OTEX Options History — April 2014

In April 2014, OTEX traded between $22.67 and $24.67. ATM implied volatility averaged 32.1%, placing in the 38.6% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 10.6% (HV 20d: 21.5%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 2.19.

Notable Days

  • 2014-04-29: Highest Volume — 4,854 contracts
  • 2014-04-10: Largest IV spike — 76.4% change
  • 2014-04-24: Highest IV Rank — 71.5%
  • 2014-04-24: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.38$22.67$24.67$23.55$24.67
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV32.1%20.9%44.5%20.9%22.9%
Expected Move9.8%6.0%12.8%6.0%6.6%
HV 20d21.5%16.4%31.6%16.4%30.1%
HV 60d26.4%17.8%30.1%29.9%21.6%
IV Rank38.6%10.8%71.5%10.8%13.8%
IV Percentile68.5%5.2%98.0%5.2%24.2%
Term Structure-2.5%-11.1%16.8%16.8%0.4%
VWIV36.0%24.6%44.6%26.4%27.4%
Skew 25d2.6%-0.3%4.8%2.4%1.1%
Skew 10d8.2%0.6%23.5%23.5%4.6%
Call IV 25d33.9%22.5%43.6%22.5%24.3%
Put IV 25d36.5%24.3%46.6%25.0%25.3%
Bid-Ask Spread %80.3971.6896.6796.0583.47
Gamma HHI0.280.200.340.300.25
Net GEX-37.2K-210.7K239.2K49.4K88.0K
Net DEX1.2M-3.5M6.1M-2.4M-1.4M
Net VEX-39.2K-53.4K-22.3K-23.5K-53.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.190.0021.840.722.10
Total Volume1,144.476224,8541101,288
Total OI13,274.4768,33220,1048,33220,104

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$23.55$22.5020.9%6.0%16.4%10.8%0.0%2.4%16.8%49.4K-2.4M-23.5K0.7296.05N/AN/A64464,3683,964
2014-04-02$23.47$22.5025.1%7.2%16.4%21.6%0.0%2.5%9.8%45.7K-2.3M-23.6K1.3796.67N/AN/A54744,4124,010
2014-04-03$23.09$22.5025.3%7.2%17.0%22.1%26.4%-0.3%9.8%30.8K-1.7M-23.4K0.3295.99N/AN/A62204,4224,032
2014-04-04$23.08$22.5025.1%9.9%17.0%19.8%34.7%2.6%-2.9%23.7K-1.4M-23.4K2.6475.43N/AN/A28744,4244,042
2014-04-07$22.91$22.5025.0%10.5%16.9%19.3%36.6%2.8%-3.7%22.0K-1.3M-22.6K3.9177.38N/AN/A22864,4244,046
2014-04-08$22.97$22.5024.6%10.4%17.0%18.3%35.7%2.3%-4.2%16.6K-1.3M-22.3K0.0577.05N/AN/A4424,4264,058
2014-04-09$23.46$22.5021.8%10.4%19.1%10.9%36.2%3.1%-4.0%35.7K-2.1M-22.5K21.8472.99N/AN/A1623,5384,4324,060
2014-04-10$22.88$22.5038.5%11.0%19.9%55.4%38.5%3.2%-4.3%-144.7K3.6M-38.2K3.6772.77N/AN/A4401,6144,4227,346
2014-04-11$22.67$22.5039.0%11.2%19.9%56.8%38.8%2.7%-4.7%-193.0K6.1M-45.3K1.0477.84N/AN/A56584,7168,876
2014-04-14$22.90$22.5039.3%11.3%19.6%57.6%41.8%4.3%-5.4%-198.6K5.6M-45.4K2.5075.63N/AN/A28704,7188,858
2014-04-15$22.77$22.5040.1%11.5%18.6%59.6%39.1%4.1%-6.1%-201.1K6.0M-44.0K0.1575.54N/AN/A5484,7188,872
2014-04-16$23.33$22.5039.0%11.2%20.7%56.6%40.6%4.8%-6.0%-204.0K4.4M-45.8K1.7579.93N/AN/A8144,6328,806
2014-04-17$23.41$22.5039.5%11.3%20.8%58.0%40.2%2.4%-7.0%-204.5K4.2M-45.4K0.0078.18N/AN/A10404,6288,808
2014-04-21$23.32$22.5042.5%12.2%20.8%66.2%42.7%3.3%-8.8%-210.7K4.5M-43.8K0.1371.68N/AN/A3,3244404,1788,610
2014-04-22$22.77$22.5043.6%12.5%22.0%69.1%42.5%2.2%-11.0%-77.9K4.1M-47.0K0.3171.76N/AN/A6602067,1129,018
2014-04-23$23.07$22.5044.5%12.8%22.7%71.4%42.9%3.8%-11.1%-18.6K2.8M-49.7K0.3976.77N/AN/A138547,6949,092
2014-04-24$23.04$22.5044.5%12.8%22.6%71.5%44.6%3.0%-11.0%-15.5K2.9M-49.3K1.0176.29N/AN/A7948007,7549,146
2014-04-25$24.52$22.5023.9%6.8%31.6%16.4%24.8%2.2%0.8%239.2K-3.5M-48.9K1.4983.72N/AN/A1,4982,2388,2249,602
2014-04-28$24.48$22.5025.3%7.3%31.5%20.2%24.6%1.1%-0.2%63.6K-428.6K-52.7K0.5787.36N/AN/A6423688,42011,392
2014-04-29$24.66$22.5023.3%6.7%30.6%14.9%25.5%1.6%0.0%73.3K-1.1M-53.4K0.1385.78N/AN/A4,2845708,42211,476
2014-04-30$24.67$22.5022.9%6.6%30.1%13.8%27.4%1.1%0.4%88.0K-1.4M-53.2K2.1083.47N/AN/A4168728,46611,638