OTEX Options History — December 2013

In December 2013, OTEX traded between $21.73 and $23.16. ATM implied volatility averaged 23.2%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 4.6% (HV 20d: 18.5%). Max pain ranged from $21.25 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.66.

Notable Days

  • 2013-12-20: Highest Volume — 1,376 contracts
  • 2013-12-20: Largest IV drop — 4.7% change
  • 2013-12-03: Highest IV Rank — 28.2%
  • 2013-12-03: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.40$21.73$23.16$21.73$22.99
Max Pain$21.49$21.25$22.50$21.25$21.25
ATM IV23.2%22.2%23.9%23.8%23.1%
Expected Move6.6%6.4%6.8%6.8%6.6%
HV 20d18.5%13.4%36.5%36.4%14.2%
HV 60d27.8%27.4%28.2%27.9%27.5%
IV Rank26.6%24.4%28.2%27.9%26.3%
IV Percentile42.2%28.2%52.8%50.8%40.9%
Term Structure6.2%-0.4%8.9%-0.4%8.6%
VWIV23.0%17.7%24.6%23.8%22.4%
Skew 25d1.8%1.3%2.4%2.0%1.7%
Skew 10d4.7%-0.6%10.9%10.9%2.3%
Call IV 25d22.7%21.3%23.7%22.6%22.5%
Put IV 25d24.6%23.4%25.4%24.6%24.2%
Bid-Ask Spread %71.6710.4587.5410.4542.21
Gamma HHI0.280.200.530.240.22
Net GEX442.4K322.1K676.5K323.8K382.6K
Net DEX-12.3M-17.2M-9.4M-9.4M-12.0M
Net VEX-50.1K-56.5K-44.4K-56.1K-46.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.031.740.710.35
Total Volume441.524161,376472576
Total OI26,000.1921,07628,77626,37622,284

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$21.73$21.2523.8%6.8%36.4%27.9%23.8%2.0%-0.4%323.8K-9.4M-56.1K0.7110.45N/AN/A27619611,44814,928
2013-12-03$21.75$21.2523.9%6.8%36.5%28.2%17.7%2.1%0.5%355.0K-9.7M-56.4K0.0365.18N/AN/A8402411,66814,912
2013-12-04$21.77$21.2523.7%6.8%18.9%27.9%23.9%2.0%0.6%392.0K-9.9M-56.5K0.9070.05N/AN/A847612,19614,928
2013-12-05$22.22$21.2523.4%6.7%18.9%27.0%23.2%1.3%0.2%467.2K-12.5M-54.4K0.4972.46N/AN/A34416812,24414,980
2013-12-06$22.09$21.2523.1%6.7%19.0%26.5%23.3%1.7%6.7%459.0K-12.0M-54.5K1.5472.62N/AN/A27642412,45615,104
2013-12-09$22.18$21.2523.4%6.7%18.9%27.2%23.4%2.1%6.8%480.4K-12.4M-53.7K0.3571.55N/AN/A802812,45215,460
2013-12-10$22.35$21.2523.0%6.7%18.6%26.2%23.7%2.1%7.0%517.0K-13.4M-52.6K1.4570.12N/AN/A446412,44815,456
2013-12-11$21.98$21.2523.8%6.8%19.8%28.0%24.6%1.9%6.6%475.0K-11.4M-53.1K0.0674.62N/AN/A4442812,42815,488
2013-12-12$21.91$21.2523.4%6.7%19.3%27.1%22.9%1.9%7.0%485.7K-11.1M-53.0K0.3376.46N/AN/A481612,63615,504
2013-12-13$22.00$21.2523.2%6.7%18.2%26.8%0.0%1.6%7.6%509.6K-11.7M-53.5K0.3378.14N/AN/A12412,67615,520
2013-12-16$22.27$21.2523.1%6.6%18.2%26.5%23.7%2.2%7.6%552.5K-13.3M-49.7K1.1874.61N/AN/A445212,67615,524
2013-12-17$22.28$21.2523.6%6.8%16.3%27.5%23.5%1.5%7.8%560.2K-13.5M-48.8K0.9380.48N/AN/A565212,68015,520
2013-12-18$22.40$21.2523.6%6.8%15.7%27.5%24.5%2.4%7.8%536.2K-14.1M-47.0K1.5285.10N/AN/A11617612,72015,480
2013-12-19$22.64$21.2523.8%6.8%15.1%27.9%24.6%1.7%7.1%676.5K-15.6M-45.9K0.1871.76N/AN/A95217612,61215,324
2013-12-20$22.91$21.2522.6%6.5%15.2%25.4%22.3%2.1%7.9%397.4K-17.2M-45.0K0.4974.90N/AN/A92445213,27615,500
2013-12-23$23.05$22.5022.9%6.6%14.9%25.9%23.8%1.4%7.6%334.9K-11.9M-45.1K1.7478.94N/AN/A1562729,81211,264
2013-12-24$23.04$22.5022.3%6.4%13.4%24.6%0.0%2.4%8.9%331.1K-11.6M-45.1K0.2782.76N/AN/A148409,78011,496
2013-12-26$22.88$22.5022.5%6.5%13.7%25.1%22.2%1.4%8.1%323.3K-11.2M-44.4K0.3087.54N/AN/A3441049,79611,460
2013-12-27$22.80$22.5022.2%6.4%13.5%24.4%21.2%1.7%8.4%322.1K-11.0M-45.8K0.2781.51N/AN/A66417610,02011,560
2013-12-30$23.16$21.2522.2%6.4%14.2%24.5%22.6%1.5%8.6%409.1K-13.1M-44.9K0.4183.65N/AN/A2249210,57611,712
2013-12-31$22.99$21.2523.1%6.6%14.2%26.3%22.4%1.7%8.6%382.6K-12.0M-46.8K0.3542.21N/AN/A42814810,59211,692