OTEX Options History — November 2013

In November 2013, OTEX traded between $18.35 and $21.61. ATM implied volatility averaged 25.8%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 14.3% (HV 20d: 40.1%). Max pain ranged from $17.50 to $21.25. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.14.

Notable Days

  • 2013-11-07: Highest Volume — 10,492 contracts
  • 2013-11-05: Largest IV spike — 26.7% change
  • 2013-11-07: Highest IV Rank — 47.6%
  • 2013-11-07: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.90$18.35$21.61$18.35$21.42
Max Pain$19.69$17.50$21.25$17.50$21.25
ATM IV25.8%22.1%32.3%23.5%22.3%
Expected Move7.0%6.3%8.1%6.7%6.4%
HV 20d40.1%26.6%43.3%26.6%36.5%
HV 60d26.8%20.3%27.8%20.3%27.8%
IV Rank32.6%24.2%47.6%27.4%24.7%
IV Percentile56.0%27.0%80.6%47.2%29.8%
Term Structure2.5%0.2%5.4%0.2%0.5%
VWIV25.0%22.2%28.5%23.9%22.7%
Skew 25d1.8%1.1%4.8%4.8%1.5%
Skew 10d4.5%-6.1%14.8%14.8%-4.1%
Call IV 25d24.0%20.3%27.9%20.3%22.0%
Put IV 25d25.8%23.5%29.7%25.1%23.5%
Bid-Ask Spread %47.919.4364.8844.969.43
Gamma HHI0.260.230.340.270.24
Net GEX267.1K-310.1K499.0K-310.1K240.8K
Net DEX-18.1M-37.2M-1.5M-1.5M-6.9M
Net VEX-66.7K-79.6K-60.3K-79.6K-60.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.104.860.711.10
Total Volume1,841.816410,492548168
Total OI55,207.226,20483,37671,60426,380

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$18.35$17.5023.5%6.7%26.6%27.4%23.9%4.8%0.2%-310.1K-1.5M-79.6K0.7144.96N/AN/A32022818,34853,256
2013-11-04$18.59$18.7524.3%6.9%27.1%29.3%24.6%1.1%5.1%-40.8K-5.6M-72.4K2.2164.88N/AN/A18841618,36453,328
2013-11-05$20.38$18.7530.9%7.8%41.9%44.2%27.4%1.2%3.6%307.3K-24.1M-60.9K0.2258.87N/AN/A5,8761,28818,38453,580
2013-11-06$20.80$18.7529.3%7.5%42.0%40.6%26.4%2.3%3.7%499.0K-30.2M-66.1K4.8659.38N/AN/A4122,00421,37254,408
2013-11-07$20.75$18.7532.3%8.1%41.9%47.6%28.5%1.9%3.4%488.6K-30.0M-63.4K1.1150.12N/AN/A4,9805,51221,59653,920
2013-11-08$20.94$18.7529.5%7.8%41.9%41.1%27.6%1.5%3.7%472.3K-30.3M-70.6K1.1547.35N/AN/A35640825,51255,872
2013-11-11$21.22$18.7531.4%7.6%42.0%45.5%26.8%1.3%3.9%435.0K-33.1M-67.0K1.0151.66N/AN/A3,4043,44425,67255,784
2013-11-12$21.32$20.0030.4%7.5%41.8%43.1%25.9%2.0%4.2%351.5K-34.2M-70.3K0.1056.42N/AN/A4924826,22457,100
2013-11-13$21.61$20.0028.3%7.4%41.9%38.4%26.0%1.5%4.6%256.0K-37.2M-66.9K0.5753.78N/AN/A84448426,24457,132
2013-11-14$21.25$20.0025.0%7.2%42.6%30.7%25.1%1.2%4.8%388.5K-30.8M-68.3K1.1954.34N/AN/A46855624,96056,548
2013-11-15$21.07$20.0024.5%7.0%42.3%29.6%24.8%1.3%5.4%355.9K-28.7M-67.9K1.0556.65N/AN/A47249625,00456,668
2013-11-18$21.59$20.0024.2%6.9%42.3%28.9%23.4%2.3%0.4%291.3K-11.2M-65.4K0.6853.20N/AN/A60040812,79214,116
2013-11-19$21.35$20.0023.4%6.7%42.6%27.2%24.8%1.8%1.0%267.1K-10.0M-68.1K0.2055.83N/AN/A2845613,20014,504
2013-11-20$21.12$20.0023.4%6.7%42.9%27.1%23.9%1.7%0.8%216.5K-8.9M-65.5K0.9559.51N/AN/A848013,21214,552
2013-11-21$21.09$20.0023.0%6.6%42.9%26.2%23.2%1.8%0.7%203.2K-8.6M-65.8K0.7753.21N/AN/A26020013,23614,592
2013-11-22$20.99$20.0022.2%6.4%43.0%24.4%22.2%2.1%1.1%169.9K-7.5M-66.9K2.0451.16N/AN/A18036813,20814,652
2013-11-25$21.46$20.0023.1%6.6%43.3%26.5%26.0%2.0%0.5%286.7K-10.1M-65.0K0.9049.86N/AN/A16014413,18814,716
2013-11-26$21.39$21.2522.8%6.5%38.2%25.9%22.3%1.7%0.9%254.1K-7.1M-61.2K0.5316.64N/AN/A28014811,48814,716
2013-11-27$21.27$21.2522.1%6.3%38.1%24.2%22.7%2.0%0.9%208.6K-6.0M-61.7K1.3710.90N/AN/A30441611,47614,840
2013-11-29$21.42$21.2522.3%6.4%36.5%24.7%0.0%1.5%0.5%240.8K-6.9M-60.3K1.109.43N/AN/A808811,48014,900