OTEX Options History — September 2013

In September 2013, OTEX traded between $17.33 and $18.90. ATM implied volatility averaged 21.8%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 6.1% (HV 20d: 15.7%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 8.35.

Notable Days

  • 2013-09-11: Highest Volume — 9,016 contracts
  • 2013-09-12: Largest IV spike — 6.7% change
  • 2013-09-12: Highest IV Rank — 27.2%
  • 2013-09-09: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.15$17.33$18.90$17.33$18.66
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV21.8%20.3%23.4%23.0%21.6%
Expected Move6.3%5.8%6.9%6.6%6.2%
HV 20d15.7%13.6%18.7%18.7%15.3%
HV 60d26.6%25.3%28.4%28.2%25.8%
IV Rank23.4%20.1%27.2%26.3%22.9%
IV Percentile21.3%12.3%39.3%30.6%20.2%
Term Structure10.8%1.2%14.7%1.3%13.4%
VWIV22.8%19.6%37.6%37.6%21.8%
Skew 25d2.2%-0.4%8.7%2.0%-0.4%
Skew 10d3.6%-4.8%13.6%5.5%-0.8%
Call IV 25d21.2%15.5%23.9%23.4%22.4%
Put IV 25d23.3%21.3%26.1%25.4%22.0%
Bid-Ask Spread %84.9731.4495.4731.4491.64
Gamma HHI0.390.320.450.430.38
Net GEX-1.0M-1.2M-760.1K-1.2M-761.3K
Net DEX6.3M-2.5M17.3M17.3M-2.1M
Net VEX-172.0K-197.6K-134.0K-197.6K-134.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.350.0765.294.631.03
Total Volume1,434.61169,0161,284276
Total OI79,591.272,60885,35278,80473,000

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$17.33$17.5023.0%6.6%18.7%26.3%37.6%2.0%1.3%-1.2M17.3M-197.6K4.6331.44N/AN/A2281,05617,58461,220
2013-09-04$17.57$17.5023.1%6.6%18.2%26.4%19.6%8.7%1.2%-1.1M14.5M-197.0K0.0794.06N/AN/A120817,81262,152
2013-09-05$17.64$17.5022.9%6.6%18.2%26.0%23.3%3.1%1.2%-1.1M13.1M-192.9K2.3781.28N/AN/A16438817,81662,156
2013-09-06$17.66$17.5022.1%6.7%17.0%24.2%24.8%1.1%10.1%-1.1M11.8M-189.5K11.0076.64N/AN/A3639617,89262,416
2013-09-09$17.84$17.5023.2%6.9%16.8%26.6%25.2%1.7%9.7%-1.0M8.8M-182.8K1.9081.53N/AN/A8015217,90862,608
2013-09-10$17.88$17.5022.3%6.8%16.6%24.7%23.3%1.2%10.1%-1.0M8.1M-178.2K0.6178.14N/AN/A724417,92062,660
2013-09-11$18.03$17.5022.0%6.8%16.6%23.8%23.2%2.6%10.5%-949.8K5.9M-178.6K65.2983.70N/AN/A1368,88017,98462,640
2013-09-12$18.03$17.5023.4%6.7%16.3%27.2%22.3%3.7%10.7%-1.0M6.8M-178.8K1.0087.25N/AN/A888818,00063,660
2013-09-13$17.83$17.5022.2%6.4%14.5%24.4%22.0%1.9%12.8%-1.1M10.0M-181.4K1.7885.48N/AN/A23241218,04063,636
2013-09-16$18.13$17.5021.8%6.2%15.2%23.5%21.9%2.6%13.2%-998.1K5.2M-171.0K10.1990.43N/AN/A4124,20018,12863,696
2013-09-17$18.23$17.5021.8%6.3%14.5%23.5%0.0%0.9%12.9%-1.1M6.2M-180.6K19.8184.61N/AN/A641,26818,36865,996
2013-09-18$18.30$17.5020.3%5.8%14.2%20.1%22.2%2.2%12.3%-1.1M6.8M-180.3K0.7895.47N/AN/A33226018,36866,984
2013-09-19$18.42$17.5021.4%6.1%13.7%22.6%22.5%0.6%13.4%-1.2M3.8M-172.1K3.6790.39N/AN/A3613218,42466,916
2013-09-20$18.19$17.5021.2%6.1%13.6%22.2%20.9%-0.0%14.1%-1.2M5.9M-173.9K0.6291.15N/AN/A1046418,42466,888
2013-09-23$18.60$17.5020.5%5.9%15.3%20.5%20.6%6.9%14.7%-1.1M4.2M-163.1K2.2694.91N/AN/A30869616,41260,352
2013-09-24$18.67$17.5020.7%5.9%15.3%20.9%21.1%-0.2%13.4%-1.0M3.0M-161.9K15.3291.85N/AN/A2924,47216,65659,752
2013-09-25$18.55$17.5020.5%5.9%15.1%20.6%20.5%0.1%13.4%-916.3K1.5M-149.1K23.2690.05N/AN/A922,14016,76457,240
2013-09-26$18.60$17.5020.6%5.9%14.4%20.8%20.6%1.6%13.4%-815.9K-1.1M-138.5K0.5590.32N/AN/A19610816,71255,896
2013-09-27$18.90$17.5020.8%6.0%15.0%21.1%20.3%3.1%13.7%-760.1K-2.5M-138.6K0.8589.00N/AN/A35630416,75255,992
2013-09-30$18.66$17.5021.6%6.2%15.3%22.9%21.8%-0.4%13.4%-761.3K-2.1M-134.0K1.0391.64N/AN/A13614017,00855,992