OTEX Options History — February 2014

In February 2014, OTEX traded between $24.50 and $25.79. ATM implied volatility averaged 25.5%, placing in the 31.9% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 12.0% (HV 20d: 37.4%). Max pain ranged from $21.25 to $23.75. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.59.

Notable Days

  • 2014-02-20: Highest Volume — 8,022 contracts
  • 2014-02-07: Largest IV drop — 5.8% change
  • 2014-02-03: Highest IV Rank — 39.3%
  • 2014-02-03: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.23$24.50$25.79$24.50$25.48
Max Pain$23.22$21.25$23.75$21.25$23.75
ATM IV25.5%23.3%28.7%28.7%23.5%
Expected Move7.3%6.7%8.2%8.2%6.7%
HV 20d37.4%14.7%47.1%47.1%14.7%
HV 60d29.4%28.7%30.0%30.0%29.1%
IV Rank31.9%27.0%39.3%39.3%27.4%
IV Percentile62.1%39.7%77.8%77.8%44.4%
Term Structure2.8%-0.8%6.5%-0.8%0.0%
VWIV25.7%23.7%29.5%29.5%23.8%
Skew 25d1.9%1.2%2.5%1.7%1.2%
Skew 10d5.5%0.8%9.3%8.1%0.8%
Call IV 25d25.2%23.2%28.6%28.6%23.4%
Put IV 25d27.1%24.7%30.3%30.3%24.7%
Bid-Ask Spread %71.9856.7384.7870.3179.57
Gamma HHI0.310.230.530.230.24
Net GEX467.9K150.3K657.4K609.0K265.0K
Net DEX-17.9M-27.4M-6.9M-19.2M-8.5M
Net VEX-37.6K-47.4K-12.6K-47.4K-34.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.022.950.770.40
Total Volume1,010.5262588,022880386
Total OI25,267.26311,10232,72630,96012,382

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-02-03$24.50$21.2528.7%8.2%47.1%39.3%29.5%1.7%-0.8%609.0K-19.2M-47.4K0.7770.31N/AN/A49638415,10015,860
2014-02-04$24.62$21.2527.4%7.8%47.1%36.2%27.6%1.8%-0.1%610.9K-20.3M-45.7K0.6973.25N/AN/A58840415,23616,020
2014-02-05$24.72$21.2527.8%8.0%47.1%37.1%27.9%1.3%-0.5%571.1K-20.4M-47.2K0.0476.18N/AN/A5602015,18816,272
2014-02-06$24.72$21.2527.2%7.8%46.8%35.8%27.2%1.3%-0.2%588.4K-20.8M-45.9K0.1974.65N/AN/A2885615,40016,292
2014-02-07$24.99$23.7525.6%7.5%43.6%32.2%26.3%2.1%4.7%592.1K-23.3M-44.3K0.6258.99N/AN/A54834015,57616,292
2014-02-10$24.88$23.7526.4%7.6%43.5%33.9%26.2%2.5%4.5%572.7K-21.7M-43.6K0.2256.73N/AN/A75616415,60016,464
2014-02-11$25.21$23.7525.7%7.6%43.4%32.5%26.0%1.5%4.4%553.7K-24.5M-40.8K0.2362.43N/AN/A3848815,59616,592
2014-02-12$25.44$23.7524.4%7.4%43.3%29.5%25.1%2.1%5.3%594.1K-26.0M-39.5K0.6466.17N/AN/A56036015,56816,680
2014-02-13$25.75$23.7525.0%7.2%42.9%30.9%25.8%2.3%5.4%639.8K-27.4M-36.8K0.1966.44N/AN/A4608815,09616,812
2014-02-14$25.51$23.7525.2%7.2%43.0%31.2%24.8%2.3%6.1%657.4K-26.0M-37.6K0.2666.66N/AN/A3368815,34016,832
2014-02-18$25.53$23.7525.9%7.4%43.0%32.8%25.4%2.0%5.7%530.5K-25.8M-34.5K2.9570.23N/AN/A22064815,40816,904
2014-02-19$25.34$23.7525.8%7.4%43.2%32.6%25.6%1.9%5.8%150.3K-10.6M-12.6K0.5777.95N/AN/A2301306,5287,188
2014-02-20$25.48$23.7525.1%7.2%43.1%31.2%24.6%1.8%5.4%408.9K-25.7M-35.2K0.0275.36N/AN/A7,85017215,38617,340
2014-02-21$25.79$23.7524.2%6.9%43.1%29.1%24.5%1.7%6.5%512.3K-9.4M-34.1K0.1574.70N/AN/A492748,17817,444
2014-02-24$25.73$23.7523.7%6.8%25.2%27.9%24.3%1.9%0.6%255.3K-8.4M-32.3K0.3084.78N/AN/A264786,1984,904
2014-02-25$25.11$23.7524.5%7.0%19.3%29.7%24.7%2.4%-0.3%254.5K-6.9M-33.4K0.5975.34N/AN/A162966,3504,950
2014-02-26$25.20$23.7523.3%6.7%16.1%27.0%23.7%1.7%1.3%264.5K-7.2M-34.0K1.3881.33N/AN/A1982746,4425,010
2014-02-27$25.43$23.7524.2%6.9%15.6%29.0%24.8%2.1%-0.0%259.1K-7.7M-34.4K1.0376.59N/AN/A4724866,4965,154
2014-02-28$25.48$23.7523.5%6.7%14.7%27.4%23.8%1.2%0.0%265.0K-8.5M-34.2K0.4079.57N/AN/A2761106,9085,474