OTEX Options History — September 2014

In September 2014, OTEX traded between $27.41 and $29.11. ATM implied volatility averaged 18.5%, placing in the 6.4% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 2.2% (HV 20d: 16.3%). Max pain ranged from $25.00 to $27.50. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.59.

Notable Days

  • 2014-09-25: Highest Volume — 3,730 contracts
  • 2014-09-05: Largest IV drop — 17.3% change
  • 2014-09-29: Highest IV Rank — 10.9%
  • 2014-09-30: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.35$27.41$29.11$28.22$27.71
Max Pain$25.36$25.00$27.50$25.00$27.50
ATM IV18.5%16.2%19.9%18.6%19.6%
Expected Move8.2%7.8%8.5%8.3%8.5%
HV 20d16.3%13.8%18.1%16.6%16.4%
HV 60d32.5%32.1%32.8%32.6%32.2%
IV Rank6.4%0.0%10.9%5.6%10.1%
IV Percentile7.1%0.0%15.5%4.0%15.5%
Term Structure10.2%-0.1%17.1%1.3%13.4%
VWIV29.4%26.2%35.5%28.8%29.8%
Skew 25d1.8%-1.9%8.2%2.8%2.5%
Skew 10d7.1%-2.3%50.1%50.1%3.1%
Call IV 25d18.0%13.7%20.8%20.3%16.0%
Put IV 25d19.8%16.8%23.1%23.1%18.4%
Bid-Ask Spread %50.4044.0457.6356.6046.82
Gamma HHI0.400.320.550.550.42
Net GEX-218.4K-667.1K221.8K-137.9K-609.7K
Net DEX-3.9M-8.5M2.8M-3.5M998.4K
Net VEX-41.6K-45.1K-38.0K-43.8K-42.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.590.0516.505.0616.50
Total Volume630.476503,73019470
Total OI15,747.8113,90018,34613,90015,102

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$28.22$25.0018.6%8.3%16.6%5.6%28.8%2.8%1.3%-137.9K-3.5M-43.8K5.0656.60N/AN/A321624,9288,972
2014-09-03$28.88$25.0018.6%7.8%18.0%5.3%28.9%1.2%-0.1%-79.4K-6.4M-38.0K0.0552.69N/AN/A1,418724,9469,112
2014-09-04$28.65$25.0019.6%8.1%18.1%8.5%35.5%-1.9%1.0%14.9K-6.2M-40.8K1.0453.05N/AN/A2382485,8469,138
2014-09-05$28.64$25.0016.2%8.2%17.8%0.0%28.5%0.2%9.6%3.3K-5.9M-41.3K1.5445.36N/AN/A2523885,9489,242
2014-09-08$28.54$25.0016.6%8.5%17.8%1.2%28.5%0.4%10.6%-44.4K-5.6M-42.9K0.3144.04N/AN/A144446,1749,580
2014-09-09$28.48$25.0017.3%8.2%16.8%3.2%28.8%1.0%10.2%-66.6K-5.6M-43.1K3.1549.84N/AN/A541706,2789,620
2014-09-10$28.55$25.0016.8%8.3%16.8%1.6%0.0%1.5%11.4%-143.8K-5.6M-40.7K0.8549.02N/AN/A2181866,3209,740
2014-09-11$28.59$25.0018.9%8.2%16.4%8.1%31.2%1.3%11.3%-158.9K-5.6M-43.1K0.9147.33N/AN/A2542306,4809,924
2014-09-12$28.87$25.0018.7%7.9%16.6%7.4%27.9%2.4%10.0%-53.8K-7.3M-40.2K0.1252.97N/AN/A248306,72610,148
2014-09-15$28.80$25.0018.5%8.1%14.1%6.7%28.6%2.4%10.1%-23.0K-7.3M-39.9K0.3145.01N/AN/A3841186,93210,158
2014-09-16$29.11$25.0018.9%7.9%13.8%8.0%29.6%3.0%10.4%221.8K-8.5M-40.6K1.9552.57N/AN/A2885627,22610,230
2014-09-17$28.75$25.0017.5%8.2%14.4%3.9%0.0%4.1%17.1%2.5K-7.5M-39.7K0.5657.63N/AN/A176987,29010,530
2014-09-18$28.86$25.0017.8%8.1%14.4%4.5%29.5%2.6%12.1%-47.6K-7.8M-38.9K0.1249.23N/AN/A658787,20410,540
2014-09-19$28.16$25.0018.6%8.3%17.1%7.2%28.5%-0.5%12.0%-236.6K-5.6M-40.5K4.1751.39N/AN/A2349767,79610,550
2014-09-22$28.18$25.0018.9%8.3%15.9%7.9%29.0%-0.4%12.1%-346.9K-959.7K-41.6K7.0753.74N/AN/A281985,2808,870
2014-09-23$27.91$25.0019.2%8.3%15.8%9.0%28.2%2.0%12.1%-478.0K329.1K-43.1K1.5051.08N/AN/A20305,2989,056
2014-09-24$27.86$25.0018.9%8.4%15.7%8.1%28.0%8.2%12.3%-523.9K634.2K-41.2K1.1953.26N/AN/A3744445,2989,078
2014-09-25$27.41$25.0019.0%8.4%16.2%8.3%34.2%1.5%12.5%-667.1K2.8M-45.1K6.8447.01N/AN/A4763,2545,6269,506
2014-09-26$27.52$27.5019.2%8.4%16.4%8.9%26.2%1.7%12.1%-603.0K1.8M-43.7K0.1249.92N/AN/A240286,0208,934
2014-09-29$27.57$27.5019.9%8.5%16.3%10.9%29.8%2.1%12.8%-607.8K1.4M-42.9K1.1149.81N/AN/A56626,1008,958
2014-09-30$27.71$27.5019.6%8.5%16.4%10.1%0.0%2.5%13.4%-609.7K998.4K-42.6K16.5046.82N/AN/A4666,1388,964