OTEX Options History — September 2012

In September 2012, OTEX traded between $13.48 and $14.34. ATM implied volatility averaged 26.4%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 3.2% (HV 20d: 23.2%). Max pain ranged from $12.50 to $13.75. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.82.

Notable Days

  • 2012-09-06: Highest Volume — 2,740 contracts
  • 2012-09-13: Largest IV spike — 10.7% change
  • 2012-09-17: Highest IV Rank — 15.3%
  • 2012-09-17: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.94$13.48$14.34$13.52$13.79
Max Pain$13.55$12.50$13.75$12.50$13.75
ATM IV26.4%24.7%29.3%25.7%25.9%
Expected Move7.7%7.1%8.4%7.4%7.4%
HV 20d23.2%15.9%38.4%37.4%25.1%
HV 60d34.1%33.3%34.9%34.5%33.8%
IV Rank11.1%8.5%15.3%10.0%10.3%
IV Percentile15.5%9.1%25.4%12.7%15.9%
Term Structure9.8%3.2%12.6%3.3%12.4%
VWIV25.9%14.2%30.0%25.7%25.9%
Skew 25d3.0%-8.3%11.9%7.0%3.7%
Skew 10d6.0%-10.5%20.5%11.7%6.0%
Call IV 25d24.8%16.9%27.2%21.6%24.0%
Put IV 25d27.8%18.0%30.0%28.6%27.7%
Bid-Ask Spread %29.9812.9784.4220.8025.88
Gamma HHI0.380.330.450.340.43
Net GEX332.2K202.8K404.8K251.8K261.0K
Net DEX-10.6M-15.3M-4.8M-6.8M-7.1M
Net VEX-61.2K-65.6K-55.8K-63.2K-57.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.083.270.121.81
Total Volume723.579842,740340752
Total OI38,382.10534,96441,15235,64436,404

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-09-04$13.52$12.5025.7%7.4%37.4%10.0%25.7%7.0%3.3%251.8K-6.8M-63.2K0.1220.80N/AN/A3043619,84015,804
2012-09-05$13.48$12.5025.5%7.3%37.1%9.7%0.0%4.9%3.2%253.4K-6.5M-64.0K1.2021.14N/AN/A24028820,02815,820
2012-09-06$13.99$12.5024.7%7.1%38.4%8.6%24.7%11.9%3.8%280.9K-11.0M-61.3K0.2830.35N/AN/A2,13660420,18016,064
2012-09-07$14.04$13.7524.7%8.1%38.4%8.6%25.4%3.9%9.4%369.2K-12.0M-64.4K0.7117.50N/AN/A85260422,00016,432
2012-09-10$13.89$13.7526.2%8.1%17.6%10.7%26.6%4.3%10.3%365.2K-10.8M-65.2K0.8512.97N/AN/A66056422,46016,720
2012-09-11$13.99$13.7527.2%8.2%16.9%12.3%27.0%2.7%10.4%376.8K-11.6M-65.6K0.7313.12N/AN/A44032022,69216,952
2012-09-12$14.01$13.7525.1%8.0%16.4%9.2%28.0%3.0%10.0%389.6K-11.9M-65.4K0.9730.43N/AN/A34833622,90417,132
2012-09-13$13.96$13.7527.8%8.0%15.9%13.2%27.7%3.2%10.5%396.6K-11.6M-65.2K0.3528.99N/AN/A33611623,09617,316
2012-09-14$14.26$13.7527.7%7.9%17.4%12.9%27.4%4.5%10.7%400.1K-14.5M-63.5K1.0020.82N/AN/A32432423,14817,348
2012-09-17$14.16$13.7529.3%8.4%17.7%15.3%30.0%3.6%9.3%399.0K-14.0M-62.8K0.2723.91N/AN/A43611623,26417,468
2012-09-18$14.11$13.7526.9%7.7%17.7%11.8%0.0%2.1%11.6%404.8K-13.2M-61.2K0.0848.52N/AN/A104823,44817,472
2012-09-19$14.34$13.7526.8%7.7%18.4%11.6%27.2%-0.4%10.7%359.5K-15.3M-59.1K0.1132.43N/AN/A3724023,36017,476
2012-09-20$14.15$13.7527.4%7.9%19.1%12.6%27.3%2.3%11.6%369.0K-14.4M-59.8K2.0030.08N/AN/A285623,65617,496
2012-09-21$14.02$13.7526.3%7.5%19.4%10.9%26.2%2.2%12.6%361.1K-13.4M-58.2K0.5584.42N/AN/A28415623,48017,436
2012-09-24$14.06$13.7524.7%7.1%18.9%8.5%24.8%1.1%12.6%320.5K-9.0M-56.1K0.3334.74N/AN/A54017620,24414,720
2012-09-25$13.65$13.7526.7%7.7%22.0%11.6%14.2%-8.3%10.8%242.1K-6.2M-57.8K0.5434.95N/AN/A45224420,77614,820
2012-09-26$13.51$13.7527.1%7.8%22.3%12.1%27.5%1.5%11.4%202.8K-4.8M-56.4K3.2724.80N/AN/A4414421,02814,828
2012-09-27$13.94$13.7525.8%7.4%24.8%10.1%25.1%3.3%12.2%307.9K-8.0M-55.8K0.5033.86N/AN/A64432021,02414,924
2012-09-28$13.79$13.7525.9%7.4%25.1%10.3%25.9%3.7%12.4%261.0K-7.1M-57.0K1.8125.88N/AN/A26848421,27615,128