OTEX Options History — April 2013

In April 2013, OTEX traded between $13.64 and $16.35. ATM implied volatility averaged 28.7%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 5.1% (HV 20d: 23.6%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 4.96.

Notable Days

  • 2013-04-25: Highest Volume — 40,324 contracts
  • 2013-04-11: Largest IV spike — 39.6% change
  • 2013-04-22: Highest IV Rank — 37.9%
  • 2013-04-22: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.44$13.64$16.35$14.52$16.35
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV28.7%16.8%40.0%19.3%23.4%
Expected Move8.7%4.8%11.5%5.5%6.7%
HV 20d23.6%14.2%48.5%15.3%47.8%
HV 60d21.1%17.4%30.6%19.0%30.6%
IV Rank22.8%7.0%37.9%10.4%15.9%
IV Percentile47.0%2.0%82.9%7.9%24.6%
Term Structure-1.9%-9.4%10.7%7.9%0.6%
VWIV31.2%16.8%41.0%19.3%25.4%
Skew 25d3.8%0.1%6.8%2.0%2.6%
Skew 10d9.2%1.7%21.8%4.9%4.5%
Call IV 25d28.9%16.8%37.1%19.4%23.2%
Put IV 25d32.6%19.9%43.9%21.4%25.8%
Bid-Ask Spread %35.857.5775.0512.6715.21
Gamma HHI0.320.290.380.340.37
Net GEX-859.8K-979.4K-394.0K-868.2K-919.3K
Net DEX14.3M-11.5M26.1M12.4M-7.4M
Net VEX-96.1K-139.2K-71.9K-96.4K-129.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.960.2429.372.610.24
Total Volume3,6264840,3247801,868
Total OI56,565.09149,14073,88050,01673,880

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$14.52$15.0019.3%5.5%15.3%10.4%19.3%2.0%7.9%-868.2K12.4M-96.4K2.6112.67N/AN/A21656415,67234,344
2013-04-02$14.46$15.0018.8%5.4%15.3%9.6%0.0%1.4%8.3%-888.1K13.6M-96.4K1.2015.63N/AN/A10012015,63234,768
2013-04-03$14.35$15.0020.4%5.9%14.2%11.8%18.4%1.9%9.2%-874.5K15.4M-93.9K12.2116.25N/AN/A5668415,69234,800
2013-04-04$14.61$15.0016.8%4.8%14.6%7.0%16.8%3.1%10.7%-871.2K11.1M-96.6K16.6317.89N/AN/A1602,66015,72034,452
2013-04-05$14.33$15.0020.5%9.5%16.1%12.0%32.9%3.3%-2.9%-721.6K13.4M-93.1K2.6411.03N/AN/A1,9525,15615,74433,396
2013-04-08$14.04$15.0024.9%9.7%17.7%17.9%32.8%3.7%-4.0%-851.4K19.5M-98.1K6.7923.90N/AN/A7651616,86037,124
2013-04-09$13.94$15.0024.3%9.5%17.2%17.0%33.7%2.9%-3.4%-865.9K21.2M-95.0K1.0719.43N/AN/A11612416,86037,520
2013-04-10$14.15$15.0024.1%9.6%18.2%16.8%34.4%4.1%-3.9%-879.9K18.7M-97.2K1.0731.22N/AN/A11612416,93237,564
2013-04-11$14.12$15.0033.7%9.6%18.2%29.5%33.0%3.7%-4.1%-877.2K18.7M-95.2K9.8352.87N/AN/A2423616,87237,688
2013-04-12$14.08$15.0034.1%9.8%18.2%30.1%33.6%4.2%-4.6%-883.9K19.2M-94.5K2.0061.65N/AN/A163216,87237,828
2013-04-15$13.85$15.0035.7%10.2%18.8%32.2%35.7%4.8%-5.5%-840.6K21.6M-90.4K0.0075.05N/AN/A05616,88037,844
2013-04-16$14.06$15.0035.1%10.1%19.6%31.4%35.1%4.3%-5.3%-890.9K19.4M-90.4K0.7371.12N/AN/A1047616,88037,752
2013-04-17$13.89$15.0035.2%10.1%19.9%31.6%34.0%4.2%-5.3%-902.1K22.1M-87.5K0.5872.53N/AN/A764416,92837,740
2013-04-18$13.65$15.0037.0%10.6%20.2%34.0%41.0%4.7%-6.4%-884.7K24.5M-80.7K29.3743.23N/AN/A1404,11216,75237,516
2013-04-19$13.64$15.0038.6%11.1%20.2%36.1%39.0%5.5%-8.3%-978.7K26.1M-79.4K0.6844.10N/AN/A32422016,76439,732
2013-04-22$13.81$15.0040.0%11.5%20.7%37.9%40.1%6.8%-9.4%-935.2K22.8M-81.3K1.4151.55N/AN/A27238416,00438,856
2013-04-23$13.99$15.0039.9%11.5%21.4%37.9%38.6%6.8%-8.8%-913.5K20.0M-85.1K1.1650.21N/AN/A1,9162,21616,13639,164
2013-04-24$14.06$15.0037.1%10.6%21.5%34.1%36.4%4.9%-6.7%-979.4K19.3M-87.3K1.7752.20N/AN/A3,1765,62817,54440,660
2013-04-25$15.88$15.0025.1%7.2%48.5%18.1%26.7%2.1%-1.5%-394.0K-11.5M-71.9K9.6228.85N/AN/A3,79636,52817,79642,316
2013-04-26$15.92$15.0022.9%6.6%48.2%15.1%24.1%0.1%0.7%-836.3K-2.0M-139.2K0.6414.53N/AN/A1,8881,20018,70853,684
2013-04-29$16.01$15.0023.5%6.7%47.6%16.0%23.7%5.7%0.8%-857.7K-3.2M-135.8K1.997.57N/AN/A9041,79618,45654,100
2013-04-30$16.35$15.0023.4%6.7%47.8%15.9%25.4%2.6%0.6%-919.3K-7.4M-129.0K0.2415.21N/AN/A1,51235618,60455,276