OTEX Options History — December 2014

In December 2014, OTEX traded between $28.02 and $29.76. ATM implied volatility averaged 20.8%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 4.1% (HV 20d: 24.9%). Max pain ranged from $27.50 to $27.50. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.14.

Notable Days

  • 2014-12-10: Highest Volume — 1,966 contracts
  • 2014-12-22: Largest IV drop — 24.8% change
  • 2014-12-17: Highest IV Rank — 25.7%
  • 2014-12-18: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.02$28.02$29.76$29.52$29.13
Max Pain$27.50$27.50$27.50$27.50$27.50
ATM IV20.8%16.7%24.9%20.4%20.5%
Expected Move8.6%8.1%9.1%8.4%8.9%
HV 20d24.9%16.7%27.4%16.7%25.9%
HV 60d27.2%24.9%28.0%24.9%28.0%
IV Rank13.7%1.3%25.7%12.5%12.8%
IV Percentile32.4%0.8%73.8%22.2%27.4%
Term Structure7.0%-0.6%10.2%-0.6%10.2%
VWIV28.0%22.8%31.8%27.7%31.8%
Skew 25d2.7%-0.9%6.4%6.4%2.7%
Skew 10d6.0%-2.4%23.0%23.0%4.1%
Call IV 25d21.5%18.7%24.2%18.7%20.5%
Put IV 25d24.2%21.6%26.3%25.1%23.2%
Bid-Ask Spread %65.3557.2570.7466.1860.05
Gamma HHI0.510.340.810.710.41
Net GEX152.1K-69.7K548.8K443.5K-24.1K
Net DEX-1.8M-6.6M857.5K-5.2M384.0K
Net VEX-27.6K-30.8K-21.9K-24.4K-28.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.063.300.613.30
Total Volume977.7271061,9661,044318
Total OI9,421.3647,94211,6107,9468,782

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$29.52$27.5020.4%8.4%16.7%12.5%27.7%6.4%-0.6%443.5K-5.2M-24.4K0.6166.18N/AN/A6483964,6803,266
2014-12-02$28.84$27.5016.7%8.4%19.0%1.3%22.8%4.1%1.4%399.5K-4.1M-21.9K0.6460.22N/AN/A6784324,6763,292
2014-12-03$29.65$27.5020.4%8.3%20.7%12.3%31.2%5.0%0.6%461.0K-6.0M-22.2K0.5862.20N/AN/A8304784,6443,298
2014-12-04$29.14$27.5017.2%8.3%21.3%2.8%30.4%1.5%0.3%415.4K-4.8M-22.7K0.0666.48N/AN/A12684,7983,398
2014-12-05$29.76$27.5019.2%8.2%22.4%8.8%31.0%2.8%8.7%548.8K-6.6M-22.9K1.0764.35N/AN/A5946384,9103,398
2014-12-08$29.44$27.5020.6%8.3%22.8%13.0%29.2%2.8%8.5%508.0K-5.5M-22.9K2.7161.83N/AN/A5261,4244,9643,682
2014-12-09$29.54$27.5021.0%8.1%22.4%14.1%28.9%2.6%8.0%450.0K-5.0M-25.8K1.2565.17N/AN/A5226544,9784,668
2014-12-10$28.36$27.5020.5%8.5%26.7%12.7%28.3%2.3%6.5%109.9K-684.8K-26.8K1.2267.37N/AN/A8841,0824,9244,912
2014-12-11$28.57$27.5022.3%8.5%26.7%18.0%24.7%0.9%7.9%179.4K-1.1M-30.7K0.8464.88N/AN/A5884945,2105,538
2014-12-12$28.05$27.5022.5%8.5%27.3%18.7%27.6%1.3%8.5%-15.3K637.2K-29.8K1.4467.19N/AN/A5948585,2245,554
2014-12-15$28.31$27.5023.3%8.8%27.2%21.0%27.3%1.7%7.6%-34.9K407.5K-30.0K1.1257.25N/AN/A6447245,2405,964
2014-12-16$28.02$27.5023.7%8.9%27.1%22.2%27.9%1.9%8.2%-36.8K857.5K-30.4K1.3165.51N/AN/A5967785,3106,104
2014-12-17$28.34$27.5024.9%8.7%27.4%25.7%28.6%4.1%5.6%-37.6K653.2K-30.6K0.8268.60N/AN/A6044985,3306,172
2014-12-18$28.48$27.5024.4%9.1%26.0%24.2%24.5%3.5%9.0%-14.6K-66.4K-30.8K0.7270.74N/AN/A5604025,3166,236
2014-12-19$28.96$27.5022.6%8.6%26.6%18.9%30.5%4.0%7.0%198.0K-1.9M-30.5K0.9270.58N/AN/A1921765,3766,234
2014-12-22$29.01$27.5017.0%8.4%26.5%2.3%28.6%4.2%8.8%-69.7K562.8K-29.9K1.4567.09N/AN/A3084462,8465,416
2014-12-23$29.62$27.5020.4%8.7%27.4%12.4%31.5%3.0%9.7%-38.3K-430.0K-29.5K1.3062.99N/AN/A3244202,8645,518
2014-12-24$29.41$27.5020.3%8.8%27.3%12.1%23.5%-0.9%9.8%-21.9K-585.0K-29.7K1.2265.66N/AN/A3023682,9745,582
2014-12-26$29.48$27.5020.6%8.7%26.8%13.1%24.3%1.1%8.7%-33.3K-670.6K-29.1K1.1065.93N/AN/A3083402,9785,608
2014-12-29$29.25$27.5018.2%9.1%26.8%5.8%24.8%1.8%10.0%-27.6K-183.3K-29.3K1.2670.12N/AN/A2843583,0645,612
2014-12-30$29.46$27.5021.6%8.9%26.9%16.0%31.6%3.7%9.2%-12.5K-360.5K-28.9K0.1367.29N/AN/A94123,0885,642
2014-12-31$29.13$27.5020.5%8.9%25.9%12.8%31.8%2.7%10.2%-24.1K384.0K-28.8K3.3060.05N/AN/A742443,1345,648