OTEX Options History — January 2014

In January 2014, OTEX traded between $22.16 and $25.04. ATM implied volatility averaged 27.2%, placing in the 35.7% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 0.6% (HV 20d: 26.5%). Max pain ranged from $20.00 to $21.25. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.21.

Notable Days

  • 2014-01-24: Highest Volume — 5,264 contracts
  • 2014-01-16: Largest IV spike — 51.3% change
  • 2014-01-23: Highest IV Rank — 56.2%
  • 2014-01-23: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.24$22.16$25.04$22.93$24.73
Max Pain$20.65$20.00$21.25$21.25$21.25
ATM IV27.2%22.3%36.1%23.5%26.7%
Expected Move8.8%6.4%10.3%6.7%7.7%
HV 20d26.5%12.8%47.0%14.3%47.0%
HV 60d30.3%27.2%35.2%27.5%34.9%
IV Rank35.7%24.5%56.2%27.4%34.7%
IV Percentile63.7%29.0%86.9%51.2%72.2%
Term Structure-0.8%-4.8%8.7%8.4%-0.2%
VWIV30.8%22.1%36.3%22.1%27.1%
Skew 25d2.2%0.4%3.5%3.2%1.3%
Skew 10d5.7%2.9%10.2%10.2%4.0%
Call IV 25d29.7%22.2%34.7%22.2%26.6%
Put IV 25d32.0%23.5%38.2%25.4%27.9%
Bid-Ask Spread %62.0152.8788.6488.6463.94
Gamma HHI0.230.160.320.230.24
Net GEX396.4K154.2K638.6K403.1K620.8K
Net DEX-13.2M-21.4M-8.2M-12.1M-21.1M
Net VEX-43.5K-48.3K-32.3K-46.1K-48.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.089.800.460.58
Total Volume1,399.6191285,264860968
Total OI24,758.47621,61230,88022,84030,880

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$22.93$21.2523.5%6.7%14.3%27.4%22.1%3.2%8.4%403.1K-12.1M-46.1K0.4688.64N/AN/A58827211,00811,832
2014-01-03$23.18$21.2522.3%6.4%14.5%24.6%22.5%0.9%8.7%435.7K-13.0M-46.3K0.5084.45N/AN/A25612811,02412,096
2014-01-06$23.09$20.0025.6%9.3%13.2%32.2%32.7%3.1%-1.2%430.0K-12.6M-44.0K0.3256.44N/AN/A1886011,04012,152
2014-01-07$23.12$20.0024.1%9.4%12.8%28.6%33.9%3.5%-2.0%441.4K-12.8M-45.1K0.0052.87N/AN/A012811,12812,156
2014-01-08$23.51$20.0022.9%9.2%13.8%25.9%32.5%2.5%-1.6%510.1K-14.9M-42.2K0.1457.57N/AN/A6088411,12812,244
2014-01-09$22.52$20.0024.1%9.5%21.3%28.8%32.6%2.5%-1.4%302.4K-10.1M-44.5K1.4854.45N/AN/A41260811,11612,316
2014-01-10$22.33$20.0022.7%9.4%20.6%25.5%32.6%2.8%-2.0%265.4K-8.8M-46.0K0.1456.73N/AN/A3044411,22812,580
2014-01-13$22.24$20.0025.3%9.4%20.6%31.5%33.3%2.6%-1.2%225.6K-8.5M-44.8K9.8055.64N/AN/A2019611,33612,600
2014-01-14$22.16$20.0023.9%9.4%20.7%28.3%33.2%2.3%-1.3%246.6K-8.2M-42.7K2.1957.15N/AN/A10422811,34812,720
2014-01-15$22.68$20.0022.3%9.5%21.8%24.5%32.9%2.1%-1.7%286.1K-11.0M-40.4K0.0855.59N/AN/A1,1369211,12012,684
2014-01-16$22.50$20.0033.7%9.7%22.0%50.7%34.4%2.6%-2.3%254.2K-9.7M-43.2K0.8455.94N/AN/A14812411,83212,648
2014-01-17$22.56$20.0034.1%9.8%21.9%51.6%34.7%2.6%-2.9%154.2K-10.5M-42.6K1.8056.88N/AN/A29653211,93612,720
2014-01-21$22.75$21.2535.8%10.3%21.8%55.6%36.3%2.6%-4.0%312.5K-9.8M-41.4K1.4956.98N/AN/A1802689,60412,008
2014-01-22$22.66$21.2536.0%10.3%21.4%56.1%35.8%3.4%-4.8%314.9K-9.6M-41.2K0.0857.29N/AN/A2,6482009,71612,144
2014-01-23$22.66$21.2536.1%10.3%21.3%56.2%36.2%3.5%-4.6%321.9K-9.7M-42.2K0.9957.00N/AN/A1,5721,56010,02412,260
2014-01-24$25.04$21.2525.3%7.3%41.7%31.5%26.3%0.4%-0.4%449.0K-19.9M-32.3K0.9558.94N/AN/A2,7042,56010,57613,396
2014-01-27$23.82$21.2526.7%7.6%45.8%34.6%26.6%1.4%-0.4%448.1K-15.2M-40.2K0.2365.67N/AN/A3,98091211,49614,584
2014-01-28$24.57$21.2525.7%7.4%46.9%32.4%25.9%1.5%-0.1%626.6K-19.9M-44.9K0.2464.90N/AN/A2,73266814,05614,856
2014-01-29$24.30$21.2526.9%7.7%46.9%35.1%27.2%0.9%-0.2%637.8K-18.4M-46.9K0.8775.70N/AN/A53246414,70015,120
2014-01-30$24.70$21.2526.8%7.7%47.0%35.0%27.6%1.4%-0.4%638.6K-21.4M-47.4K1.0669.41N/AN/A43245615,07215,444
2014-01-31$24.73$21.2526.7%7.7%47.0%34.7%27.1%1.3%-0.2%620.8K-21.1M-48.3K0.5863.94N/AN/A61235615,16815,712