OTEX Options History — May 2013

In May 2013, OTEX traded between $16.45 and $17.57. ATM implied volatility averaged 23.8%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 13.9% (HV 20d: 37.8%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 9.78.

Notable Days

  • 2013-05-10: Highest Volume — 33,924 contracts
  • 2013-05-13: Largest IV spike — 11.8% change
  • 2013-05-13: Highest IV Rank — 18.1%
  • 2013-05-29: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.08$16.45$17.57$16.45$16.99
Max Pain$16.65$15.00$17.50$15.00$17.50
ATM IV23.8%22.2%25.1%24.2%24.3%
Expected Move6.6%6.0%7.1%7.0%7.0%
HV 20d37.8%18.5%47.5%47.5%19.3%
HV 60d30.2%29.5%30.6%30.4%30.4%
IV Rank16.4%14.2%18.1%16.9%16.9%
IV Percentile31.4%18.3%42.5%31.0%35.3%
Term Structure3.1%-0.3%7.7%0.2%0.3%
VWIV23.9%21.2%26.7%23.3%26.1%
Skew 25d1.4%0.6%2.7%1.0%1.1%
Skew 10d4.6%1.7%10.2%2.9%3.3%
Call IV 25d23.4%20.9%25.4%25.4%25.1%
Put IV 25d24.8%22.2%27.3%26.3%26.2%
Bid-Ask Spread %25.929.1162.1210.3630.46
Gamma HHI0.310.260.620.370.26
Net GEX-1.4M-5.5M-789.5K-846.9K-1.3M
Net DEX3.8M-16.0M23.0M-9.5M20.9M
Net VEX-228.0K-301.5K-123.4K-128.3K-286.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.780.64145.6719.701.29
Total Volume4,920.90911233,9243,312192
Total OI92,440.54574,932119,32074,93287,200

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$16.45$15.0024.2%7.0%47.5%16.9%23.3%1.0%0.2%-846.9K-9.5M-128.3K19.7010.36N/AN/A1603,15219,50055,432
2013-05-02$16.47$15.0024.1%6.9%47.4%16.8%22.8%2.2%-0.0%-1.0M-5.6M-128.7K1.0610.46N/AN/A36038019,15257,972
2013-05-03$16.62$15.0023.4%6.7%46.4%15.8%22.9%0.8%-0.3%-996.0K-8.2M-123.4K0.649.57N/AN/A3,6842,34019,30058,040
2013-05-06$16.66$16.2524.8%6.8%45.3%17.6%24.3%2.7%4.8%-973.7K-9.4M-129.2K0.9216.64N/AN/A1,1401,05221,71659,736
2013-05-07$17.04$16.2522.6%6.0%45.1%14.8%22.6%2.5%5.6%-911.0K-14.5M-126.6K0.679.11N/AN/A4,2042,82822,56460,408
2013-05-08$17.23$16.2522.5%6.1%45.1%14.6%23.4%1.5%5.7%-789.5K-16.0M-128.8K1.0616.09N/AN/A7,6808,10822,82461,468
2013-05-09$17.22$16.2522.2%6.1%45.0%14.2%21.2%1.1%6.2%-984.2K-13.6M-163.6K1.289.40N/AN/A1,5201,94025,40467,444
2013-05-10$17.25$16.2522.5%6.0%44.9%14.6%21.2%1.0%6.8%-1.0M-13.3M-168.7K16.2015.55N/AN/A1,97231,95225,80068,928
2013-05-13$17.21$16.2525.1%6.1%44.0%18.1%22.1%1.2%7.1%-1.4M-1.9M-246.6K2.2114.09N/AN/A7881,74026,45686,224
2013-05-14$17.36$16.2524.3%6.1%44.0%17.0%24.3%0.7%7.3%-1.5M-3.0M-252.7K0.7023.28N/AN/A1,6241,13226,48487,732
2013-05-15$17.20$16.2523.4%6.0%43.8%15.8%0.0%0.8%7.7%-1.5M-205.3K-253.9K0.7313.34N/AN/A51237627,47288,712
2013-05-16$17.16$16.2523.2%6.7%42.8%15.6%23.6%0.6%6.4%-1.2M3.6M-257.8K3.5416.28N/AN/A2,0327,19626,11287,520
2013-05-17$17.48$17.5023.4%6.7%42.7%15.9%24.0%1.4%6.8%-5.5M2.3M-271.1K1.2115.79N/AN/A3,4124,12027,06092,260
2013-05-20$17.57$17.5023.2%6.6%42.7%15.5%23.3%1.2%0.9%-1.2M10.7M-282.1K1.8541.47N/AN/A47287221,29663,492
2013-05-21$17.57$17.5024.3%7.0%42.9%17.0%24.3%1.2%0.6%-1.2M11.6M-287.3K5.6933.87N/AN/A5082,89221,62464,036
2013-05-22$16.95$17.5024.3%7.0%46.1%17.1%25.7%1.7%0.5%-1.4M23.0M-297.8K2.8134.88N/AN/A31688821,93666,168
2013-05-23$17.05$17.5024.5%7.0%19.5%17.3%25.6%1.3%0.7%-1.4M22.3M-300.5K3.6743.88N/AN/A6022022,03266,724
2013-05-24$17.06$17.5024.3%7.0%19.5%17.0%25.2%1.5%1.0%-1.4M22.2M-301.5K0.7854.37N/AN/A16012422,06866,816
2013-05-28$17.02$17.5024.6%7.0%19.6%17.4%26.1%2.0%0.1%-1.4M22.7M-293.5K2.8462.12N/AN/A1,1163,16422,16866,836
2013-05-29$17.01$17.5024.6%7.1%18.5%17.5%26.7%1.5%0.1%-1.4M21.4M-295.1K145.6761.63N/AN/A121,74822,90067,848
2013-05-30$17.19$17.5024.5%7.0%18.6%17.3%0.0%1.2%-0.1%-1.3M18.1M-293.1K0.6527.56N/AN/A684422,90465,924
2013-05-31$16.99$17.5024.3%7.0%19.3%16.9%26.1%1.1%0.3%-1.3M20.9M-286.2K1.2930.46N/AN/A8410822,90864,292