OTEX Options History — January 2013

In January 2013, OTEX traded between $14.31 and $15.03. ATM implied volatility averaged 28.0%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 7.3% (HV 20d: 20.7%). Max pain ranged from $13.75 to $13.75. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.64.

Notable Days

  • 2013-01-10: Highest Volume — 17,252 contracts
  • 2013-01-10: Largest IV spike — 75.4% change
  • 2013-01-24: Highest IV Rank — 30.1%
  • 2013-01-24: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.63$14.31$15.03$14.37$14.59
Max Pain$13.75$13.75$13.75$13.75$13.75
ATM IV28.0%18.2%38.7%23.2%24.0%
Expected Move8.7%6.5%11.1%6.6%6.9%
HV 20d20.7%16.7%25.9%17.7%24.1%
HV 60d22.3%21.7%23.2%22.1%22.2%
IV Rank14.2%0.0%30.1%6.6%8.6%
IV Percentile37.2%0.0%77.0%5.6%16.3%
Term Structure-2.0%-7.2%9.6%8.6%-0.2%
VWIV30.6%21.1%38.8%21.1%24.0%
Skew 25d3.1%0.9%6.3%1.1%2.4%
Skew 10d7.9%1.4%19.7%2.5%5.7%
Call IV 25d29.2%19.9%38.4%21.3%22.7%
Put IV 25d32.3%22.4%39.3%22.4%25.1%
Bid-Ask Spread %36.5912.5491.4091.4073.14
Gamma HHI0.350.270.610.470.32
Net GEX-80.8K-433.4K738.2K247.1K-256.4K
Net DEX2.5M-5.1M9.6M-5.1M7.2M
Net VEX-108.4K-134.2K-58.5K-58.5K-126.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.640.029.680.250.35
Total Volume2,376.38112417,252528292
Total OI44,563.8126,02456,01626,02455,568

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$14.37$13.7523.2%6.6%17.7%6.6%21.1%1.1%8.6%247.1K-5.1M-58.5K0.2591.40N/AN/A42410413,92012,104
2013-01-03$14.31$13.7522.8%6.5%17.2%6.1%22.5%2.1%9.6%240.1K-4.8M-58.9K9.2716.62N/AN/A4924,56014,12012,124
2013-01-04$14.49$13.7519.9%9.0%16.9%1.7%31.9%3.7%-3.0%152.5K-4.0M-71.9K3.9515.86N/AN/A5242,07214,42416,288
2013-01-07$14.41$13.7519.8%9.2%17.0%1.6%32.9%2.4%-3.6%98.4K-2.2M-79.0K1.1927.45N/AN/A12414814,64818,276
2013-01-08$14.37$13.7522.9%9.7%16.7%6.3%35.2%3.4%-3.6%85.6K-2.0M-78.5K1.4034.22N/AN/A28840414,62418,264
2013-01-09$14.48$13.7518.2%9.1%16.8%0.0%33.0%3.7%-3.5%111.0K-2.7M-78.4K1.8212.54N/AN/A448014,70818,348
2013-01-10$14.79$13.7531.9%9.1%18.0%20.0%32.8%3.3%-2.5%177.5K-5.1M-77.4K9.6850.67N/AN/A1,61615,63614,72418,304
2013-01-11$14.82$13.7532.5%9.3%17.9%21.0%32.8%3.9%-3.0%-224.8K4.9M-129.6K0.7622.66N/AN/A22016815,61633,248
2013-01-14$14.71$13.7533.2%9.5%18.1%22.0%34.7%3.5%-3.6%-250.6K6.2M-127.4K0.0421.55N/AN/A224815,78833,428
2013-01-15$14.49$13.7533.5%9.6%18.9%22.4%33.5%3.5%-3.9%-391.9K8.5M-125.8K0.2266.41N/AN/A3487615,84433,432
2013-01-16$14.41$13.7532.9%9.4%19.0%21.5%35.4%3.9%-3.6%-433.4K9.6M-124.1K1.5255.73N/AN/A8412815,83233,460
2013-01-17$14.64$13.7534.2%9.8%18.3%23.4%34.1%3.3%-4.5%-353.1K6.9M-124.1K0.0216.89N/AN/A1,1482015,75233,336
2013-01-18$15.03$13.7534.6%9.9%19.9%24.1%34.7%3.0%-5.5%738.2K1.7M-124.9K1.1415.51N/AN/A23626816,32833,352
2013-01-22$14.47$13.7535.0%10.0%24.4%24.7%35.9%3.4%-5.9%-412.8K8.9M-119.7K0.3967.58N/AN/A2,28888814,79232,800
2013-01-23$14.61$13.7534.7%10.0%24.5%24.2%34.7%1.1%-6.3%-355.1K6.9M-124.8K0.1817.60N/AN/A1,08820016,25233,368
2013-01-24$14.95$13.7538.7%11.1%25.7%30.1%38.8%0.9%-7.2%-263.9K2.7M-125.4K0.9339.92N/AN/A4,8004,47216,76433,476
2013-01-25$14.82$13.7522.6%6.5%25.5%6.5%22.7%2.0%0.7%-106.8K3.1M-134.2K0.2455.52N/AN/A2,61264019,99636,020
2013-01-28$14.97$13.7524.5%7.0%25.5%9.2%24.3%3.0%-0.6%-117.2K1.6M-129.6K0.4018.62N/AN/A42416819,49236,068
2013-01-29$14.78$13.7523.8%6.8%25.7%8.3%23.7%6.3%-0.1%-156.1K4.4M-129.8K0.3416.88N/AN/A96032419,54436,108
2013-01-30$14.66$13.7524.3%7.0%25.9%9.0%24.3%5.2%-0.3%-225.9K6.3M-127.7K0.2631.51N/AN/A1,03227219,22836,072
2013-01-31$14.59$13.7524.0%6.9%24.1%8.6%24.0%2.4%-0.2%-256.4K7.2M-126.5K0.3573.14N/AN/A2167619,48036,088