OTEX Options History — March 2013

In March 2013, OTEX traded between $13.73 and $14.76. ATM implied volatility averaged 17.0%, placing in the 5.5% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 1.1% (HV 20d: 15.9%). Max pain ranged from $13.75 to $15.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.95.

Notable Days

  • 2013-03-22: Highest Volume — 3,768 contracts
  • 2013-03-07: Largest IV drop — 37.1% change
  • 2013-03-25: Highest IV Rank — 9.4%
  • 2013-03-04: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.45$13.73$14.76$13.73$14.76
Max Pain$14.06$13.75$15.00$15.00$15.00
ATM IV17.0%11.6%20.2%18.8%17.6%
Expected Move5.3%4.9%6.3%5.4%5.0%
HV 20d15.9%12.4%18.6%16.3%13.6%
HV 60d19.6%19.3%19.9%19.5%19.6%
IV Rank5.5%0.0%9.4%0.9%8.1%
IV Percentile2.3%0.0%5.6%0.8%3.6%
Term Structure7.3%2.6%8.8%2.6%8.7%
VWIV19.3%17.3%25.5%20.1%17.3%
Skew 25d2.9%0.4%4.3%0.4%2.9%
Skew 10d7.0%-1.1%20.9%0.7%5.7%
Call IV 25d17.5%15.5%20.9%16.7%16.0%
Put IV 25d20.4%17.1%23.8%17.1%18.9%
Bid-Ask Spread %15.0211.6734.2412.3317.38
Gamma HHI0.320.310.360.320.36
Net GEX-716.7K-885.3K-617.7K-742.9K-878.7K
Net DEX12.1M8.3M20.3M20.3M9.4M
Net VEX-100.0K-106.1K-95.4K-96.3K-102.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.950.0510.801.100.56
Total Volume551.4483,76884444
Total OI47,307.844,56849,92847,00049,928

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$13.73$15.0018.8%5.4%16.3%0.9%0.0%0.4%2.6%-742.9K20.3M-96.3K1.1012.33N/AN/A404414,33632,664
2013-03-04$13.85$13.7520.2%6.3%16.8%3.0%20.1%2.9%5.1%-754.8K19.5M-95.4K0.7414.70N/AN/A21215614,34432,676
2013-03-05$14.12$13.7519.9%6.0%18.0%2.5%25.5%3.7%6.0%-739.4K16.0M-100.0K1.1812.66N/AN/A15218014,39232,656
2013-03-06$14.34$13.7518.4%6.1%18.6%0.3%20.3%2.8%5.9%-715.8K13.3M-104.6K0.1316.91N/AN/A1,20815214,52432,760
2013-03-07$14.43$13.7511.6%5.4%18.6%0.0%18.8%3.1%7.0%-698.9K12.2M-106.1K2.8313.10N/AN/A4813614,84832,780
2013-03-08$14.41$13.7513.0%5.4%18.1%1.9%19.6%2.0%6.9%-697.8K11.9M-104.6K0.7634.24N/AN/A19614814,88832,768
2013-03-11$14.57$13.7513.7%5.3%18.0%2.9%18.3%4.0%7.5%-664.4K10.6M-104.1K0.9217.13N/AN/A524815,00832,828
2013-03-12$14.62$13.7512.5%5.3%17.1%1.3%0.0%3.8%7.5%-650.1K9.5M-101.1K0.7812.72N/AN/A362815,05232,804
2013-03-13$14.62$13.7516.4%5.2%17.1%6.5%18.4%3.8%7.9%-659.8K9.8M-101.0K0.3713.48N/AN/A762815,05632,800
2013-03-14$14.66$13.7517.7%5.1%17.0%8.2%20.4%1.0%8.1%-653.3K9.4M-100.0K1.4015.91N/AN/A202814,96432,636
2013-03-15$14.70$13.7517.8%5.1%16.0%8.3%17.8%4.1%7.6%-617.7K9.1M-101.4K0.0513.94N/AN/A84414,97232,652
2013-03-18$14.54$13.7517.5%5.0%16.5%8.0%0.0%2.5%7.9%-666.8K10.7M-95.5K10.6711.67N/AN/A1212813,42431,144
2013-03-19$14.58$13.7518.2%5.2%16.5%8.9%19.1%3.6%7.9%-657.6K10.2M-97.5K0.9311.92N/AN/A48044813,42831,140
2013-03-20$14.70$13.7517.3%5.0%14.3%7.7%17.8%3.7%8.2%-634.6K8.3M-96.2K0.9016.23N/AN/A32028813,62431,372
2013-03-21$14.66$13.7517.1%4.9%12.7%7.4%19.3%4.3%8.3%-667.5K9.4M-96.8K0.6311.88N/AN/A42426813,79231,556
2013-03-22$14.48$13.7518.1%5.2%13.7%8.7%18.2%2.4%8.2%-696.4K11.7M-95.7K1.2212.25N/AN/A1,6962,07213,94431,752
2013-03-25$14.42$15.0018.6%5.3%13.4%9.4%18.8%2.4%8.4%-789.3K13.0M-101.6K10.8012.42N/AN/A8086415,50433,532
2013-03-26$14.38$15.0017.5%5.0%13.0%8.0%19.1%2.0%8.8%-862.0K15.0M-98.8K1.2916.22N/AN/A8410815,50834,236
2013-03-27$14.49$15.0018.3%5.2%12.4%9.0%18.8%2.1%8.1%-885.3K13.5M-101.2K1.6813.40N/AN/A8814815,54834,316
2013-03-28$14.76$15.0017.6%5.0%13.6%8.1%17.3%2.9%8.7%-878.7K9.4M-102.9K0.5617.38N/AN/A28416015,57234,356