.63. ATM implied volatility averaged 37.6%, placing in the 31.9% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 11.9% (HV 20d: 25.6%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.79.

Notable Days

  • 2012-04-27: Highest Volume — 15,720 contracts
  • 2012-04-12: Largest IV spike — 51.2% change
  • 2012-04-30: Highest IV Rank — 59.1%
  • 2012-04-30: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.76$13.74$15.63$15.37$14.00
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV37.6%24.2%54.3%24.6%54.3%
Expected Move11.3%6.9%15.6%7.1%15.6%
HV 20d25.6%18.9%33.5%24.2%31.5%
HV 60d37.5%25.6%39.4%37.9%25.6%
IV Rank31.9%10.2%59.1%10.9%59.1%
IV Percentile55.5%10.7%97.2%12.3%97.2%
Term Structure-3.3%-11.4%12.3%11.7%-11.4%
VWIV40.3%24.3%54.7%24.3%54.7%
Skew 25d3.0%-5.6%7.1%2.8%7.1%
Skew 10d6.0%-9.1%17.0%7.6%15.6%
Call IV 25d37.5%23.3%51.5%23.4%51.5%
Put IV 25d40.4%19.2%58.5%26.1%58.5%
Bid-Ask Spread %28.8913.9861.3828.1226.26
Gamma HHI0.260.220.330.240.24
Net GEX181.1K-397.4K565.8K366.3K-397.4K
Net DEX-2.0M-13.7M8.9M-9.3M8.5M
Net VEX-74.9K-91.0K-58.6K-87.4K-68.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.790.046.280.041.36
Total Volume2,594.414415,7202,9763,172
Total OI54,374.451,35665,90051,35665,900

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$15.37$15.0024.6%7.1%24.2%10.9%0.0%2.8%11.7%366.3K-9.3M-87.4K0.0428.12N/AN/A2,84812827,28824,068
2012-04-03$15.36$15.0024.6%7.1%20.9%10.9%24.3%-0.9%11.1%460.2K-10.5M-91.0K0.0821.87N/AN/A3,63229629,46824,064
2012-04-04$15.28$15.0024.7%7.1%20.8%11.1%24.7%-1.8%11.8%377.1K-7.4M-87.4K0.3523.61N/AN/A1926828,02024,156
2012-04-05$14.99$15.0024.2%6.9%20.7%10.2%25.3%-5.6%12.3%246.6K-4.1M-85.4K0.3821.14N/AN/A1606028,09624,144
2012-04-09$14.83$15.0026.2%10.8%21.0%13.4%37.7%2.5%-4.5%161.7K-1.8M-80.6K0.5627.99N/AN/A1,22068428,11224,164
2012-04-10$14.63$15.0028.1%11.3%19.4%16.7%39.6%2.4%-5.5%154.7K-117.6K-78.5K3.9715.78N/AN/A14858829,08424,156
2012-04-11$14.77$15.0026.4%11.1%18.9%13.8%39.9%3.2%-4.9%237.6K-1.4M-79.6K6.2013.98N/AN/A2012429,05624,452
2012-04-12$15.24$15.0039.9%11.4%22.0%35.6%39.8%4.3%-6.4%509.5K-7.5M-81.5K0.9545.74N/AN/A26024829,05624,520
2012-04-13$15.19$15.0040.9%11.7%22.1%37.3%40.2%3.1%-6.9%541.9K-7.7M-80.5K0.1846.00N/AN/A1322429,11624,344
2012-04-16$15.12$15.0042.4%12.2%21.9%39.8%43.4%4.7%-8.1%542.3K-6.5M-76.7K2.3319.81N/AN/A20447629,17224,356
2012-04-17$15.63$15.0039.3%11.3%24.6%34.7%39.8%3.4%-6.5%565.8K-13.7M-74.3K0.1826.65N/AN/A5,55698429,17224,196
2012-04-18$15.43$15.0041.7%11.9%25.1%38.5%43.4%3.6%-7.4%521.9K-11.7M-77.6K5.2019.60N/AN/A4020831,78824,948
2012-04-19$14.86$15.0041.4%11.9%28.7%38.2%41.6%2.3%-7.3%533.1K-2.7M-75.0K0.8661.38N/AN/A49242431,78824,916
2012-04-20$14.31$15.0042.7%12.3%31.7%40.3%42.8%4.7%-6.3%-136.7K5.3M-65.9K0.9323.92N/AN/A4,2963,98831,65225,100
2012-04-23$13.87$15.0044.9%12.9%33.5%43.8%43.2%4.7%-6.6%-231.6K7.4M-62.1K0.2036.48N/AN/A1,34026429,52824,100
2012-04-24$13.74$15.0045.5%13.0%30.1%44.8%45.4%4.5%-7.1%-312.4K8.9M-58.6K4.1343.01N/AN/A2521,04028,90024,228
2012-04-25$14.04$15.0044.3%12.7%31.5%42.9%45.2%4.9%-6.9%-251.0K6.6M-59.6K1.4140.42N/AN/A60485229,15224,332
2012-04-26$14.26$15.0045.3%13.0%32.1%44.5%42.8%4.9%-7.1%-150.2K4.2M-63.0K0.1917.75N/AN/A96418029,44424,968
2012-04-27$14.20$15.0049.6%14.2%32.0%51.3%51.5%5.0%-10.7%-116.9K4.1M-64.3K6.2818.20N/AN/A2,16013,56029,50824,976
2012-04-30$14.00$15.0054.3%15.6%31.5%59.1%54.7%7.1%-11.4%-397.4K8.5M-68.9K1.3626.26N/AN/A1,3441,82831,07634,824