OTEX Options History — August 2012 In August 2012, OTEX traded between $11.55 and $13.64. ATM implied volatility averaged 42.2%, placing in the 36.5% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 2.8% (HV 20d: 39.3%). Max pain ranged from $11.25 to $12.50. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 1.49.
Notable Days 2012-08-10 : Highest Volume — 25,140 contracts2012-08-10 : Largest IV drop — 63.1% change2012-08-07 : Highest IV Rank — 100.0%2012-08-03 : Largest Expected Move — 19.7%Monthly Statistics Metric Avg Min Max Open Close Price $13.08 $11.55 $13.64 $11.56 $13.45 Max Pain $12.34 $11.25 $12.50 $12.50 $12.50 ATM IV 42.2% 24.3% 86.5% 64.4% 24.3% Expected Move 10.6% 7.0% 19.7% 18.5% 7.0% HV 20d 39.3% 27.8% 46.1% 30.5% 38.9% HV 60d 33.9% 28.5% 36.9% 28.7% 34.7% IV Rank 36.5% 8.0% 100.0% 74.9% 8.0% IV Percentile 41.3% 6.0% 100.0% 99.2% 6.0% Term Structure 1.7% -22.7% 11.7% -16.9% 4.0% VWIV 37.4% 20.7% 68.2% 64.6% 24.3% Skew 25d 4.3% 0.1% 7.5% 1.4% 5.8% Skew 10d 9.0% -2.2% 30.0% 11.8% 9.6% Call IV 25d 35.1% 21.0% 68.0% 64.5% 21.0% Put IV 25d 39.4% 26.7% 68.1% 65.9% 26.7% Bid-Ask Spread % 24.14 12.91 42.62 35.96 13.37 Gamma HHI 0.34 0.22 0.75 0.27 0.32 Net GEX 195.4K -274.1K 1.1M -265.5K 249.6K Net DEX -4.0M -15.2M 12.7M 12.3M -6.2M Net VEX -55.1K -62.9K -47.6K -57.9K -62.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.49 0.11 5.21 0.50 1.01 Total Volume 3,398.957 120 25,140 1,052 2,548 Total OI 44,276.87 24,788 61,216 53,708 33,984
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2012-08-01 $11.56 $12.50 64.4% 18.5% 30.5% 74.9% 64.6% 1.4% -16.9% -265.5K 12.3M -57.9K 0.50 35.96 N/A N/A 700 352 25,176 28,532 2012-08-02 $11.55 $12.50 63.7% 18.3% 30.4% 73.8% 64.0% 4.2% -15.3% -274.1K 12.7M -56.1K 3.36 36.83 N/A N/A 788 2,644 25,568 28,676 2012-08-03 $12.14 $12.50 68.7% 19.7% 27.8% 82.0% 68.2% 0.1% -22.7% -194.0K 6.2M -61.6K 3.54 42.62 N/A N/A 988 3,496 25,860 28,196 2012-08-06 $12.56 $11.25 76.8% 13.9% 30.0% 95.4% 47.4% 7.1% -1.9% -84.3K 1.1M -60.8K 3.74 28.00 N/A N/A 628 2,348 26,288 26,940 2012-08-07 $12.42 $11.25 79.9% 14.1% 29.9% 100.0% 50.0% 6.7% -1.5% -30.4K 1.2M -58.4K 1.15 21.96 N/A N/A 892 1,028 26,440 25,040 2012-08-08 $12.29 $11.25 83.4% 14.3% 30.1% 100.0% 48.9% 6.4% -2.1% -38.3K 2.0M -57.3K 0.63 26.07 N/A N/A 1,992 1,260 26,656 25,016 2012-08-09 $12.35 $12.50 86.5% 13.8% 30.1% 100.0% 50.1% 5.7% 0.2% -23.3K 1.3M -58.7K 1.92 29.24 N/A N/A 3,400 6,516 27,652 25,884 2012-08-10 $13.63 $12.50 31.9% 9.1% 45.6% 19.3% 33.1% 3.1% 8.0% 380.0K -15.2M -47.6K 1.13 21.64 N/A N/A 11,776 13,364 28,524 28,392 2012-08-13 $13.45 $12.50 32.5% 9.1% 46.1% 20.1% 31.7% 3.1% 8.9% 378.2K -11.8M -53.8K 0.44 30.56 N/A N/A 1,036 456 30,960 30,040 2012-08-14 $13.34 $12.50 24.8% 9.0% 45.9% 8.7% 31.0% 3.6% 8.6% 325.8K -10.4M -51.1K 5.21 17.64 N/A N/A 228 1,188 31,024 30,192 2012-08-15 $13.54 $12.50 27.4% 8.6% 45.9% 12.6% 30.2% 3.4% 11.1% 520.4K -10.6M -51.5K 0.51 20.19 N/A N/A 424 216 29,484 30,196 2012-08-16 $13.57 $12.50 30.7% 8.8% 45.8% 17.4% 32.5% 4.1% 10.9% 751.1K -10.4M -49.1K 0.59 20.81 N/A N/A 2,148 1,272 29,452 28,932 2012-08-17 $13.64 $12.50 29.4% 8.4% 44.7% 15.5% 29.5% 3.9% 11.7% 1.1M -10.5M -51.5K 0.36 20.35 N/A N/A 1,868 680 30,092 29,788 2012-08-20 $13.62 $12.50 28.9% 8.3% 43.1% 14.8% 31.0% 3.3% 3.9% 132.1K -6.0M -49.5K 0.74 23.78 N/A N/A 1,332 980 13,412 11,376 2012-08-21 $13.63 $12.50 28.5% 8.2% 42.4% 14.1% 28.6% 4.3% 3.7% 154.0K -6.4M -50.9K 0.11 20.69 N/A N/A 1,276 136 14,380 11,604 2012-08-22 $13.58 $12.50 28.2% 8.1% 42.4% 13.7% 20.7% 4.2% 4.1% 181.3K -6.6M -53.5K 4.00 18.91 N/A N/A 24 96 15,332 11,696 2012-08-23 $13.51 $12.50 28.6% 8.2% 42.7% 14.4% 28.5% 4.1% 4.0% 178.7K -6.3M -53.1K 0.83 21.10 N/A N/A 92 76 15,356 11,748 2012-08-24 $13.39 $12.50 28.1% 8.1% 43.2% 13.6% 29.5% 3.8% 4.1% 176.3K -5.5M -52.9K 0.81 26.22 N/A N/A 192 156 15,380 11,808 2012-08-27 $13.34 $12.50 26.9% 7.7% 43.0% 11.8% 27.7% 2.9% 3.3% 192.9K -5.3M -51.2K 1.24 21.30 N/A N/A 1,736 2,148 15,568 11,928 2012-08-28 $13.41 $12.50 25.9% 7.4% 42.2% 10.3% 26.2% 7.5% 3.9% 198.9K -5.6M -56.0K 0.62 16.23 N/A N/A 2,056 1,268 16,756 13,292 2012-08-29 $13.46 $12.50 25.3% 7.3% 41.7% 9.5% 25.3% 6.2% 4.2% 227.9K -6.1M -60.4K 0.58 12.91 N/A N/A 968 564 18,192 14,108 2012-08-30 $13.35 $12.50 25.1% 7.2% 42.0% 9.2% 0.0% 5.2% 3.9% 238.4K -5.5M -61.4K 1.28 28.87 N/A N/A 368 472 18,988 14,460 2012-08-31 $13.45 $12.50 24.3% 7.0% 38.9% 8.0% 24.3% 5.8% 4.0% 249.6K -6.2M -62.9K 1.01 13.37 N/A N/A 1,268 1,280 19,192 14,792
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