OTEX Options History — June 2014

In June 2014, OTEX traded between $23.05 and $24.49. ATM implied volatility averaged 21.2%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 3.9% (HV 20d: 17.3%). Max pain ranged from $15.00 to $25.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 2.58.

Notable Days

  • 2014-06-26: Highest Volume — 3,038 contracts
  • 2014-06-27: Largest IV drop — 23.1% change
  • 2014-06-04: Highest IV Rank — 18.4%
  • 2014-06-25: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.83$23.05$24.49$23.05$23.97
Max Pain$21.50$15.00$25.00$25.00$17.50
ATM IV21.2%17.3%24.6%22.4%17.3%
Expected Move6.8%5.7%8.6%6.4%8.4%
HV 20d17.3%15.7%19.0%16.7%17.3%
HV 60d22.3%21.9%22.6%22.2%22.1%
IV Rank9.7%0.0%18.4%12.5%0.0%
IV Percentile14.7%0.0%57.9%22.2%0.0%
Term Structure8.3%-3.6%13.8%-0.9%13.8%
VWIV23.4%20.0%33.8%22.4%29.5%
Skew 25d2.2%-3.7%8.0%8.0%3.1%
Skew 10d12.3%-3.5%34.5%34.5%17.4%
Call IV 25d21.1%18.8%26.4%26.4%20.8%
Put IV 25d23.3%21.3%34.4%34.4%23.9%
Bid-Ask Spread %71.4735.5891.5982.4755.33
Gamma HHI0.520.340.790.540.34
Net GEX-503.2K-827.8K-178.7K-551.4K-461.4K
Net DEX11.1M5.0M16.4M16.4M9.4M
Net VEX-50.0K-61.9K-39.9K-40.4K-60.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.580.0219.5312.110.36
Total Volume686.19343,038136248
Total OI18,039.71414,73620,35815,84019,568

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$23.05$25.0022.4%6.4%16.7%12.5%22.4%8.0%-0.9%-551.4K16.4M-40.4K0.0082.47N/AN/A01363,89411,946
2014-06-03$23.10$25.0021.5%6.2%16.8%10.0%21.6%-3.7%-0.0%-572.8K16.3M-39.9K12.1186.64N/AN/A182183,89412,052
2014-06-04$23.55$25.0024.6%7.1%18.7%18.4%23.5%-1.7%-3.6%-600.7K15.4M-42.4K0.3386.11N/AN/A1,2464063,89812,248
2014-06-05$23.66$25.0022.8%6.5%17.5%13.6%23.5%-0.9%-1.2%-609.4K14.3M-46.4K0.3291.59N/AN/A4861544,70612,538
2014-06-06$23.89$22.5022.9%6.0%16.3%13.9%21.8%1.2%9.4%-676.5K12.5M-52.1K0.2088.08N/AN/A220445,07812,632
2014-06-09$24.09$22.5021.4%5.9%16.4%9.7%20.7%2.9%9.5%-706.5K11.6M-51.5K0.2489.42N/AN/A164405,18412,640
2014-06-10$23.80$22.5022.5%5.8%16.1%12.8%20.5%2.3%10.1%-642.9K12.6M-50.2K0.9387.13N/AN/A1521425,30812,668
2014-06-11$24.02$22.5017.4%5.7%16.3%0.0%20.0%3.0%10.4%-618.8K12.7M-47.2K0.0289.78N/AN/A16245,35012,768
2014-06-12$23.87$22.5020.1%5.8%15.7%7.1%20.2%2.1%10.1%-492.5K13.2M-46.4K0.0269.66N/AN/A1,578265,47012,772
2014-06-13$23.95$22.5021.2%6.1%15.7%10.0%22.8%1.6%9.8%-393.4K11.9M-50.5K0.1374.95N/AN/A3046,76412,788
2014-06-16$24.49$22.5021.7%6.2%17.2%11.2%21.6%6.8%10.2%-827.8K7.7M-53.6K0.1678.36N/AN/A9281486,74212,792
2014-06-17$24.25$22.5021.3%6.1%17.6%10.2%21.3%4.3%10.4%-700.7K8.0M-54.9K0.3074.00N/AN/A126387,33612,826
2014-06-18$24.13$22.5020.9%6.0%17.7%9.1%21.7%3.1%11.2%-447.9K10.3M-52.1K1.0273.51N/AN/A82847,40612,850
2014-06-19$24.14$22.5020.4%5.8%17.3%7.8%20.4%2.6%10.8%-573.0K9.7M-52.4K0.3277.19N/AN/A210687,34812,868
2014-06-20$23.70$22.5022.5%6.4%18.6%13.3%21.5%1.7%9.7%-206.0K12.2M-47.7K0.2877.44N/AN/A150427,46212,896
2014-06-23$23.93$0.0020.0%8.2%18.7%6.7%31.2%3.5%11.7%-192.5K5.0M-48.2K0.2468.08N/AN/A314745,9688,768
2014-06-24$23.70$15.0021.6%8.5%19.0%10.9%26.5%-0.2%10.2%-178.7K5.7M-47.1K11.8137.09N/AN/A1882,2206,2028,836
2014-06-25$23.41$15.0021.8%8.6%17.2%11.4%33.8%-0.2%10.1%-336.7K9.9M-51.8K0.2538.57N/AN/A5281306,23210,978
2014-06-26$23.73$17.5022.9%8.5%17.8%14.5%0.0%4.7%10.8%-316.9K8.7M-53.8K19.5335.58N/AN/A1482,8906,50611,094
2014-06-27$23.91$17.5017.6%8.2%17.9%0.5%29.5%1.1%12.9%-460.5K9.9M-61.9K3.0339.87N/AN/A1404246,55813,000
2014-06-30$23.97$17.5017.3%8.4%17.3%0.0%0.0%3.1%13.8%-461.4K9.4M-60.6K0.3655.33N/AN/A182666,55813,010