OTEX Options History — November 2014

In November 2014, OTEX traded between $27.84 and $29.91. ATM implied volatility averaged 20.4%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 8.6% (HV 20d: 29.1%). Max pain ranged from $25.00 to $27.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.42.

Notable Days

  • 2014-11-21: Highest Volume — 5,214 contracts
  • 2014-11-05: Largest IV drop — 18.3% change
  • 2014-11-24: Highest IV Rank — 18.2%
  • 2014-11-21: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.05$27.84$29.91$27.84$29.56
Max Pain$27.37$25.00$27.50$25.00$27.50
ATM IV20.4%18.0%22.4%21.6%19.9%
Expected Move7.9%7.6%8.2%7.7%8.2%
HV 20d29.1%16.9%37.6%37.3%17.2%
HV 60d24.8%24.4%25.1%25.1%24.8%
IV Rank12.5%5.2%18.2%16.1%10.8%
IV Percentile22.2%4.8%43.3%28.2%18.3%
Term Structure4.3%-1.7%7.9%-0.7%-0.3%
VWIV27.4%21.4%29.2%26.7%28.8%
Skew 25d2.5%-0.3%5.8%3.4%5.5%
Skew 10d9.9%-2.7%46.3%7.0%9.1%
Call IV 25d20.3%16.9%22.7%22.5%17.9%
Put IV 25d22.8%21.0%25.9%25.9%23.4%
Bid-Ask Spread %59.7852.8866.1956.9965.13
Gamma HHI0.600.370.800.370.72
Net GEX609.5K260.8K1.2M260.8K452.6K
Net DEX-9.6M-17.4M-3.1M-6.2M-5.9M
Net VEX-27.1K-32.3K-21.8K-31.0K-23.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.001.210.591.21
Total Volume1,855.0531285,2142,052128
Total OI16,983.6847,26420,55219,2987,856

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$27.84$25.0021.6%7.7%37.3%16.1%26.7%3.4%-0.7%260.8K-6.2M-31.0K0.5956.99N/AN/A1,2947589,13410,164
2014-11-04$28.21$27.5022.1%7.7%37.6%17.4%26.5%3.9%-0.3%383.0K-8.1M-32.1K0.4356.49N/AN/A1,1324869,19810,384
2014-11-05$28.62$27.5018.1%7.9%37.3%5.5%27.1%1.2%7.9%578.0K-10.2M-32.2K0.5360.06N/AN/A1,3567149,63410,568
2014-11-06$28.82$27.5018.0%7.6%37.2%5.2%27.1%1.9%-1.7%639.1K-10.9M-32.3K0.6152.88N/AN/A7524629,71410,558
2014-11-07$28.98$27.5018.1%7.6%34.1%5.6%27.6%3.4%5.9%631.7K-12.6M-31.8K0.2357.66N/AN/A1,8844429,29610,464
2014-11-10$29.36$27.5021.2%7.8%32.9%14.9%27.7%2.5%6.5%827.6K-13.5M-30.5K0.5455.68N/AN/A8324489,74610,462
2014-11-11$29.42$27.5021.5%7.7%32.9%15.7%28.0%1.2%6.3%792.4K-15.5M-25.9K0.6755.59N/AN/A7625089,81010,400
2014-11-12$29.10$27.5020.9%7.8%33.3%13.9%27.8%1.8%6.7%697.5K-12.5M-30.0K0.3855.06N/AN/A9363609,74010,446
2014-11-13$29.21$27.5020.6%7.8%33.1%12.9%28.2%1.9%7.1%842.5K-12.9M-29.1K0.1355.17N/AN/A2,12826610,01210,498
2014-11-14$29.55$27.5020.5%7.8%32.5%12.8%27.9%5.8%6.8%969.8K-16.1M-27.5K0.0063.48N/AN/A604210,04610,506
2014-11-17$29.77$27.5020.8%7.8%32.3%13.6%26.4%2.8%6.7%1.1M-16.6M-26.2K0.1357.47N/AN/A1,3121749,93010,506
2014-11-18$29.91$27.5020.8%7.8%31.8%13.5%27.4%1.9%6.5%1.2M-17.4M-23.9K0.0561.85N/AN/A4,9162549,69010,506
2014-11-19$29.11$27.5021.4%8.0%31.5%15.3%28.3%-0.3%6.4%529.5K-4.8M-24.5K0.4065.43N/AN/A190766,65810,490
2014-11-20$28.89$27.5020.5%7.9%21.6%12.6%29.2%1.2%7.7%380.6K-4.0M-24.2K0.0866.19N/AN/A4,4783466,56610,296
2014-11-21$28.75$27.5022.4%8.2%17.6%18.2%21.4%2.0%6.6%321.8K-3.1M-21.8K0.1360.05N/AN/A4,6245906,57210,346
2014-11-24$28.59$27.5022.4%8.2%17.8%18.2%28.0%0.9%1.1%287.2K-3.1M-21.9K0.8564.45N/AN/A2842404,2762,988
2014-11-25$28.89$27.5018.4%8.1%16.9%6.5%28.3%1.8%0.6%325.9K-3.5M-23.4K0.7560.98N/AN/A6805104,4543,178
2014-11-26$29.36$27.5019.2%7.8%17.2%8.9%27.6%4.3%1.1%393.6K-4.7M-23.7K0.2665.26N/AN/A252664,4423,156
2014-11-28$29.56$27.5019.9%8.2%17.2%10.8%28.8%5.5%-0.3%452.6K-5.9M-23.0K1.2165.13N/AN/A58704,6403,216