OTEX Options History — February 2013

In February 2013, OTEX traded between $13.53 and $14.69. ATM implied volatility averaged 21.5%, placing in the 4.8% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 0.2% (HV 20d: 21.2%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.42.

Notable Days

  • 2013-02-05: Highest Volume — 3,804 contracts
  • 2013-02-04: Largest IV spike — 12.2% change
  • 2013-02-04: Highest IV Rank — 11.1%
  • 2013-02-04: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.19$13.53$14.69$14.55$13.74
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV21.5%19.6%25.8%23.0%19.6%
Expected Move6.1%5.6%7.4%6.7%5.6%
HV 20d21.2%15.1%24.6%24.1%16.3%
HV 60d21.3%19.6%22.3%22.2%19.6%
IV Rank4.8%2.1%11.1%7.0%2.1%
IV Percentile5.7%1.2%33.7%7.1%1.2%
Term Structure3.6%1.4%5.3%4.5%2.3%
VWIV21.0%13.8%26.8%24.2%15.2%
Skew 25d3.8%-0.7%7.9%2.2%0.5%
Skew 10d6.7%-2.5%12.6%4.7%0.8%
Call IV 25d19.2%15.3%23.4%23.4%16.8%
Put IV 25d23.0%17.2%26.3%25.6%17.2%
Bid-Ask Spread %13.457.4418.2414.4011.89
Gamma HHI0.340.300.430.330.32
Net GEX-546.9K-736.6K-194.3K-263.4K-734.7K
Net DEX13.8M6.9M21.9M7.8M20.2M
Net VEX-111.9K-123.8K-94.2K-123.8K-98.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.096.840.650.12
Total Volume730.105763,804304232
Total OI52,897.26344,84858,71255,56446,816

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-02-01$14.55$15.0023.0%6.7%24.1%7.0%0.0%2.2%4.5%-263.4K7.8M-123.8K0.6514.40N/AN/A18412019,44436,120
2013-02-04$14.37$15.0025.8%7.4%24.1%11.1%24.2%3.1%3.5%-380.2K10.6M-120.8K1.0314.90N/AN/A64466419,33636,180
2013-02-05$14.51$15.0023.2%6.4%24.3%7.4%23.3%2.1%4.6%-323.4K8.8M-121.2K2.5013.94N/AN/A1,0882,71619,58436,568
2013-02-06$14.43$15.0021.9%6.3%24.3%5.5%23.3%1.9%4.7%-410.8K10.5M-123.5K4.2415.03N/AN/A10042420,35237,812
2013-02-07$14.26$15.0023.6%6.8%24.6%7.9%23.6%2.9%4.3%-566.3K13.0M-120.4K6.8410.04N/AN/A7652020,39638,000
2013-02-08$14.44$15.0021.0%6.0%23.8%4.1%22.2%3.2%5.3%-424.5K10.6M-123.4K0.6014.10N/AN/A34820820,44838,260
2013-02-11$14.66$15.0021.1%6.1%24.4%4.3%20.1%5.4%5.0%-203.1K7.1M-121.1K0.447.44N/AN/A52022820,38038,332
2013-02-12$14.69$15.0021.1%6.1%24.3%4.3%22.7%5.2%4.9%-194.3K6.9M-120.2K0.5811.06N/AN/A482820,25638,360
2013-02-13$14.61$15.0020.8%6.0%23.7%3.9%20.8%4.7%5.3%-449.4K8.9M-116.8K1.6510.04N/AN/A14824420,28438,364
2013-02-14$14.38$15.0020.8%6.0%24.3%3.9%20.8%2.1%5.3%-686.6K11.5M-112.7K0.939.01N/AN/A27225220,10838,284
2013-02-15$14.36$15.0021.9%6.3%23.6%5.4%20.3%1.7%5.1%-705.4K11.7M-112.5K0.6712.96N/AN/A27618420,25238,352
2013-02-19$14.30$15.0020.4%5.8%21.4%3.2%19.5%2.1%2.1%-733.5K13.9M-110.0K0.5611.54N/AN/A1,14464412,86031,988
2013-02-20$13.99$15.0020.3%5.8%18.5%3.1%19.8%-0.7%2.0%-725.8K17.4M-106.7K1.5718.24N/AN/A16826413,66432,248
2013-02-21$13.77$15.0020.6%5.9%18.7%3.5%20.6%7.9%2.0%-715.0K19.5M-104.4K1.2517.02N/AN/A24030013,74032,372
2013-02-22$13.74$15.0020.0%5.7%16.0%2.6%19.9%7.3%2.4%-728.6K20.2M-100.2K0.8316.95N/AN/A21217613,80432,500
2013-02-25$13.63$15.0022.0%6.3%16.0%5.6%22.0%6.1%1.4%-707.4K21.0M-99.0K0.1916.37N/AN/A4728813,94032,492
2013-02-26$13.53$15.0020.9%6.0%15.1%4.0%26.8%6.4%2.2%-701.1K21.9M-94.2K2.2615.57N/AN/A9220813,96432,516
2013-02-27$13.72$15.0019.8%5.7%16.2%2.4%13.8%7.9%2.1%-736.6K20.8M-97.3K0.0914.99N/AN/A3122814,01632,656
2013-02-28$13.74$15.0019.6%5.6%16.3%2.1%15.2%0.5%2.3%-734.7K20.2M-98.0K0.1211.89N/AN/A2082414,15632,660