OTEX Options History — January 2015

In January 2015, OTEX traded between $27.05 and $29.80. ATM implied volatility averaged 30.0%, placing in the 40.9% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 4.1% (HV 20d: 25.9%). Max pain ranged from $27.50 to $27.50. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 2.20.

Notable Days

  • 2015-01-27: Highest Volume — 4,278 contracts
  • 2015-01-13: Largest IV spike — 53.8% change
  • 2015-01-27: Highest IV Rank — 73.4%
  • 2015-01-27: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.63$27.05$29.80$29.07$28.30
Max Pain$27.50$27.50$27.50$27.50$27.50
ATM IV30.0%20.3%40.9%22.5%24.8%
Expected Move9.5%6.6%11.7%9.1%7.1%
HV 20d25.9%21.3%42.9%23.8%42.9%
HV 60d26.8%22.0%30.5%27.9%30.5%
IV Rank40.9%12.3%73.4%18.7%25.4%
IV Percentile74.2%24.2%94.8%50.8%72.2%
Term Structure-3.1%-9.7%8.2%8.2%-0.0%
VWIV32.8%23.1%41.8%31.3%23.3%
Skew 25d5.6%1.0%33.2%1.0%4.3%
Skew 10d13.2%2.5%45.9%2.5%11.5%
Call IV 25d31.5%22.0%39.6%22.8%22.0%
Put IV 25d37.2%23.8%59.5%23.8%26.3%
Bid-Ask Spread %69.1647.2581.3961.7881.39
Gamma HHI0.540.410.840.410.67
Net GEX-376.4K-1.1M5.4K-64.3K-795.0K
Net DEX3.6M493.3K12.5M493.3K5.7M
Net VEX-34.6K-41.8K-28.5K-28.5K-41.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.200.438.180.961.23
Total Volume1,221.23524,2781,6941,318
Total OI12,193.38,96215,8608,96215,860

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$29.07$27.5022.5%9.1%23.8%18.7%31.3%1.0%8.2%-64.3K493.3K-28.5K0.9661.78N/AN/A8648303,1765,786
2015-01-05$28.58$27.5021.9%9.2%23.8%17.0%32.5%1.6%-0.4%-106.7K2.1M-29.6K7.9165.05N/AN/A1149023,8126,270
2015-01-06$27.67$27.5025.9%9.2%24.8%28.7%32.6%2.6%-0.7%-353.9K5.3M-32.3K0.4360.63N/AN/A6302723,8927,036
2015-01-07$28.10$27.5028.6%9.3%25.5%36.7%33.5%4.2%-1.7%-297.3K4.4M-33.8K1.4472.70N/AN/A1502164,1167,212
2015-01-08$28.48$27.5025.7%10.2%26.1%28.1%31.5%3.2%-6.2%-211.2K2.8M-34.0K1.1774.33N/AN/A4845644,2327,330
2015-01-09$28.48$27.5020.3%9.4%21.6%12.3%27.6%3.2%-3.4%-289.0K3.1M-33.5K2.0047.25N/AN/A3106204,3767,446
2015-01-12$28.02$27.5022.5%9.7%22.2%18.5%30.9%3.1%-4.3%-380.8K4.5M-33.2K2.7855.78N/AN/A3309164,3827,632
2015-01-13$28.63$27.5034.6%9.8%22.6%54.5%33.6%4.5%-4.9%-288.4K3.6M-35.4K1.0754.83N/AN/A3924184,4208,096
2015-01-14$28.32$27.5034.7%10.0%22.7%54.9%33.4%2.7%-4.2%-401.8K4.5M-35.1K1.1472.95N/AN/A3704204,4488,092
2015-01-15$28.63$27.5036.7%10.5%22.7%60.8%34.3%4.0%-6.6%-342.6K3.3M-34.5K1.0575.54N/AN/A3003144,4228,118
2015-01-16$29.18$27.5034.1%9.8%23.3%53.0%36.6%5.0%-2.9%5.4K1.5M-33.9K1.6674.99N/AN/A2183624,4728,098
2015-01-20$29.31$27.5036.7%10.5%23.3%60.7%37.7%2.6%-5.3%-312.0K1.3M-33.9K8.1870.85N/AN/A443603,1227,992
2015-01-21$29.14$27.5035.6%10.2%22.7%57.6%37.3%3.6%-3.8%-358.7K2.2M-34.4K0.5975.48N/AN/A2221303,1448,204
2015-01-22$29.15$27.5034.9%10.0%22.7%55.6%36.1%3.9%-5.0%-342.0K2.0M-34.4K0.7375.14N/AN/A3842823,2168,264
2015-01-23$29.29$27.5035.0%10.0%21.4%55.6%35.2%2.8%-5.6%-332.4K1.4M-33.3K0.7377.21N/AN/A5784203,2328,274
2015-01-26$29.39$27.5037.2%10.7%21.3%62.3%38.9%2.9%-7.5%-323.6K1.2M-34.0K5.4475.58N/AN/A2821,5343,4008,462
2015-01-27$29.80$27.5040.9%11.7%21.9%73.4%41.8%3.5%-9.7%-327.5K757.0K-37.2K1.5558.88N/AN/A1,6762,6023,5849,392
2015-01-28$27.05$27.5024.5%7.0%40.8%24.6%25.2%33.2%-0.6%-947.5K12.5M-37.3K1.9173.24N/AN/A8841,6924,63010,562
2015-01-29$27.95$27.5022.9%6.6%42.7%19.7%23.1%21.2%2.6%-1.1M8.3M-41.0K2.0079.67N/AN/A6741,3464,72610,938
2015-01-30$28.30$27.5024.8%7.1%42.9%25.4%23.3%4.3%-0.0%-795.0K5.7M-41.8K1.2381.39N/AN/A5907285,00410,856