OTEX Options History — July 2012

In July 2012, OTEX traded between $11.25 and $13.02. ATM implied volatility averaged 48.0%, placing in the 48.0% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded above realized volatility by 13.9% (HV 20d: 34.2%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.60.

Notable Days

  • 2012-07-06: Highest Volume — 3,184 contracts
  • 2012-07-11: Largest IV spike — 37.0% change
  • 2012-07-31: Highest IV Rank — 72.2%
  • 2012-07-31: Largest Expected Move — 18.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.89$11.25$13.02$12.71$11.25
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV48.0%28.5%62.7%30.1%62.7%
Expected Move14.5%8.2%18.0%8.6%18.0%
HV 20d34.2%28.9%37.5%28.9%29.8%
HV 60d30.6%28.2%33.4%30.6%28.3%
IV Rank48.0%15.8%72.2%18.5%72.2%
IV Percentile75.5%17.5%98.4%22.6%98.4%
Term Structure-5.4%-13.7%19.0%15.3%-13.7%
VWIV50.2%27.1%62.7%30.4%62.7%
Skew 25d3.5%0.7%4.8%1.4%4.0%
Skew 10d6.2%-9.6%23.3%4.2%4.2%
Call IV 25d49.0%28.9%62.0%30.5%62.0%
Put IV 25d52.5%29.6%66.0%31.8%66.0%
Bid-Ask Spread %31.5015.8581.3028.5117.12
Gamma HHI0.330.280.380.380.28
Net GEX-255.2K-331.4K-203.1K-255.2K-275.2K
Net DEX10.3M1.2M14.8M4.3M14.8M
Net VEX-65.1K-77.1K-53.5K-76.4K-53.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.600.1511.410.241.40
Total Volume884.762963,184492952
Total OI49,986.28646,56453,12046,56452,792

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$12.71$12.5030.1%8.6%28.9%18.5%30.4%1.4%15.3%-255.2K4.3M-76.4K0.2428.51N/AN/A3969621,11225,452
2012-07-03$13.01$12.5028.5%8.2%29.7%15.8%27.1%0.7%19.0%-220.6K1.6M-77.1K0.1519.58N/AN/A3845621,43625,432
2012-07-05$13.02$12.5032.9%9.4%29.2%23.1%31.8%1.3%15.4%-203.1K1.2M-76.6K0.5881.30N/AN/A56032421,69225,440
2012-07-06$12.20$12.5037.5%14.6%37.5%30.7%51.5%4.4%-7.5%-261.2K8.2M-72.2K0.2455.65N/AN/A2,56861621,79225,520
2012-07-09$12.05$12.5038.1%14.4%37.3%31.6%50.2%4.8%-6.7%-242.5K8.7M-72.8K0.5824.01N/AN/A95655223,67625,888
2012-07-10$11.90$12.5029.8%14.5%37.1%17.9%53.3%4.5%-7.3%-240.1K9.8M-71.2K1.7241.74N/AN/A11620024,17626,008
2012-07-11$11.83$12.5040.8%14.8%36.7%36.0%49.0%4.2%-7.0%-242.3K10.6M-69.7K1.7641.77N/AN/A13223224,26026,168
2012-07-12$11.81$12.5052.1%14.9%36.6%54.6%50.0%3.4%-8.1%-243.3K10.8M-69.0K0.9436.42N/AN/A646024,28426,272
2012-07-13$11.85$12.5051.3%14.7%36.6%53.4%53.3%4.2%-7.3%-256.8K10.8M-68.5K11.4123.40N/AN/A881,00424,30026,332
2012-07-16$11.85$12.5053.0%15.2%35.7%56.1%52.2%2.7%-8.9%-273.4K11.5M-65.5K0.7021.18N/AN/A26418424,31627,212
2012-07-17$11.71$12.5052.8%15.1%35.5%55.8%50.0%4.5%-5.5%-245.9K12.4M-64.0K0.2034.09N/AN/A801624,49227,384
2012-07-18$11.89$12.5050.8%14.6%34.9%52.5%50.9%3.8%-8.0%-235.9K11.2M-64.6K2.2918.18N/AN/A28064024,44427,364
2012-07-19$12.10$12.5050.7%14.5%35.5%52.3%51.3%4.1%-7.4%-331.4K9.4M-66.7K4.4642.11N/AN/A2601,16024,49627,500
2012-07-20$11.85$12.5054.9%15.7%34.8%59.3%54.0%3.7%-10.3%-269.9K12.1M-64.5K0.6825.80N/AN/A40827624,62828,492
2012-07-23$11.54$12.5057.1%16.4%35.5%62.8%55.3%3.6%-11.0%-240.9K11.7M-59.4K0.7040.36N/AN/A18412822,93226,032
2012-07-24$11.39$12.5056.9%16.3%34.7%62.6%56.1%4.3%-9.1%-251.6K13.4M-55.9K1.1219.73N/AN/A20422823,03226,124
2012-07-25$11.35$12.5057.9%16.6%34.4%64.3%53.7%4.4%-13.0%-255.2K13.4M-55.7K0.2719.42N/AN/A1323623,11626,224
2012-07-26$11.42$12.5055.0%15.8%33.0%59.5%54.2%2.6%-9.6%-270.6K13.8M-54.5K0.8015.85N/AN/A36429223,22826,236
2012-07-27$11.49$12.5054.8%15.7%33.0%59.2%54.8%3.7%-9.8%-268.8K13.1M-55.0K2.0319.91N/AN/A5041,02423,46426,264
2012-07-30$11.41$12.5060.9%17.4%30.9%69.1%62.0%3.4%-13.5%-275.4K13.6M-54.1K1.2535.41N/AN/A1,1361,42423,74026,960
2012-07-31$11.25$12.5062.7%18.0%29.8%72.2%62.7%4.0%-13.7%-275.2K14.8M-53.5K1.4017.12N/AN/A39655624,64028,152