OTEX Options History — October 2014

In October 2014, OTEX traded between $25.57 and $28.37. ATM implied volatility averaged 27.1%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 2.7% (HV 20d: 24.4%). Max pain ranged from $25.00 to $27.50. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 2.06.

Notable Days

  • 2014-10-22: Highest Volume — 7,442 contracts
  • 2014-10-15: Largest IV spike — 44.8% change
  • 2014-10-21: Highest IV Rank — 82.5%
  • 2014-10-15: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.19$25.57$28.37$27.47$27.57
Max Pain$25.11$25.00$27.50$27.50$25.00
ATM IV27.1%19.1%44.0%20.3%20.3%
Expected Move8.6%7.3%9.5%8.7%7.5%
HV 20d24.4%13.8%37.4%13.9%37.4%
HV 60d31.2%24.6%36.9%32.3%25.0%
IV Rank32.4%8.6%82.5%12.1%12.2%
IV Percentile51.7%12.7%97.2%18.3%19.0%
Term Structure-2.1%-11.0%13.6%12.8%0.3%
VWIV30.3%26.8%34.4%30.9%27.1%
Skew 25d3.2%-0.3%7.3%7.3%2.3%
Skew 10d7.7%-3.2%19.3%11.7%3.9%
Call IV 25d29.8%17.4%41.5%17.5%21.9%
Put IV 25d33.0%19.6%46.1%24.8%24.2%
Bid-Ask Spread %57.6949.7872.1952.4355.64
Gamma HHI0.470.350.660.440.35
Net GEX-424.6K-983.5K192.0K-645.6K192.0K
Net DEX1.5M-5.2M9.4M1.9M-5.2M
Net VEX-36.9K-42.5K-29.1K-42.5K-29.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.060.1615.712.631.43
Total Volume1,742.435667,4422541,802
Total OI16,441.91312,07618,82815,12618,658

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-10-01$27.47$27.5020.3%8.7%13.9%12.1%30.9%7.3%12.8%-645.6K1.9M-42.5K2.6352.43N/AN/A701846,1408,986
2014-10-02$27.45$25.0020.8%8.7%13.8%13.7%30.3%1.7%12.7%-613.8K1.8M-41.9K0.3254.03N/AN/A4601466,1628,832
2014-10-03$27.66$25.0020.5%8.7%14.2%12.8%29.1%3.3%13.6%-621.1K689.9K-41.1K1.8154.71N/AN/A1482686,4528,882
2014-10-06$28.00$25.0022.9%8.7%15.0%19.7%30.2%3.3%-4.4%-485.8K-1.1M-39.9K1.0654.72N/AN/A1681786,5649,120
2014-10-07$27.83$25.0022.3%8.9%15.1%17.9%30.4%2.1%-4.1%-617.3K-349.1K-39.8K15.7156.31N/AN/A1362,1366,6709,284
2014-10-08$28.37$25.0019.1%8.5%16.8%8.6%30.5%4.0%-4.5%-521.8K-2.9M-37.4K0.9753.90N/AN/A3823706,7429,040
2014-10-09$28.16$25.0022.5%8.9%16.9%18.7%0.0%1.9%-4.0%-474.4K-1.9M-37.1K1.0650.77N/AN/A32346,7549,070
2014-10-10$27.07$25.0026.3%9.2%21.2%29.9%30.2%2.5%-4.0%-727.5K3.6M-38.7K1.8256.95N/AN/A2484526,7789,104
2014-10-13$26.51$25.0024.4%9.4%22.2%24.2%33.7%2.5%-7.2%-556.3K7.4M-37.5K2.7758.22N/AN/A1584386,9049,426
2014-10-14$26.66$25.0026.2%9.0%21.8%29.5%31.0%0.1%-7.3%-677.2K7.7M-38.7K0.6657.79N/AN/A5343526,9669,826
2014-10-15$26.57$25.0037.9%9.5%21.5%64.2%31.6%4.7%-7.7%-593.7K7.8M-37.8K1.1663.56N/AN/A4685426,9569,808
2014-10-16$26.43$25.0041.6%9.1%21.4%75.3%33.1%2.5%-8.4%-407.0K9.4M-35.7K3.1460.46N/AN/A561766,8489,904
2014-10-17$27.05$25.0038.8%9.1%22.1%67.0%31.6%3.1%-7.1%-983.5K7.2M-36.7K0.7359.24N/AN/A112826,8449,960
2014-10-20$27.41$25.0039.8%9.1%22.8%70.0%31.8%3.8%-7.0%-148.9K54.6K-34.6K3.8251.96N/AN/A2781,0624,7027,374
2014-10-21$27.95$25.0044.0%9.1%23.7%82.5%32.7%4.8%-11.0%-177.1K-1.6M-33.9K4.8557.88N/AN/A5842,8344,9247,950
2014-10-22$27.13$25.0042.7%9.3%25.9%78.6%34.4%4.7%-8.0%-285.2K1.6M-40.5K0.2349.78N/AN/A6,0401,4025,0869,504
2014-10-23$25.57$25.0025.5%8.4%32.8%27.5%28.8%3.5%-0.7%-535.6K5.9M-39.4K0.4260.37N/AN/A4,0861,7309,1189,474
2014-10-24$26.63$25.0022.6%7.3%36.3%18.9%28.8%1.1%-1.4%-369.0K771.9K-35.9K0.1658.62N/AN/A3,3885308,9849,656
2014-10-27$26.59$25.0021.4%7.8%36.3%15.5%28.9%3.7%-0.4%-354.8K553.9K-33.8K1.8163.45N/AN/A2424389,0329,796
2014-10-28$27.14$25.0021.7%7.5%37.1%16.4%27.2%7.0%-0.3%-26.7K-3.0M-32.8K0.2272.19N/AN/A5261189,0769,504
2014-10-29$26.99$25.0021.5%7.8%37.0%15.8%27.4%-0.3%0.0%-103.6K-2.0M-32.8K0.3660.27N/AN/A2,7029869,1649,560
2014-10-30$27.12$25.0020.9%7.3%37.0%13.8%26.8%5.2%0.0%-32.3K-2.8M-30.8K0.2063.59N/AN/A2,4945049,1089,472
2014-10-31$27.57$25.0020.3%7.5%37.4%12.2%27.1%2.3%0.3%192.0K-5.2M-29.1K1.4355.64N/AN/A7421,0609,1009,558