OTEX Options History — December 2012

In December 2012, OTEX traded between $13.82 and $14.24. ATM implied volatility averaged 23.9%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 2.4% (HV 20d: 21.5%). Max pain ranged from $13.75 to $13.75. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.82.

Notable Days

  • 2012-12-04: Highest Volume — 5,408 contracts
  • 2012-12-10: Largest IV spike — 7.6% change
  • 2012-12-03: Highest IV Rank — 10.2%
  • 2012-12-03: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.02$13.82$14.24$14.20$13.97
Max Pain$13.75$13.75$13.75$13.75$13.75
ATM IV23.9%22.8%25.6%25.6%24.5%
Expected Move6.9%6.6%7.3%7.3%7.0%
HV 20d21.5%14.3%25.7%24.9%14.9%
HV 60d22.8%21.3%24.4%24.4%21.4%
IV Rank7.7%6.1%10.2%10.2%8.6%
IV Percentile10.3%4.0%20.6%20.6%18.7%
Term Structure6.2%0.2%8.1%1.6%8.1%
VWIV23.1%20.3%25.2%25.2%24.5%
Skew 25d2.4%-1.3%5.3%2.2%5.3%
Skew 10d5.0%-3.7%12.2%-0.3%5.0%
Call IV 25d21.6%15.9%23.9%23.9%15.9%
Put IV 25d24.1%21.0%26.2%26.1%21.2%
Bid-Ask Spread %30.928.7884.5426.158.78
Gamma HHI0.380.330.420.360.42
Net GEX159.9K119.0K197.7K172.1K171.4K
Net DEX-3.2M-5.2M-1.9M-3.3M-2.7M
Net VEX-53.2K-60.9K-25.0K-25.9K-58.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.001.830.251.03
Total Volume1,085.645,40820260
Total OI23,761.213,79627,44013,79625,928

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$14.20$13.7525.6%7.3%24.9%10.2%0.0%2.2%1.6%172.1K-3.3M-25.9K0.2526.15N/AN/A1647,9765,820
2012-12-04$14.03$13.7525.2%7.2%25.5%9.6%25.2%-0.8%0.2%153.2K-2.6M-25.0K1.0520.35N/AN/A2,6362,7727,9845,824
2012-12-05$13.85$13.7524.2%6.9%25.7%8.1%23.2%3.2%0.9%129.1K-2.0M-37.3K1.1515.39N/AN/A2,0242,3209,8647,960
2012-12-06$13.94$13.7523.6%6.8%25.5%7.3%0.0%4.9%1.3%132.4K-2.4M-48.5K0.9719.33N/AN/A1,0841,04811,2609,872
2012-12-07$13.82$13.7522.8%7.0%25.7%6.1%24.3%2.3%6.2%119.0K-1.9M-51.1K0.9721.46N/AN/A48046811,93610,408
2012-12-10$13.88$13.7524.6%7.0%24.5%8.7%23.8%2.6%6.9%127.1K-2.1M-53.5K0.9219.22N/AN/A82476012,26010,852
2012-12-11$13.97$13.7523.9%6.9%24.5%7.8%22.2%3.9%7.1%139.5K-2.6M-55.5K0.5824.43N/AN/A50029212,78811,456
2012-12-12$14.09$13.7523.4%6.7%24.3%6.9%23.0%3.5%7.2%173.4K-3.4M-57.0K0.3424.29N/AN/A88830413,20011,660
2012-12-13$14.03$13.7523.2%6.6%24.1%6.6%23.2%2.6%7.8%161.5K-3.3M-58.8K0.2823.91N/AN/A2326413,71611,912
2012-12-14$13.93$13.7523.6%6.8%22.6%7.2%22.2%2.3%7.2%153.6K-2.7M-58.4K1.0436.52N/AN/A20821613,91611,968
2012-12-17$13.93$13.7523.3%6.7%22.6%6.8%22.7%2.9%7.5%153.0K-2.8M-57.5K0.6137.85N/AN/A35221614,08412,136
2012-12-18$14.24$13.7523.9%6.8%20.2%7.6%22.8%3.2%7.3%178.4K-5.0M-59.2K0.5165.09N/AN/A74438014,38012,256
2012-12-19$14.14$13.7523.1%6.6%20.0%6.5%20.3%3.6%7.7%182.0K-4.8M-59.7K1.2028.02N/AN/A33240014,89612,488
2012-12-20$14.24$13.7522.9%6.6%20.0%6.1%22.0%2.6%7.8%197.7K-5.2M-60.9K0.3525.99N/AN/A1043615,02412,344
2012-12-21$14.19$13.7523.9%6.9%19.9%7.7%23.4%3.0%7.6%192.5K-5.1M-60.1K1.1784.54N/AN/A23227215,07612,364
2012-12-24$14.20$13.7523.7%6.8%19.3%7.4%0.0%0.6%8.0%190.8K-4.1M-60.0K0.0016.05N/AN/A4013,51611,788
2012-12-26$14.03$13.7524.3%7.0%16.1%8.2%23.9%-1.2%8.1%176.5K-3.4M-59.8K1.8355.85N/AN/A9216813,52011,788
2012-12-27$13.96$13.7524.1%6.9%16.1%8.1%0.0%-1.3%7.9%158.3K-2.8M-58.8K1.3335.01N/AN/A486413,56811,896
2012-12-28$13.83$13.7524.4%7.0%14.3%8.4%0.0%3.2%8.1%136.1K-2.0M-59.2K0.7830.16N/AN/A48838013,58011,960
2012-12-31$13.97$13.7524.5%7.0%14.9%8.6%24.5%5.3%8.1%171.4K-2.7M-58.5K1.038.78N/AN/A12813213,84812,080