OTEX Options History — July 2014

In July 2014, OTEX traded between $23.50 and $27.82. ATM implied volatility averaged 35.4%, placing in the 47.8% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 17.1% (HV 20d: 18.3%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 9.17.

Notable Days

  • 2014-07-31: Highest Volume — 8,296 contracts
  • 2014-07-10: Largest IV spike — 95.5% change
  • 2014-07-30: Highest IV Rank — 86.0%
  • 2014-07-14: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.10$23.50$27.82$24.50$27.82
Max Pain$18.98$17.50$20.00$17.50$20.00
ATM IV35.4%18.8%49.9%19.1%24.8%
Expected Move8.6%8.3%9.0%8.4%8.4%
HV 20d18.3%13.5%51.2%18.7%51.2%
HV 60d20.5%16.2%33.0%22.5%33.0%
IV Rank47.8%3.9%86.0%4.7%19.7%
IV Percentile71.4%1.6%99.2%2.0%63.5%
Term Structure-6.1%-17.9%16.4%14.9%-1.2%
VWIV29.8%27.8%32.7%27.8%29.5%
Skew 25d2.4%-1.0%6.4%6.4%1.8%
Skew 10d5.3%-3.6%8.6%8.6%7.1%
Call IV 25d37.1%19.0%49.0%19.2%25.3%
Put IV 25d39.5%18.0%52.0%25.7%27.1%
Bid-Ask Spread %50.8635.0373.5340.5361.58
Gamma HHI0.410.310.500.320.39
Net GEX-804.6K-1.3M-26.4K-378.4K-26.4K
Net DEX14.5M-21.1M22.6M6.4M-21.1M
Net VEX-68.6K-86.2K-49.5K-62.7K-49.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.170.1892.430.180.55
Total Volume1,666.636308,2962928,296
Total OI26,755.72719,88837,68419,88837,684

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$24.50$17.5019.1%8.4%18.7%4.7%27.8%6.4%14.9%-378.4K6.4M-62.7K0.1840.53N/AN/A248446,61813,270
2014-07-02$24.44$17.5018.9%8.4%17.8%4.1%0.0%6.4%15.4%-404.3K7.0M-61.8K0.8735.03N/AN/A94826,66213,308
2014-07-03$24.38$17.5018.8%8.5%17.8%3.9%0.0%-1.0%16.4%-396.0K7.2M-60.3K0.8853.17N/AN/A16146,69013,342
2014-07-07$23.97$17.5018.8%8.5%18.7%3.9%28.7%1.2%-6.5%-451.9K9.5M-56.3K0.8735.49N/AN/A1901666,68613,336
2014-07-08$23.96$17.5029.5%8.3%18.4%32.1%28.8%3.0%-6.5%-479.7K10.0M-56.7K0.2137.60N/AN/A194406,73813,474
2014-07-09$24.16$17.5019.4%8.7%18.1%5.4%0.0%2.0%-7.5%-383.5K8.4M-57.1K92.4355.64N/AN/A282,5886,80813,482
2014-07-10$24.05$17.5037.9%8.6%18.0%54.2%0.0%2.6%-7.7%-565.9K12.0M-62.0K21.4849.03N/AN/A429026,80815,858
2014-07-11$23.63$17.5038.5%8.9%18.9%55.8%31.1%2.4%-6.7%-775.7K15.6M-60.6K45.1638.19N/AN/A984,4266,81216,376
2014-07-14$23.65$17.5038.8%9.0%18.9%56.7%32.7%1.6%-7.1%-959.3K20.1M-73.8K2.5754.61N/AN/A1062726,88419,514
2014-07-15$23.50$20.0039.7%8.4%17.0%59.1%0.0%0.9%-8.8%-960.9K20.7M-72.6K1.1572.38N/AN/A1061226,91419,668
2014-07-16$23.67$20.0039.6%8.6%17.0%58.8%0.0%2.8%-8.4%-959.4K19.9M-73.0K6.9052.74N/AN/A1801,2427,01819,748
2014-07-17$23.63$20.0038.7%8.8%17.0%56.3%30.3%1.5%-6.7%-1.0M20.5M-72.0K1.9160.01N/AN/A7981,5267,06420,872
2014-07-18$23.86$20.0038.9%8.7%17.4%57.0%0.0%2.3%-8.5%-1.0M18.6M-77.0K0.4173.53N/AN/A3381407,78622,180
2014-07-21$23.86$20.0040.9%8.6%16.1%62.1%28.9%2.0%-9.7%-1.0M19.1M-75.7K1.0042.14N/AN/A2122126,95021,744
2014-07-22$23.95$20.0040.8%8.5%15.8%61.8%30.7%1.2%-10.8%-1.0M18.0M-75.1K1.4241.46N/AN/A1802567,11221,870
2014-07-23$23.84$20.0042.6%8.5%15.5%66.6%0.0%1.9%-11.8%-1.0M18.9M-74.9K10.3555.20N/AN/A1821,8847,22222,028
2014-07-24$23.82$20.0043.5%8.7%14.8%69.1%30.2%2.3%-12.5%-1.2M21.6M-78.4K0.4349.92N/AN/A208907,32823,748
2014-07-25$23.69$20.0044.6%8.8%14.2%72.0%30.4%2.7%-11.7%-1.1M22.6M-75.8K1.1935.37N/AN/A1942307,50823,844
2014-07-28$23.82$20.0047.3%8.6%14.0%79.1%29.3%3.7%-15.7%-1.2M22.0M-74.5K0.1953.22N/AN/A340667,60423,974
2014-07-29$23.75$20.0048.4%8.9%14.0%82.1%0.0%2.5%-15.7%-1.1M22.1M-73.4K11.1356.70N/AN/A4184,6547,85224,014
2014-07-30$24.22$20.0049.9%8.6%13.5%86.0%29.0%2.9%-17.9%-1.3M20.3M-86.2K0.4365.47N/AN/A3,6701,5728,13026,098
2014-07-31$27.82$20.0024.8%8.4%51.2%19.7%29.5%1.8%-1.2%-26.4K-21.1M-49.5K0.5561.58N/AN/A5,3502,94611,24026,444