OTEX Options History — August 2013

In August 2013, OTEX traded between $16.27 and $17.50. ATM implied volatility averaged 24.3%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 12.2% (HV 20d: 36.5%). 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 21 of 22 days. Put/call ratio averaged 2.06.

Notable Days

2013-08-14: Highest Volume — 7,396 contracts
2013-08-15: Largest IV spike — 21.6% change
2013-08-15: Highest IV Rank — 30.4%
2013-08-01: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.00	$16.27	$17.50	$16.58	$17.18
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	24.3%	20.4%	29.9%	29.9%	23.3%
Expected Move	7.1%	6.3%	8.6%	8.6%	6.7%
HV 20d	36.5%	18.5%	40.2%	37.2%	18.5%
HV 60d	29.1%	28.5%	29.8%	28.8%	28.5%
IV Rank	23.5%	13.1%	30.4%	24.5%	27.0%
IV Percentile	40.7%	13.1%	76.2%	76.2%	34.1%
Term Structure	3.9%	-2.7%	8.2%	-2.7%	1.1%
VWIV	25.0%	20.3%	29.8%	29.8%	26.8%
Skew 25d	1.9%	1.1%	2.9%	1.4%	1.1%
Skew 10d	5.2%	-2.5%	8.7%	1.2%	5.8%
Call IV 25d	24.5%	22.3%	29.8%	29.8%	23.8%
Put IV 25d	26.4%	24.0%	31.2%	31.2%	24.9%
Bid-Ask Spread %	58.22	9.17	85.59	46.80	26.10
Gamma HHI	0.38	0.31	0.46	0.31	0.44
Net GEX	-1.9M	-2.9M	-1.2M	-2.5M	-1.3M
Net DEX	34.0M	15.4M	60.5M	52.0M	19.5M
Net VEX	-222.9K	-251.1K	-204.8K	-251.1K	-205.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.06	0.20	16.90	3.46	0.29
Total Volume	1,722.909	64	7,396	5,508	304
Total OI	97,664.909	76,060	115,832	113,496	78,800

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
2013-08-01	$16.58	$17.50	29.9%	8.6%	37.2%	24.5%	29.8%	1.4%	-2.7%	-2.5M	52.0M	-251.1K	3.46	46.80	N/A	N/A	1,236	4,272	25,032	88,464
2013-08-02	$16.27	$17.50	26.6%	7.6%	37.6%	20.1%	27.2%	2.1%	0.1%	-2.4M	60.5M	-240.8K	1.60	9.17	N/A	N/A	1,636	2,624	25,172	89,696
2013-08-05	$16.27	$17.50	27.6%	7.7%	37.6%	21.4%	27.2%	2.2%	5.7%	-2.4M	59.8M	-235.2K	0.80	67.95	N/A	N/A	560	448	25,604	89,524
2013-08-06	$16.59	$17.50	27.1%	7.5%	38.4%	20.7%	26.1%	2.9%	5.6%	-2.5M	53.9M	-238.1K	0.80	69.76	N/A	N/A	1,000	796	25,852	89,736
2013-08-07	$16.63	$17.50	27.0%	7.6%	38.2%	20.7%	26.8%	2.4%	6.3%	-2.4M	52.4M	-236.6K	16.90	40.94	N/A	N/A	204	3,448	26,328	89,504
2013-08-08	$16.96	$17.50	25.4%	7.6%	38.6%	18.5%	26.3%	1.8%	7.0%	-2.6M	41.6M	-238.7K	6.61	32.88	N/A	N/A	304	2,008	26,272	88,576
2013-08-09	$16.82	$17.50	25.7%	7.6%	38.6%	18.9%	26.0%	2.4%	6.3%	-2.3M	44.5M	-235.6K	4.61	11.65	N/A	N/A	548	2,528	26,348	87,296
2013-08-12	$16.98	$17.50	26.1%	7.2%	38.8%	19.4%	26.0%	2.5%	7.9%	-2.3M	40.4M	-227.2K	0.98	62.17	N/A	N/A	224	220	26,476	86,588
2013-08-13	$17.12	$17.50	21.4%	7.1%	38.8%	13.1%	25.7%	2.0%	8.2%	-2.5M	36.2M	-225.0K	0.29	68.09	N/A	N/A	1,084	316	26,464	86,600
2013-08-14	$17.33	$17.50	20.4%	7.0%	39.0%	20.3%	24.8%	1.8%	7.9%	-2.9M	32.0M	-223.6K	2.22	71.86	N/A	N/A	2,300	5,096	27,160	86,536
2013-08-15	$16.95	$17.50	24.8%	7.1%	39.8%	30.4%	25.2%	2.0%	7.7%	-1.6M	40.2M	-219.8K	0.33	67.94	N/A	N/A	928	304	28,076	84,900
2013-08-16	$17.09	$17.50	24.2%	6.9%	39.8%	29.0%	24.1%	2.3%	8.2%	-1.8M	38.1M	-219.7K	0.20	72.80	N/A	N/A	996	204	28,064	84,940
2013-08-19	$16.93	$17.50	23.6%	6.8%	39.8%	27.7%	24.4%	1.7%	1.8%	-1.5M	25.2M	-216.7K	0.65	68.09	N/A	N/A	736	476	15,872	60,188
2013-08-20	$17.13	$17.50	23.3%	6.7%	39.7%	26.8%	24.5%	1.5%	1.6%	-1.4M	22.6M	-218.2K	0.40	70.48	N/A	N/A	404	160	16,508	60,576
2013-08-21	$17.02	$17.50	22.8%	6.5%	39.5%	25.8%	25.7%	2.1%	1.8%	-1.5M	24.1M	-216.7K	0.20	71.30	N/A	N/A	596	120	16,872	60,724
2013-08-22	$17.35	$17.50	23.0%	6.6%	40.2%	26.2%	20.3%	1.3%	1.5%	-1.3M	19.4M	-216.7K	0.83	85.59	N/A	N/A	96	80	16,948	60,832
2013-08-23	$17.47	$17.50	22.0%	6.3%	40.2%	24.0%	22.0%	1.8%	2.2%	-1.2M	16.4M	-210.9K	0.38	82.71	N/A	N/A	412	156	17,040	60,832
2013-08-26	$17.50	$17.50	22.4%	6.4%	40.2%	24.9%	22.4%	1.7%	1.6%	-1.2M	15.4M	-205.4K	0.46	80.74	N/A	N/A	200	92	17,388	60,952
2013-08-27	$17.35	$17.50	22.9%	6.6%	33.7%	25.9%	23.9%	1.9%	1.4%	-1.3M	18.6M	-211.5K	2.00	73.20	N/A	N/A	104	208	17,480	60,996
2013-08-28	$17.20	$17.50	23.0%	6.6%	29.7%	26.3%	23.0%	1.1%	1.6%	-1.3M	18.9M	-206.5K	1.15	29.22	N/A	N/A	192	220	17,560	61,068
2013-08-29	$17.36	$17.50	22.5%	6.4%	19.6%	25.0%	22.5%	1.8%	1.8%	-1.2M	17.3M	-204.8K	0.23	71.48	N/A	N/A	52	12	17,624	61,160
2013-08-30	$17.18	$17.50	23.3%	6.7%	18.5%	27.0%	26.8%	1.1%	1.1%	-1.3M	19.5M	-205.1K	0.29	26.10	N/A	N/A	236	68	17,648	61,152