OTEX Options History — March 2014

In March 2014, OTEX traded between $23.30 and $25.36. ATM implied volatility averaged 23.1%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 8.1% (HV 20d: 15.0%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.83.

Notable Days

  • 2014-03-19: Highest Volume — 344 contracts
  • 2014-03-26: Largest IV spike — 31.1% change
  • 2014-03-03: Highest IV Rank — 30.4%
  • 2014-03-28: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.42$23.30$25.36$25.23$23.86
Max Pain$23.81$22.50$25.00$23.75$22.50
ATM IV23.1%17.7%25.5%24.8%21.5%
Expected Move6.7%5.1%7.3%7.1%6.2%
HV 20d15.0%13.2%16.8%15.2%16.3%
HV 60d29.3%28.8%29.8%29.2%29.8%
IV Rank19.9%2.4%30.4%30.4%12.2%
IV Percentile35.5%1.2%64.3%59.1%7.9%
Term Structure7.6%-0.3%12.8%-0.3%11.5%
VWIV23.7%20.1%25.8%24.6%21.7%
Skew 25d2.7%0.7%5.9%2.1%3.1%
Skew 10d3.8%-3.2%11.0%4.6%3.6%
Call IV 25d23.0%20.0%24.7%23.8%22.1%
Put IV 25d25.7%24.0%26.7%25.9%25.2%
Bid-Ask Spread %85.5964.8596.3281.4094.70
Gamma HHI0.280.240.340.240.32
Net GEX169.6K43.3K260.1K260.1K67.9K
Net DEX-4.8M-8.3M-2.1M-7.6M-3.0M
Net VEX-28.8K-34.1K-23.9K-34.1K-23.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.164.580.620.20
Total Volume189.61958344328122
Total OI11,4048,02212,85012,4768,298

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$25.23$23.7524.8%7.1%15.2%30.4%24.6%2.1%-0.3%260.1K-7.6M-34.1K0.6281.40N/AN/A2021266,9745,502
2014-03-04$25.36$23.7523.4%6.7%14.8%27.2%23.0%2.0%0.2%258.4K-8.3M-33.2K0.4584.44N/AN/A150686,9985,600
2014-03-05$25.32$23.7523.8%6.8%14.8%28.0%23.8%2.4%0.1%255.4K-8.1M-32.8K1.3686.10N/AN/A44607,0065,612
2014-03-06$25.23$23.7523.4%6.7%14.9%27.2%23.7%1.0%0.2%256.8K-7.9M-32.4K0.1988.26N/AN/A84167,0165,648
2014-03-07$25.13$25.0023.0%6.8%15.0%26.1%23.8%2.3%8.2%248.8K-7.4M-32.4K2.6385.08N/AN/A16427,0285,652
2014-03-10$24.85$25.0023.3%6.9%15.0%25.3%24.3%2.6%8.0%237.2K-6.3M-31.7K0.3677.57N/AN/A248907,0285,684
2014-03-11$24.87$25.0022.2%6.8%14.9%22.7%23.6%2.7%8.2%235.3K-6.3M-31.5K0.3883.82N/AN/A104407,0485,742
2014-03-12$24.70$25.0022.4%6.8%14.3%23.1%24.6%2.9%8.4%223.3K-5.6M-31.5K0.3283.13N/AN/A188607,0865,764
2014-03-13$24.23$25.0024.0%6.9%15.1%19.5%0.0%1.3%8.5%174.7K-3.6M-31.0K0.4688.50N/AN/A196907,1225,696
2014-03-14$24.03$25.0023.5%6.7%14.3%17.5%23.7%0.7%8.7%162.2K-2.9M-30.0K0.5987.86N/AN/A58347,1165,700
2014-03-17$24.35$25.0023.3%6.7%15.2%16.8%0.0%5.5%9.8%187.8K-4.0M-29.5K0.6395.25N/AN/A76487,1305,656
2014-03-18$24.69$25.0023.2%6.7%16.3%16.7%23.6%2.3%9.1%210.5K-5.5M-29.0K0.1893.44N/AN/A214387,1125,686
2014-03-19$24.34$25.0023.8%6.8%16.8%18.1%23.5%5.2%8.8%172.6K-3.9M-27.5K0.3294.40N/AN/A260847,1105,692
2014-03-20$24.29$22.5022.9%6.6%16.5%15.7%25.8%4.5%10.5%177.6K-3.9M-25.9K0.3092.35N/AN/A226686,9425,502
2014-03-21$24.16$22.5023.0%6.6%15.7%16.2%21.2%3.8%9.0%143.5K-3.6M-25.6K0.9164.85N/AN/A106966,8825,538
2014-03-24$23.88$22.5022.3%6.4%15.9%14.2%24.5%3.0%10.7%65.2K-3.1M-25.1K0.1672.53N/AN/A152244,2363,786
2014-03-25$23.88$22.5017.7%5.1%14.0%2.4%20.1%5.9%12.8%73.7K-3.3M-24.7K4.5874.92N/AN/A241104,3083,798
2014-03-26$23.72$22.5023.2%6.7%13.9%16.7%0.0%1.8%11.2%62.7K-2.9M-24.5K1.6577.24N/AN/A681124,3303,908
2014-03-27$23.45$22.5024.6%7.0%13.4%20.2%25.0%1.0%8.9%43.3K-2.3M-24.3K0.7895.15N/AN/A54424,3303,960
2014-03-28$23.30$22.5025.5%7.3%13.2%22.6%25.6%1.1%7.4%43.9K-2.1M-24.1K0.4596.32N/AN/A98444,3343,924
2014-03-31$23.86$22.5021.5%6.2%16.3%12.2%21.7%3.1%11.5%67.9K-3.0M-23.9K0.2094.70N/AN/A102204,3543,944