OTEX Options History — November 2012

In November 2012, OTEX traded between $12.95 and $14.42. ATM implied volatility averaged 25.2%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 0.6% (HV 20d: 24.6%). Max pain ranged from $12.50 to $13.75. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.38.

Notable Days

  • 2012-11-19: Highest Volume — 1,812 contracts
  • 2012-11-30: Largest IV spike — 39.5% change
  • 2012-11-05: Highest IV Rank — 15.9%
  • 2012-11-09: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.56$12.95$14.42$13.19$14.35
Max Pain$13.45$12.50$13.75$12.50$13.75
ATM IV25.2%18.7%29.6%28.5%26.1%
Expected Move7.5%5.4%8.6%8.2%7.5%
HV 20d24.6%22.5%28.6%23.1%24.4%
HV 60d23.6%20.7%29.1%29.1%24.3%
IV Rank9.4%0.0%15.9%14.2%10.9%
IV Percentile15.3%0.0%34.1%29.4%23.0%
Term Structure3.5%-0.4%7.4%-0.4%0.1%
VWIV26.3%21.7%30.9%30.1%26.3%
Skew 25d3.3%-0.4%9.3%3.1%2.7%
Skew 10d8.1%-3.3%18.7%17.1%2.0%
Call IV 25d24.4%16.0%28.8%28.8%23.2%
Put IV 25d27.8%22.3%31.9%31.9%25.8%
Bid-Ask Spread %33.0714.9781.4121.4132.73
Gamma HHI0.340.260.570.300.37
Net GEX60.2K-161.4K181.5K17.3K181.5K
Net DEX-2.8M-5.0M-1.2M-2.3M-3.7M
Net VEX-23.3K-28.5K-17.9K-28.4K-26.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.380.0516.500.843.00
Total Volume720.19641,8121,40464
Total OI25,905.5249,57637,41235,76413,740

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$13.19$12.5028.5%8.2%23.1%14.2%30.1%3.1%-0.4%17.3K-2.3M-28.4K0.8421.41N/AN/A76464020,59215,172
2012-11-02$13.23$12.5029.0%8.3%23.2%14.9%29.3%4.7%0.2%28.2K-2.7M-28.5K0.7914.97N/AN/A48438420,61215,300
2012-11-05$13.30$12.5029.6%8.2%22.5%15.9%30.6%2.8%5.6%44.6K-3.5M-26.8K7.0029.93N/AN/A1611220,63615,480
2012-11-06$13.49$12.5028.3%8.0%23.0%13.9%28.2%3.0%6.0%109.6K-5.0M-25.5K1.3623.72N/AN/A31242420,63615,504
2012-11-07$13.37$12.5027.2%8.0%23.2%12.3%27.7%2.6%5.9%72.0K-4.1M-24.5K1.1416.07N/AN/A22425620,81615,424
2012-11-08$13.33$13.7527.1%8.0%23.0%12.0%0.0%2.9%5.6%61.8K-4.0M-23.9K16.5028.80N/AN/A2439620,88415,456
2012-11-09$13.07$13.7524.3%8.6%23.9%7.9%30.9%3.1%5.5%-57.3K-1.7M-22.8K2.4417.91N/AN/A15638020,88415,396
2012-11-12$13.13$13.7527.9%8.4%23.9%13.3%26.5%3.5%5.9%-28.6K-2.0M-22.1K3.2424.11N/AN/A18058421,00815,512
2012-11-13$13.04$13.7522.2%8.4%23.6%4.8%28.7%5.6%6.1%-60.5K-2.9M-17.9K3.8418.89N/AN/A7629221,11615,752
2012-11-14$12.95$13.7526.5%8.3%23.6%11.2%27.8%4.0%6.2%-161.4K-1.5M-19.3K1.3531.89N/AN/A24833621,14815,872
2012-11-15$13.32$13.7527.0%7.7%25.9%12.0%27.6%6.3%6.7%75.0K-4.0M-18.5K2.1542.73N/AN/A26857621,12415,940
2012-11-16$13.33$13.7525.3%7.3%25.9%9.5%26.4%3.3%7.4%102.2K-4.1M-19.3K0.5427.42N/AN/A68036421,28816,124
2012-11-19$13.82$13.7522.2%6.4%28.6%4.9%21.7%3.5%2.6%59.8K-1.3M-19.8K0.4736.12N/AN/A1,2365765,0764,500
2012-11-20$13.68$13.7522.7%6.5%25.8%5.6%23.0%2.4%2.0%69.6K-1.2M-21.7K0.1561.71N/AN/A600885,8964,848
2012-11-21$13.77$13.7522.7%6.5%25.7%5.5%22.6%9.3%2.3%101.5K-1.8M-23.2K0.3544.48N/AN/A160566,4204,924
2012-11-23$13.88$13.7523.0%6.6%25.3%6.1%0.0%3.4%2.1%114.5K-2.2M-23.0K0.7329.16N/AN/A120886,5484,940
2012-11-26$13.71$13.7523.4%6.7%23.9%6.7%23.4%2.7%1.0%104.4K-1.7M-22.8K1.2073.70N/AN/A1601926,6325,016
2012-11-27$14.16$13.7523.8%6.8%26.2%7.1%22.9%0.2%1.0%139.6K-3.0M-23.5K0.4017.58N/AN/A1,2484966,7925,180
2012-11-28$14.13$13.7524.3%7.0%26.3%8.0%24.2%-0.4%1.5%143.1K-2.9M-25.2K2.4981.41N/AN/A1563887,2605,516
2012-11-29$14.42$13.7518.7%5.4%26.0%0.0%22.7%1.8%0.9%146.9K-3.8M-25.6K0.0519.80N/AN/A1,252687,2885,764
2012-11-30$14.35$13.7526.1%7.5%24.4%10.9%26.3%2.7%0.1%181.5K-3.7M-26.3K3.0032.73N/AN/A16487,9685,772