OTEX Options History — June 2012

In June 2012, OTEX traded between $11.49 and $12.47. ATM implied volatility averaged 31.5%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 5.7% (HV 20d: 25.7%). Max pain ranged from $12.50 to $13.75. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 4.34.

Notable Days

  • 2012-06-05: Highest Volume — 7,752 contracts
  • 2012-06-14: Largest IV spike — 37.4% change
  • 2012-06-04: Highest IV Rank — 35.5%
  • 2012-06-01: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.93$11.49$12.47$11.75$12.47
Max Pain$12.56$12.50$13.75$13.75$12.50
ATM IV31.5%25.9%39.8%38.5%27.6%
Expected Move9.6%7.9%11.0%11.0%7.9%
HV 20d25.7%23.4%28.7%24.8%28.3%
HV 60d28.6%27.7%30.4%28.2%30.4%
IV Rank22.0%13.1%35.5%33.4%14.2%
IV Percentile29.4%15.5%59.9%54.4%15.5%
Term Structure10.7%-1.2%17.7%-1.2%17.7%
VWIV33.0%29.0%39.2%35.5%29.0%
Skew 25d4.5%1.4%8.4%1.4%2.2%
Skew 10d6.0%-5.6%18.5%1.1%3.5%
Call IV 25d31.1%24.0%35.7%35.7%27.6%
Put IV 25d35.6%29.8%41.6%37.2%29.8%
Bid-Ask Spread %26.4117.5337.6417.5321.83
Gamma HHI0.450.320.570.500.36
Net GEX-369.6K-527.2K-189.6K-451.6K-237.2K
Net DEX11.0M5.5M14.9M12.0M5.5M
Net VEX-54.5K-74.5K-34.3K-34.3K-74.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.340.0835.7035.7010.97
Total Volume1,877.333487,7524,4041,628
Total OI36,500.57128,58845,04428,58845,044

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$11.75$13.7538.5%11.0%24.8%33.4%35.5%1.4%-1.2%-451.6K12.0M-34.3K35.7017.53N/AN/A1204,28410,39218,196
2012-06-04$11.79$12.5039.8%11.0%24.9%35.5%35.8%7.0%7.3%-443.1K11.9M-35.5K1.3625.19N/AN/A11215210,43218,424
2012-06-05$11.85$12.5033.1%10.9%24.4%24.7%37.1%6.5%10.4%-443.3K11.5M-36.8K2.0430.70N/AN/A2,5485,20410,47618,436
2012-06-06$12.08$12.5031.7%9.8%24.7%22.4%34.3%6.3%8.8%-527.2K11.4M-55.0K4.5027.37N/AN/A8083,63212,69622,564
2012-06-07$11.88$12.5029.9%10.9%25.3%19.5%34.6%6.1%9.8%-487.7K12.6M-55.7K4.3717.96N/AN/A16471613,24423,104
2012-06-08$11.68$12.5028.5%10.5%24.8%17.2%38.5%5.0%11.2%-507.7K14.1M-53.2K1.0221.28N/AN/A21221613,37623,660
2012-06-11$11.49$12.5035.1%10.7%24.9%27.8%37.3%5.1%9.2%-479.9K14.9M-49.8K0.2320.05N/AN/A3688413,50023,740
2012-06-12$11.69$12.5030.7%10.2%25.9%20.7%39.2%4.8%9.1%-455.8K14.1M-51.5K3.0723.18N/AN/A11635613,75623,784
2012-06-13$11.61$12.5025.9%10.5%25.4%13.1%33.4%5.5%7.7%-433.8K14.3M-50.0K9.5026.51N/AN/A87613,84023,924
2012-06-14$11.59$12.5035.6%10.2%25.4%28.8%32.5%4.8%9.4%-377.2K14.3M-49.3K1.4624.29N/AN/A527613,84823,980
2012-06-15$11.86$12.5033.3%9.6%27.0%25.0%31.4%4.2%12.9%-329.2K12.8M-51.3K1.0626.13N/AN/A13614413,85223,424
2012-06-18$12.04$12.5028.4%8.2%25.7%17.1%29.9%3.4%11.3%-346.7K10.0M-51.5K0.5623.80N/AN/A78844013,00419,652
2012-06-19$12.32$12.5029.7%8.5%23.7%19.1%29.7%2.5%11.6%-322.7K8.1M-57.3K0.4529.29N/AN/A3,5001,56013,68019,928
2012-06-20$12.30$12.5029.7%8.5%23.4%19.1%29.7%3.2%11.9%-289.8K8.2M-62.9K0.9337.64N/AN/A1,3041,21215,82020,800
2012-06-21$11.95$12.5030.0%8.6%25.2%19.7%30.2%2.4%12.3%-281.8K9.8M-62.1K1.3323.80N/AN/A14419216,78821,620
2012-06-22$12.13$12.5029.3%8.4%25.4%18.6%29.3%6.3%13.1%-287.4K9.0M-63.2K1.0533.81N/AN/A26427616,74421,448
2012-06-25$11.82$12.5033.3%9.6%26.8%25.0%31.9%2.5%11.8%-279.2K10.5M-58.7K3.3322.45N/AN/A10836016,96821,584
2012-06-26$11.94$12.5030.5%8.8%27.0%20.5%30.3%4.4%12.8%-296.0K10.1M-60.5K5.0036.74N/AN/A84017,06421,844
2012-06-27$12.26$12.5030.1%8.6%28.4%19.9%30.3%8.4%14.0%-295.5K8.3M-62.4K0.0834.68N/AN/A4,82838817,06421,884
2012-06-28$12.13$12.5029.9%8.6%28.7%19.6%34.1%3.0%14.5%-189.6K7.0M-68.3K3.2230.48N/AN/A6642,13620,88822,040
2012-06-29$12.47$12.5027.6%7.9%28.3%14.2%29.0%2.2%17.7%-237.2K5.5M-74.5K10.9721.83N/AN/A1361,49221,04823,996