OTEX Options History — August 2014

In August 2014, OTEX traded between $27.17 and $28.34. ATM implied volatility averaged 20.0%, placing in the 9.3% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 28.1% (HV 20d: 48.1%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.65.

Notable Days

  • 2014-08-01: Highest Volume — 1,962 contracts
  • 2014-08-14: Largest IV spike — 22.2% change
  • 2014-08-04: Highest IV Rank — 19.7%
  • 2014-08-11: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.78$27.17$28.34$27.48$28.11
Max Pain$23.33$22.50$25.00$22.50$25.00
ATM IV20.0%16.8%23.7%23.3%17.2%
Expected Move8.1%7.9%8.3%8.1%8.2%
HV 20d48.1%16.7%52.1%51.6%16.7%
HV 60d32.7%32.4%33.0%32.8%32.6%
IV Rank9.3%0.0%19.7%18.2%1.3%
IV Percentile12.0%0.0%54.0%44.4%0.4%
Term Structure4.0%0.4%8.0%0.4%1.3%
VWIV28.9%25.3%34.6%29.7%27.7%
Skew 25d1.7%-2.3%4.9%1.0%-2.3%
Skew 10d4.7%-3.6%40.6%10.3%-2.0%
Call IV 25d20.3%13.9%24.2%23.5%19.8%
Put IV 25d22.0%17.0%25.4%24.4%17.5%
Bid-Ask Spread %52.2340.3861.9660.7561.96
Gamma HHI0.480.360.870.360.56
Net GEX285.0K-144.6K3.1M29.3K-144.6K
Net DEX-12.6M-25.3M-3.5M-18.9M-3.6M
Net VEX-47.0K-53.2K-42.0K-53.2K-44.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.650.0815.571.340.39
Total Volume645.0481561,9621,962244
Total OI27,593.04812,17041,83438,40613,732

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$27.48$22.5023.3%8.1%51.6%18.2%29.7%1.0%0.4%29.3K-18.9M-53.2K1.3460.75N/AN/A8401,12211,83626,570
2014-08-04$27.34$22.5023.7%8.1%51.1%19.7%28.0%-0.5%6.4%3.5K-17.7M-52.8K0.3354.63N/AN/A99633011,97627,240
2014-08-05$27.17$22.5023.5%8.2%51.2%19.0%29.0%1.2%6.5%79.0K-17.6M-51.8K1.2052.78N/AN/A24829812,42627,420
2014-08-06$27.50$22.5022.0%8.2%51.2%14.3%28.0%3.1%7.5%231.9K-18.9M-51.4K2.7553.46N/AN/A4401,21012,40627,532
2014-08-07$27.34$22.5021.4%8.0%51.3%12.5%28.8%2.5%6.6%385.4K-17.8M-50.0K0.3951.88N/AN/A85633812,53028,478
2014-08-08$27.20$22.5020.0%8.2%50.7%8.2%0.0%1.5%7.4%455.7K-17.5M-53.0K0.9147.77N/AN/A15213813,09028,492
2014-08-11$27.70$22.5021.5%8.3%50.8%12.9%25.3%2.5%7.5%669.0K-21.4M-48.2K0.4548.63N/AN/A43419613,11028,436
2014-08-12$27.68$22.5020.3%8.2%50.6%9.1%30.1%2.9%7.0%785.2K-21.6M-47.4K1.1540.38N/AN/A20824013,23228,488
2014-08-13$28.00$22.5016.8%8.3%50.6%0.0%29.5%4.1%7.3%646.8K-24.4M-45.4K0.0849.71N/AN/A4203413,28428,550
2014-08-14$28.17$22.5020.5%8.3%50.5%11.3%27.5%3.7%7.6%400.3K-25.3M-42.5K0.2846.12N/AN/A2306413,03228,298
2014-08-15$27.55$22.5020.5%7.9%51.7%11.1%28.0%2.0%8.0%3.1M-20.0M-46.7K0.3353.78N/AN/A56018612,88028,334
2014-08-18$27.93$22.5019.9%8.2%51.7%9.4%28.2%2.0%0.6%-90.7K-3.6M-44.2K0.1149.66N/AN/A546584,5407,630
2014-08-19$27.70$22.5019.3%8.1%52.0%7.5%27.8%1.6%0.7%-42.3K-3.5M-45.0K1.5141.06N/AN/A1422144,8867,682
2014-08-20$27.71$22.5019.4%8.2%51.8%7.7%28.7%1.9%1.2%-45.0K-3.8M-45.5K0.5447.86N/AN/A2581405,0027,886
2014-08-21$27.86$25.0018.5%8.0%51.8%5.0%0.0%2.9%1.1%-54.4K-4.2M-46.9K15.5761.19N/AN/A142185,1868,014
2014-08-22$28.34$25.0019.3%8.0%51.6%7.5%28.5%-0.2%1.1%-50.7K-6.0M-44.4K2.1148.43N/AN/A1643465,1868,114
2014-08-25$28.00$25.0018.9%7.9%52.1%6.2%31.2%-2.2%0.9%-56.9K-4.9M-43.6K0.9757.49N/AN/A1821765,2508,190
2014-08-26$28.06$25.0018.6%8.1%52.0%5.3%28.3%3.3%1.0%-69.1K-5.0M-44.5K0.9654.56N/AN/A2762665,3808,326
2014-08-27$28.34$25.0018.2%8.1%51.9%4.2%34.6%-0.4%1.4%-86.0K-4.3M-42.0K2.4060.29N/AN/A1784284,6028,568
2014-08-28$28.25$25.0018.2%8.2%17.3%4.2%30.8%4.9%1.8%-131.3K-3.8M-43.2K0.7754.51N/AN/A88684,7608,880
2014-08-29$28.11$25.0017.2%8.2%16.7%1.3%27.7%-2.3%1.3%-144.6K-3.6M-44.2K0.3961.96N/AN/A176684,8208,912