OTEX Options History — May 2012

In May 2012, OTEX traded between $11.97 and $13.36. ATM implied volatility averaged 33.5%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 1.7% (HV 20d: 31.8%). Max pain ranged from $13.75 to $15.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 7.54.

Notable Days

  • 2012-05-01: Highest Volume — 14,788 contracts
  • 2012-05-02: Largest IV drop — 37.9% change
  • 2012-05-01: Highest IV Rank — 61.7%
  • 2012-05-01: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.46$11.97$13.36$13.36$12.09
Max Pain$13.81$13.75$15.00$15.00$13.75
ATM IV33.5%29.6%56.0%56.0%29.6%
Expected Move9.6%8.5%16.0%16.0%8.5%
HV 20d31.8%24.9%36.6%34.6%24.9%
HV 60d27.6%26.4%28.5%27.1%27.9%
IV Rank25.3%19.1%61.7%61.7%19.1%
IV Percentile38.1%26.2%97.6%97.6%26.2%
Term Structure1.5%-14.6%4.8%-14.6%3.1%
VWIV33.5%29.4%55.4%55.4%29.4%
Skew 25d4.2%-3.7%6.8%5.7%6.8%
Skew 10d7.2%-6.6%17.2%7.0%10.2%
Call IV 25d32.1%27.5%54.5%54.5%27.5%
Put IV 25d36.2%28.8%60.2%60.2%34.3%
Bid-Ask Spread %23.9812.1648.2048.2015.59
Gamma HHI0.570.260.920.290.57
Net GEX-922.1K-2.1M-161.9K-658.5K-517.8K
Net DEX19.4M5.0M34.6M15.5M10.1M
Net VEX-34.0K-63.3K-21.8K-63.3K-32.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.540.2656.500.264.11
Total Volume2,939.63625614,78814,7882,720
Total OI53,622.54518,64875,48066,88826,972

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$13.36$15.0056.0%16.0%34.6%61.7%55.4%5.7%-14.6%-658.5K15.5M-63.3K0.2648.20N/AN/A11,7803,00831,68035,208
2012-05-02$13.11$13.7534.7%10.0%34.8%27.3%32.5%2.9%-2.0%-1.2M20.6M-49.4K0.6412.16N/AN/A5,1883,30835,47636,220
2012-05-03$12.74$13.7534.1%9.8%35.5%26.3%33.0%-3.7%-1.6%-1.3M25.9M-43.8K1.4717.75N/AN/A9361,37238,96836,512
2012-05-04$12.65$13.7533.9%9.3%35.3%25.9%32.0%3.4%2.6%-1.2M26.4M-40.3K12.3033.16N/AN/A2683,29634,37635,952
2012-05-07$12.43$13.7532.0%9.1%35.5%22.9%31.6%3.8%3.3%-1.5M31.0M-34.2K0.6821.61N/AN/A2,4761,69234,44438,188
2012-05-08$12.63$13.7531.4%9.1%36.6%21.8%30.2%5.5%3.6%-1.2M25.7M-36.0K5.4420.77N/AN/A2881,56836,05635,700
2012-05-09$12.56$13.7532.7%9.2%36.1%24.0%32.1%3.3%3.5%-1.2M26.3M-36.7K1.6625.56N/AN/A41669235,96435,820
2012-05-10$12.76$13.7531.4%9.0%34.1%22.0%29.4%4.7%4.1%-1.3M24.0M-36.1K2.3820.19N/AN/A22052435,84035,868
2012-05-11$12.59$13.7531.9%9.1%34.1%22.7%30.8%3.6%3.3%-1.4M26.2M-33.8K7.8827.05N/AN/A9675635,76435,784
2012-05-14$12.62$13.7533.2%9.5%34.4%24.8%31.0%5.5%3.5%-1.4M25.7M-31.7K5.0322.50N/AN/A12864435,80835,836
2012-05-15$12.40$13.7533.3%9.5%30.7%24.9%34.3%4.8%4.8%-1.5M28.7M-29.5K7.6125.32N/AN/A1641,24835,81235,616
2012-05-16$12.32$13.7534.3%9.8%30.7%26.6%35.3%5.0%3.5%-1.6M30.6M-28.1K0.9325.20N/AN/A1,7201,60835,88036,136
2012-05-17$12.32$13.7535.1%10.1%29.3%27.9%34.9%4.5%3.0%-2.1M30.6M-27.8K56.5022.38N/AN/A241,35634,95635,608
2012-05-18$11.97$13.7534.6%9.9%28.3%27.0%37.6%3.8%3.5%-235.7K34.6M-21.8K29.0223.98N/AN/A2366,84834,94835,280
2012-05-21$12.41$13.7531.9%9.2%31.1%22.8%32.2%5.1%0.8%-161.9K5.0M-26.6K0.5623.89N/AN/A7724368,6529,996
2012-05-22$12.27$13.7531.6%9.1%31.2%22.2%36.8%4.6%1.0%-172.1K5.3M-26.6K0.7324.96N/AN/A3962889,11610,352
2012-05-23$12.38$13.7532.2%9.2%30.0%23.2%33.1%5.5%1.1%-165.3K5.1M-27.5K1.3129.77N/AN/A4245569,33610,560
2012-05-24$12.20$13.7532.2%9.2%29.1%23.2%33.5%3.3%1.3%-170.4K5.4M-28.5K0.7324.03N/AN/A1481089,62011,048
2012-05-25$12.24$13.7530.0%8.6%29.3%19.7%30.1%4.0%2.0%-174.0K5.3M-27.8K21.1422.97N/AN/A2886,0889,74811,060
2012-05-29$12.13$13.7530.9%8.9%29.2%21.1%31.1%2.8%0.9%-498.2K9.7M-33.9K0.6023.84N/AN/A1881129,96016,696
2012-05-30$12.05$13.7530.0%8.6%25.2%19.7%31.2%6.8%2.2%-496.5K10.1M-32.5K5.0016.74N/AN/A4824010,10416,776
2012-05-31$12.09$13.7529.6%8.5%24.9%19.1%29.4%6.8%3.1%-517.8K10.1M-32.7K4.1115.59N/AN/A5322,18810,11616,856