OTEX Options History — October 2012

In October 2012, OTEX traded between $12.66 and $13.81. ATM implied volatility averaged 36.0%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 13.9% (HV 20d: 22.1%). Max pain ranged from $12.50 to $13.75. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.43.

Notable Days

  • 2012-10-31: Highest Volume — 4,344 contracts
  • 2012-10-11: Largest IV spike — 62.5% change
  • 2012-10-31: Highest IV Rank — 41.1%
  • 2012-10-31: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.35$12.66$13.81$13.67$13.49
Max Pain$12.74$12.50$13.75$13.75$12.50
ATM IV36.0%24.4%46.7%26.7%46.7%
Expected Move11.1%7.2%13.4%7.6%13.4%
HV 20d22.1%19.9%25.4%25.2%22.2%
HV 60d30.6%29.4%31.1%30.9%29.4%
IV Rank25.3%8.2%41.1%11.5%41.1%
IV Percentile54.5%7.1%88.9%18.3%88.9%
Term Structure-2.3%-11.5%12.8%10.8%-11.5%
VWIV37.0%16.3%48.8%27.1%48.8%
Skew 25d4.9%1.8%9.4%1.8%6.3%
Skew 10d8.6%-0.4%17.6%2.7%17.6%
Call IV 25d35.9%19.4%44.5%26.6%44.5%
Put IV 25d40.8%21.7%50.8%28.3%50.8%
Bid-Ask Spread %33.4915.0075.7875.7819.09
Gamma HHI0.360.290.450.420.37
Net GEX146.8K-23.9K260.0K217.3K172.8K
Net DEX-3.4M-7.0M1.7M-6.0M-4.3M
Net VEX-44.5K-54.4K-35.2K-54.2K-35.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.430.126.640.781.04
Total Volume575.81764,3442564,344
Total OI35,705.33332,66436,94036,38834,008

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$13.67$13.7526.7%7.6%25.2%11.5%27.1%1.8%10.8%217.3K-6.0M-54.2K0.7875.78N/AN/A14411221,15215,236
2012-10-02$13.81$13.7527.0%7.7%25.4%12.0%20.4%9.4%10.8%260.0K-7.0M-54.4K0.6641.00N/AN/A1288421,15215,240
2012-10-03$13.79$13.7526.0%7.5%25.4%10.5%24.8%2.3%11.9%251.9K-6.7M-53.3K0.0030.06N/AN/A011221,20815,188
2012-10-04$13.53$13.7525.3%7.2%22.4%9.4%16.3%3.6%12.8%176.9K-4.6M-51.9K0.2036.35N/AN/A3046021,20815,216
2012-10-05$13.49$12.5024.4%10.7%22.4%8.2%36.9%6.0%-2.4%167.8K-4.4M-51.4K0.1550.24N/AN/A1041621,36415,208
2012-10-08$13.45$12.5025.1%11.0%22.1%9.2%40.8%6.2%-3.0%152.9K-4.0M-48.7K1.6138.85N/AN/A9214821,38815,216
2012-10-09$13.55$12.5026.2%10.9%22.2%10.8%39.1%5.4%-2.8%190.2K-5.0M-49.4K0.1236.61N/AN/A1321621,43215,300
2012-10-10$13.46$12.5024.5%11.3%22.2%8.2%39.7%4.0%-4.3%179.4K-4.3M-48.4K0.7640.55N/AN/A685221,55615,284
2012-10-11$13.39$12.5039.8%11.4%22.2%30.9%40.1%4.9%-4.1%160.3K-3.8M-47.0K5.7124.04N/AN/A2816021,56015,260
2012-10-12$13.54$12.5039.5%11.3%21.0%30.5%41.1%4.9%-4.1%220.8K-4.9M-46.3K0.5035.80N/AN/A804021,54415,300
2012-10-15$13.52$12.5040.9%11.7%21.0%32.5%37.6%3.9%-5.3%228.3K-4.8M-45.0K0.9242.21N/AN/A484421,56815,260
2012-10-16$13.44$12.5040.7%11.7%21.0%32.2%40.4%5.0%-5.3%198.1K-3.9M-43.6K0.4331.22N/AN/A1406021,60415,272
2012-10-17$13.44$12.5040.2%11.5%19.9%31.5%25.9%4.9%-4.9%192.6K-3.9M-43.0K2.8027.60N/AN/A205621,62415,316
2012-10-18$13.27$12.5040.4%11.6%19.9%31.8%42.6%5.1%-5.3%124.0K-2.5M-40.5K6.6428.57N/AN/A4429221,53215,148
2012-10-19$12.83$12.5043.0%12.3%22.5%35.7%41.9%4.5%-5.4%-21.2K535.4K-39.1K0.5631.91N/AN/A50428021,53615,400
2012-10-22$12.78$12.5043.8%12.6%22.4%36.9%42.6%5.8%-6.9%5.3K801.2K-36.9K0.7718.22N/AN/A29622818,74013,924
2012-10-23$12.66$12.5044.4%12.7%20.5%37.8%43.7%5.4%-7.4%-23.9K1.7M-35.3K3.1824.71N/AN/A8828018,94814,008
2012-10-24$13.06$12.5046.2%13.2%23.7%40.3%43.4%6.3%-7.8%62.6K-1.3M-37.3K0.4528.66N/AN/A44820019,00814,056
2012-10-25$13.07$12.5044.3%12.7%20.3%37.6%42.8%3.8%-6.8%66.1K-1.4M-37.2K0.8826.86N/AN/A91680819,28814,104
2012-10-26$13.18$12.5041.5%11.9%20.4%33.5%41.7%4.3%-7.4%99.6K-2.3M-36.3K0.4815.00N/AN/A75236419,45614,000
2012-10-31$13.49$12.5046.7%13.4%22.2%41.1%48.8%6.3%-11.5%172.8K-4.3M-35.2K1.0419.09N/AN/A2,1282,21619,69614,312