OTEX Options History — May 2014

In May 2014, OTEX traded between $23.25 and $24.84. ATM implied volatility averaged 22.1%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 3.7% (HV 20d: 25.8%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.22.

Notable Days

  • 2014-05-06: Highest Volume — 3,318 contracts
  • 2014-05-16: Largest IV spike — 14.6% change
  • 2014-05-07: Highest IV Rank — 18.0%
  • 2014-05-08: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.90$23.25$24.84$24.82$23.30
Max Pain$24.76$22.50$25.00$22.50$25.00
ATM IV22.1%19.0%24.5%22.3%21.4%
Expected Move6.5%5.5%7.4%6.4%6.1%
HV 20d25.8%14.8%30.6%30.0%16.6%
HV 60d21.9%21.5%22.3%21.6%22.1%
IV Rank11.7%3.5%18.0%12.1%9.9%
IV Percentile17.7%0.4%53.6%15.1%7.1%
Term Structure3.1%-3.0%14.8%0.9%0.9%
VWIV23.0%20.8%25.7%21.7%21.6%
Skew 25d1.2%-1.2%4.5%1.7%-1.2%
Skew 10d9.0%-6.0%31.4%7.3%-0.8%
Call IV 25d22.8%20.8%25.2%22.7%22.8%
Put IV 25d23.9%21.6%28.3%24.3%21.6%
Bid-Ask Spread %88.9681.5097.4892.9186.13
Gamma HHI0.470.240.680.240.59
Net GEX-254.6K-664.5K866.0K71.0K-593.3K
Net DEX9.1M-2.5M15.4M-1.8M15.3M
Net VEX-52.4K-58.8K-44.0K-56.1K-44.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.007.170.261.90
Total Volume467.714643,318350116
Total OI19,93615,05424,94020,93015,758

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$24.82$22.5022.3%6.4%30.0%12.1%21.7%1.7%0.9%71.0K-1.8M-56.1K0.2692.91N/AN/A278728,66412,266
2014-05-02$24.84$22.5021.5%6.2%29.2%10.0%25.7%2.4%1.5%133.8K-2.5M-55.6K1.2794.54N/AN/A60768,81812,306
2014-05-05$24.75$25.0022.6%6.8%29.3%13.0%23.6%1.6%5.8%124.8K-1.8M-54.4K0.2486.93N/AN/A102248,87012,308
2014-05-06$24.67$25.0022.7%6.9%29.1%13.1%24.5%1.7%5.8%92.7K-775.5K-54.9K7.1782.01N/AN/A4062,9128,93012,324
2014-05-07$24.16$25.0024.5%7.0%30.4%18.0%24.7%2.0%5.8%-94.1K5.1M-58.8K0.8681.50N/AN/A44389,24614,438
2014-05-08$23.68$25.0023.0%7.4%30.6%14.0%24.0%0.9%4.1%-316.7K9.1M-56.2K3.0185.56N/AN/A5001,5069,22014,468
2014-05-09$23.57$25.0022.1%7.1%29.1%11.7%24.7%2.6%4.8%-262.0K10.6M-56.8K0.4483.59N/AN/A2261009,57015,304
2014-05-12$23.93$25.0022.7%6.5%29.2%13.3%0.0%2.5%6.9%-99.9K7.8M-57.6K0.1388.82N/AN/A310409,55815,312
2014-05-13$23.83$25.0021.7%6.5%29.2%10.5%0.0%1.3%7.6%-128.6K8.7M-56.4K2.4887.93N/AN/A842089,47015,352
2014-05-14$23.51$25.0020.5%6.8%29.6%7.3%22.7%-0.5%5.9%-143.9K12.0M-51.8K0.8988.59N/AN/A56509,47815,462
2014-05-15$23.61$25.0019.0%5.5%28.4%3.5%20.8%1.3%14.8%61.3K11.9M-50.1K0.9891.30N/AN/A88869,27815,312
2014-05-16$23.84$25.0021.8%6.2%28.5%10.8%23.4%-0.7%6.0%866.0K8.4M-52.7K0.2291.42N/AN/A8281849,25815,146
2014-05-19$23.86$25.0022.1%6.3%28.5%11.5%22.3%1.1%1.7%-636.6K13.1M-52.2K0.4289.72N/AN/A90383,46411,590
2014-05-20$23.89$25.0022.1%6.3%26.9%11.8%22.9%0.6%-0.4%-651.2K13.2M-51.0K1.4290.21N/AN/A52743,47011,618
2014-05-21$23.66$25.0023.8%6.8%26.9%16.1%22.0%0.3%-3.0%-631.6K13.4M-51.0K0.5991.66N/AN/A158943,49011,650
2014-05-22$23.68$25.0022.4%6.4%26.9%12.4%21.5%0.2%-1.3%-632.7K13.5M-50.7K0.5695.44N/AN/A64363,58211,648
2014-05-23$23.87$25.0020.8%6.0%14.8%8.2%21.1%2.1%-0.2%-664.5K12.9M-50.8K0.0097.48N/AN/A6403,64611,684
2014-05-27$23.86$25.0022.7%6.5%14.8%13.3%23.5%0.7%-2.0%-658.2K13.3M-49.9K1.6288.09N/AN/A781263,70611,684
2014-05-28$23.25$25.0022.8%6.5%16.7%13.5%23.0%4.5%-0.6%-577.9K15.4M-44.1K1.1686.31N/AN/A1121303,77411,794
2014-05-29$23.36$25.0022.2%6.4%16.9%11.8%22.5%-0.2%-0.3%-604.5K15.1M-44.5K0.0587.94N/AN/A298143,84211,898
2014-05-30$23.30$25.0021.4%6.1%16.6%9.9%21.6%-1.2%0.9%-593.3K15.3M-44.0K1.9086.13N/AN/A40763,86211,896