OTEX Options History — October 2013

In October 2013, OTEX traded between $18.29 and $19.45. ATM implied volatility averaged 32.9%, placing in the 48.9% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 14.9% (HV 20d: 18.0%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 12.17.

Notable Days

2013-10-21: Highest Volume — 9,984 contracts
2013-10-10: Largest IV spike — 59.3% change
2013-10-30: Highest IV Rank — 76.3%
2013-10-30: Largest Expected Move — 12.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.86	$18.29	$19.45	$18.85	$18.34
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	32.9%	20.4%	44.9%	21.1%	24.6%
Expected Move	10.1%	6.0%	12.9%	6.0%	7.1%
HV 20d	18.0%	14.9%	26.6%	15.3%	26.6%
HV 60d	24.2%	16.6%	26.6%	25.9%	20.7%
IV Rank	48.9%	20.2%	76.3%	21.8%	29.9%
IV Percentile	70.9%	12.7%	98.0%	18.3%	61.5%
Term Structure	-3.3%	-13.1%	15.4%	14.6%	-0.5%
VWIV	36.6%	21.0%	48.2%	21.1%	26.1%
Skew 25d	2.1%	-0.6%	4.9%	0.6%	1.2%
Skew 10d	4.7%	-1.2%	11.0%	1.1%	4.9%
Call IV 25d	34.9%	21.4%	43.2%	21.6%	25.0%
Put IV 25d	37.0%	21.7%	48.1%	22.2%	26.2%
Bid-Ask Spread %	54.82	13.91	92.84	91.15	48.01
Gamma HHI	0.40	0.33	0.46	0.36	0.34
Net GEX	-590.0K	-943.1K	-164.9K	-759.5K	-441.6K
Net DEX	-4.5M	-13.1M	4.9M	-2.2M	-444.2K
Net VEX	-103.8K	-137.3K	-75.0K	-137.3K	-75.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	12.17	0.21	142.60	0.82	1.09
Total Volume	2,269.217	68	9,984	408	5,648
Total OI	70,579.13	66,328	73,572	73,220	69,920

Daily Data (23 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
2013-10-01	$18.85	$17.50	21.1%	6.0%	15.3%	21.8%	21.1%	0.6%	14.6%	-759.5K	-2.2M	-137.3K	0.82	91.15	N/A	N/A	224	184	17,160	56,060
2013-10-02	$18.92	$17.50	21.0%	6.0%	14.9%	21.7%	21.0%	1.5%	14.7%	-748.2K	-2.8M	-137.3K	0.22	89.05	N/A	N/A	276	60	17,368	56,204
2013-10-03	$18.64	$17.50	21.0%	6.0%	16.3%	21.6%	21.0%	-0.6%	15.4%	-829.7K	-232.0K	-136.7K	1.13	92.84	N/A	N/A	32	36	17,336	56,152
2013-10-04	$18.64	$17.50	20.4%	10.3%	16.3%	20.2%	37.1%	2.1%	-3.2%	-799.1K	-1.5M	-129.8K	142.60	52.21	N/A	N/A	20	2,852	17,324	56,156
2013-10-07	$18.61	$17.50	22.9%	10.5%	16.2%	26.1%	38.4%	2.5%	-4.3%	-782.2K	-197.9K	-128.6K	0.89	56.83	N/A	N/A	108	96	17,332	54,640
2013-10-08	$18.41	$17.50	25.1%	10.7%	16.8%	31.1%	38.4%	2.8%	-4.4%	-845.0K	1.1M	-125.3K	1.85	57.57	N/A	N/A	548	1,012	17,284	54,660
2013-10-09	$18.29	$17.50	23.2%	10.7%	16.8%	26.8%	39.5%	1.7%	-4.2%	-943.1K	4.9M	-132.6K	13.47	52.60	N/A	N/A	68	916	17,160	55,020
2013-10-10	$18.61	$17.50	37.0%	10.6%	17.9%	58.3%	37.5%	2.1%	-4.3%	-753.9K	-2.4M	-113.0K	1.86	55.06	N/A	N/A	28	52	17,192	55,124
2013-10-11	$18.81	$17.50	35.8%	10.3%	17.5%	55.6%	36.8%	0.7%	-3.5%	-609.7K	-5.8M	-107.3K	0.90	58.68	N/A	N/A	192	172	17,184	55,084
2013-10-14	$18.87	$17.50	37.0%	10.6%	16.7%	58.4%	37.2%	2.1%	-4.4%	-616.4K	-6.3M	-102.8K	0.65	62.47	N/A	N/A	68	44	17,292	55,228
2013-10-15	$18.80	$17.50	37.5%	10.7%	16.7%	59.3%	37.7%	0.9%	-4.7%	-566.6K	-6.3M	-101.7K	1.39	57.90	N/A	N/A	124	172	17,308	55,212
2013-10-16	$19.02	$17.50	35.9%	10.3%	17.1%	55.7%	37.2%	0.9%	-3.6%	-505.4K	-9.8M	-94.9K	82.23	64.61	N/A	N/A	52	4,276	17,292	55,272
2013-10-17	$19.00	$17.50	36.2%	10.4%	17.1%	56.4%	36.2%	1.7%	-5.1%	-375.6K	-10.6M	-88.9K	1.95	64.70	N/A	N/A	500	976	17,316	52,144
2013-10-18	$18.75	$17.50	35.6%	10.2%	17.2%	55.0%	35.4%	1.3%	-4.2%	-164.9K	-7.7M	-89.6K	0.21	68.76	N/A	N/A	384	80	17,464	52,584
2013-10-21	$19.22	$17.50	36.9%	10.6%	17.6%	58.1%	36.9%	2.6%	-5.9%	-302.6K	-12.0M	-76.3K	23.00	69.13	N/A	N/A	416	9,568	15,940	50,388
2013-10-22	$19.43	$17.50	37.3%	10.7%	17.9%	59.0%	39.6%	1.5%	-7.5%	-270.9K	-13.1M	-78.9K	0.21	66.49	N/A	N/A	3,860	792	16,084	51,296
2013-10-23	$19.34	$17.50	40.1%	11.5%	17.8%	65.4%	41.9%	3.3%	-8.9%	-484.6K	-7.6M	-87.9K	0.61	34.54	N/A	N/A	3,368	2,060	14,796	51,960
2013-10-24	$19.42	$17.50	38.5%	11.0%	17.8%	61.8%	41.9%	4.1%	-8.5%	-429.5K	-8.0M	-88.0K	0.37	37.09	N/A	N/A	696	256	15,360	52,408
2013-10-25	$19.45	$17.50	38.6%	11.1%	17.0%	61.9%	42.1%	3.6%	-8.6%	-406.0K	-8.4M	-85.0K	0.55	31.15	N/A	N/A	936	512	15,308	52,568
2013-10-28	$19.32	$17.50	42.3%	12.1%	16.5%	70.5%	43.7%	3.4%	-10.0%	-379.1K	-8.0M	-83.7K	0.64	13.91	N/A	N/A	640	408	15,516	52,888
2013-10-29	$18.37	$17.50	43.4%	12.4%	24.5%	72.9%	46.7%	4.0%	-11.9%	-850.2K	3.8M	-94.6K	1.63	21.56	N/A	N/A	1,080	1,764	15,380	52,920
2013-10-30	$18.77	$17.50	44.9%	12.9%	25.8%	76.3%	48.2%	4.9%	-13.1%	-705.6K	-11.1K	-92.9K	1.60	14.52	N/A	N/A	2,548	4,088	15,288	53,748
2013-10-31	$18.34	$17.50	24.6%	7.1%	26.6%	29.9%	26.1%	1.2%	-0.5%	-441.6K	-444.2K	-75.0K	1.09	48.01	N/A	N/A	2,704	2,944	16,820	53,100