OTEX Options History — July 2013

In July 2013, OTEX traded between $16.86 and $18.02. ATM implied volatility averaged 35.4%, placing in the 31.8% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 13.7% (HV 20d: 21.7%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 3.86.

Notable Days

2013-07-31: Highest Volume — 10,948 contracts
2013-07-11: Largest IV spike — 64.8% change
2013-07-31: Highest IV Rank — 58.3%
2013-07-31: Largest Expected Move — 15.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.50	$16.86	$18.02	$17.28	$17.63
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	35.4%	21.6%	55.2%	21.6%	55.2%
Expected Move	10.8%	6.2%	15.8%	6.2%	15.8%
HV 20d	21.7%	12.0%	29.9%	28.3%	29.9%
HV 60d	28.9%	21.1%	33.4%	33.4%	26.3%
IV Rank	31.8%	13.4%	58.3%	13.4%	58.3%
IV Percentile	66.9%	16.3%	96.4%	16.3%	96.4%
Term Structure	-5.3%	-18.5%	12.9%	12.9%	-18.5%
VWIV	40.4%	22.0%	58.8%	22.0%	58.8%
Skew 25d	3.0%	1.0%	4.3%	3.0%	3.0%
Skew 10d	6.7%	-0.4%	10.9%	2.8%	7.9%
Call IV 25d	36.8%	22.1%	53.7%	22.1%	53.7%
Put IV 25d	39.8%	25.1%	56.6%	25.1%	56.6%
Bid-Ask Spread %	54.78	16.24	72.90	72.90	42.89
Gamma HHI	0.33	0.28	0.43	0.33	0.29
Net GEX	-1.9M	-2.8M	-1.3M	-1.9M	-1.7M
Net DEX	23.7M	8.8M	40.4M	29.0M	24.8M
Net VEX	-246.4K	-267.9K	-215.9K	-267.3K	-267.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.86	0.00	35.95	5.59	6.13
Total Volume	1,996.364	96	10,948	712	10,948
Total OI	96,974.545	91,200	105,528	96,056	105,528

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2013-07-01	$17.28	$17.50	21.6%	6.2%	28.3%	13.4%	0.0%	3.0%	12.9%	-1.9M	29.0M	-267.3K	5.59	72.90	N/A	N/A	108	604	24,076	71,980
2013-07-02	$17.32	$17.50	22.0%	6.3%	28.0%	13.9%	22.0%	2.4%	12.5%	-2.0M	28.4M	-267.3K	2.68	69.68	N/A	N/A	88	236	24,116	72,584
2013-07-03	$17.27	$17.50	22.0%	6.3%	28.0%	14.0%	0.0%	1.0%	12.6%	-2.0M	29.5M	-264.9K	0.00	67.77	N/A	N/A	108	0	24,076	72,788
2013-07-05	$17.36	$17.50	21.9%	10.1%	26.9%	13.8%	36.4%	3.4%	-4.0%	-2.1M	27.2M	-258.7K	0.41	63.13	N/A	N/A	156	64	24,044	72,788
2013-07-08	$17.31	$17.50	23.2%	10.3%	25.3%	15.6%	40.3%	3.6%	-4.5%	-2.1M	28.8M	-255.2K	2.05	64.77	N/A	N/A	88	180	24,132	72,840
2013-07-09	$17.39	$17.50	22.2%	10.3%	25.4%	14.2%	36.0%	3.6%	-4.6%	-2.1M	27.1M	-253.9K	12.83	62.50	N/A	N/A	164	2,104	24,168	72,800
2013-07-10	$17.51	$17.50	22.0%	10.3%	25.1%	14.0%	35.9%	2.4%	-4.4%	-2.1M	23.5M	-247.8K	0.16	61.32	N/A	N/A	280	44	24,180	72,540
2013-07-11	$17.77	$17.50	36.3%	10.4%	25.5%	33.1%	36.4%	2.9%	-4.7%	-2.0M	17.6M	-244.6K	0.01	66.33	N/A	N/A	924	12	24,160	72,064
2013-07-12	$17.69	$17.50	36.4%	10.4%	23.4%	33.2%	37.7%	2.7%	-4.9%	-2.0M	19.0M	-244.0K	0.45	62.96	N/A	N/A	88	40	24,848	72,068
2013-07-15	$17.55	$17.50	37.3%	10.7%	21.8%	34.3%	36.8%	2.1%	-5.5%	-2.2M	22.8M	-240.5K	0.14	62.46	N/A	N/A	84	12	24,884	72,088
2013-07-16	$17.35	$17.50	37.4%	10.7%	22.0%	34.5%	38.7%	3.5%	-5.8%	-2.3M	26.3M	-236.8K	0.85	65.09	N/A	N/A	52	44	24,868	72,100
2013-07-17	$17.27	$17.50	37.6%	10.8%	21.3%	34.7%	37.8%	3.0%	-5.7%	-2.3M	29.7M	-239.2K	0.83	62.97	N/A	N/A	96	80	24,868	72,108
2013-07-18	$17.22	$17.50	37.8%	10.8%	21.3%	35.0%	41.8%	4.3%	-6.7%	-2.1M	30.7M	-233.0K	1.29	65.26	N/A	N/A	504	648	24,360	71,432
2013-07-19	$17.36	$17.50	38.8%	11.1%	18.3%	36.3%	38.1%	2.6%	-7.8%	-2.8M	28.7M	-234.6K	0.15	62.52	N/A	N/A	2,896	424	24,648	71,688
2013-07-22	$17.48	$17.50	39.9%	11.4%	17.9%	37.9%	40.2%	3.0%	-9.0%	-1.4M	18.9M	-227.7K	1.09	65.42	N/A	N/A	444	484	23,920	67,280
2013-07-23	$17.73	$17.50	39.6%	11.4%	13.6%	37.4%	39.3%	1.7%	-8.8%	-1.4M	13.2M	-224.0K	0.43	19.61	N/A	N/A	1,652	716	24,264	67,584
2013-07-24	$17.88	$17.50	41.1%	11.8%	13.0%	39.5%	42.5%	3.3%	-9.8%	-1.4M	10.8M	-215.9K	1.61	22.04	N/A	N/A	236	380	23,896	67,928
2013-07-25	$18.02	$17.50	41.7%	12.0%	13.0%	40.2%	43.0%	3.7%	-10.0%	-1.3M	8.8M	-216.3K	35.95	16.24	N/A	N/A	224	8,052	23,892	68,120
2013-07-26	$17.88	$17.50	45.5%	13.0%	12.7%	45.3%	45.9%	3.5%	-11.2%	-1.5M	17.0M	-257.6K	8.41	16.75	N/A	N/A	668	5,616	23,952	75,628
2013-07-29	$17.92	$17.50	47.4%	13.6%	12.0%	47.9%	47.8%	3.6%	-12.9%	-1.7M	18.6M	-260.4K	2.73	64.77	N/A	N/A	164	448	23,996	79,980
2013-07-30	$16.86	$17.50	51.5%	14.8%	25.1%	53.3%	52.9%	4.2%	-15.1%	-1.9M	40.4M	-263.5K	1.21	47.83	N/A	N/A	1,704	2,056	24,044	80,132
2013-07-31	$17.63	$17.50	55.2%	15.8%	29.9%	58.3%	58.8%	3.0%	-18.5%	-1.7M	24.8M	-267.9K	6.13	42.89	N/A	N/A	1,536	9,412	24,556	80,972