OTEX Options History — June 2013

In June 2013, OTEX traded between $16.61 and $18.34. ATM implied volatility averaged 26.8%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 1.7% (HV 20d: 25.1%). Max pain ranged from $17.50 to $18.75. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 11.62.

Notable Days

  • 2013-06-17: Highest Volume — 7,796 contracts
  • 2013-06-26: Largest IV drop — 14.7% change
  • 2013-06-11: Highest IV Rank — 24.0%
  • 2013-06-24: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.61$16.61$18.34$17.41$17.12
Max Pain$18.25$17.50$18.75$17.50$17.50
ATM IV26.8%22.2%29.5%25.1%22.2%
Expected Move7.6%6.4%8.4%7.2%6.4%
HV 20d25.1%19.8%29.7%20.8%29.5%
HV 60d32.3%30.7%33.9%30.7%33.7%
IV Rank20.3%14.2%24.0%18.0%14.2%
IV Percentile55.4%17.9%71.8%46.0%17.9%
Term Structure7.1%-0.5%11.7%-0.1%11.7%
VWIV27.0%23.1%29.5%25.2%23.1%
Skew 25d2.2%1.4%3.6%2.4%2.6%
Skew 10d5.4%2.6%10.4%6.4%6.5%
Call IV 25d26.6%22.9%28.8%25.7%22.9%
Put IV 25d28.8%25.1%31.6%28.1%25.5%
Bid-Ask Spread %52.1820.8471.0226.4830.19
Gamma HHI0.290.230.390.250.32
Net GEX-1.6M-2.5M-898.6K-1.2M-1.9M
Net DEX19.2M2.0M40.6M13.3M31.1M
Net VEX-286.9K-300.6K-271.6K-278.1K-272.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.620.0659.220.860.08
Total Volume2,664.62767,796276448
Total OI98,962.887,268110,10887,26896,072

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$17.41$17.5025.1%7.2%20.8%18.0%25.2%2.4%-0.1%-1.2M13.3M-278.1K0.8626.48N/AN/A14812822,98464,284
2013-06-04$17.62$17.5025.9%7.4%21.1%19.1%25.9%2.1%-0.5%-1.1M9.6M-278.1K10.2523.15N/AN/A5205,32823,09264,404
2013-06-05$17.55$17.5026.0%7.5%19.8%19.3%26.8%1.5%-0.0%-1.4M15.6M-290.4K0.3520.84N/AN/A54419223,21268,788
2013-06-06$17.93$17.5026.4%7.6%20.8%19.8%26.2%2.1%-0.4%-1.2M9.1M-285.2K1.3624.20N/AN/A21228823,56068,820
2013-06-07$18.33$17.5026.9%7.7%21.9%20.5%27.3%1.8%6.8%-1.0M2.0M-272.8K0.3931.09N/AN/A4,3001,69623,57668,916
2013-06-10$18.34$18.7527.8%7.7%22.0%21.6%27.3%1.4%6.9%-898.6K2.1M-277.2K0.0654.93N/AN/A3962427,29270,556
2013-06-11$18.05$18.7529.5%7.8%22.9%24.0%28.3%2.2%8.2%-1.1M8.2M-283.3K53.0461.17N/AN/A965,09227,04070,560
2013-06-12$17.83$18.7529.0%8.1%23.4%23.3%28.4%1.6%7.6%-1.3M13.4M-295.7K33.0357.75N/AN/A1484,88827,05672,320
2013-06-13$18.31$18.7528.1%8.1%24.7%22.1%28.9%1.6%7.2%-1.2M6.8M-296.6K1.0368.28N/AN/A47648827,08076,472
2013-06-14$17.85$18.7528.6%8.2%26.7%22.7%27.8%2.1%7.9%-1.6M16.3M-300.6K0.6265.48N/AN/A1,52895227,21676,528
2013-06-17$17.72$18.7528.8%8.3%26.1%23.1%29.2%2.0%8.3%-1.7M18.4M-294.7K11.3467.79N/AN/A6327,16428,27676,616
2013-06-18$17.97$18.7527.3%7.8%26.5%21.0%27.2%1.7%9.5%-1.7M14.3M-294.2K2.7870.96N/AN/A8882,46828,50479,868
2013-06-19$17.93$18.7526.6%7.6%26.5%20.1%26.7%1.8%9.8%-1.8M15.9M-295.7K3.4170.34N/AN/A6823229,22480,884
2013-06-20$17.36$18.7527.7%7.9%25.9%21.6%27.7%2.0%9.5%-2.5M31.0M-299.7K5.0668.46N/AN/A6432429,11679,524
2013-06-21$17.16$18.7526.8%7.7%26.2%20.3%28.0%3.0%9.6%-2.1M37.3M-293.2K59.2268.74N/AN/A362,13229,10879,588
2013-06-24$16.61$18.7529.4%8.4%28.6%23.8%29.5%3.6%8.4%-1.7M40.6M-282.0K4.8563.94N/AN/A4762,30823,37273,072
2013-06-25$16.86$18.7527.6%7.9%29.2%21.5%25.4%3.2%9.5%-1.8M37.3M-288.1K8.7468.78N/AN/A3803,32023,58474,388
2013-06-26$17.00$17.5023.5%6.8%29.3%16.0%0.0%2.4%11.1%-1.9M34.7M-288.9K32.1371.02N/AN/A642,05623,77675,252
2013-06-27$17.27$17.5022.6%6.5%29.7%14.7%24.6%2.0%11.5%-1.9M27.4M-271.6K3.7430.05N/AN/A5882,20023,73671,540
2013-06-28$17.12$17.5022.2%6.4%29.5%14.2%23.1%2.6%11.7%-1.9M31.1M-272.7K0.0830.19N/AN/A4163224,10471,968