OTEX Options History — February 2015

In February 2015, OTEX traded between $27.92 and $30.59. ATM implied volatility averaged 22.9%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 18.4% (HV 20d: 41.2%). Max pain ranged from $27.50 to $30.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 3.14.

Notable Days

  • 2015-02-27: Highest Volume — 5,480 contracts
  • 2015-02-24: Largest IV spike — 16.1% change
  • 2015-02-03: Highest IV Rank — 28.5%
  • 2015-02-03: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.42$27.92$30.59$27.92$29.07
Max Pain$29.61$27.50$30.00$27.50$30.00
ATM IV22.9%20.5%25.8%25.5%22.4%
Expected Move6.5%5.9%7.4%7.3%6.4%
HV 20d41.2%23.7%43.9%43.1%23.7%
HV 60d31.5%30.5%31.9%30.5%31.8%
IV Rank19.7%12.8%28.5%27.6%18.2%
IV Percentile54.5%28.6%79.4%77.4%52.0%
Term Structure3.1%-3.3%6.9%-1.0%1.1%
VWIV23.2%19.4%27.7%26.2%23.1%
Skew 25d3.5%-0.8%9.8%3.7%3.8%
Skew 10d9.8%0.4%21.0%7.6%13.2%
Call IV 25d22.2%17.0%25.3%25.1%21.2%
Put IV 25d25.7%23.9%28.8%28.8%25.0%
Bid-Ask Spread %88.3874.3595.1774.7894.14
Gamma HHI0.540.380.730.730.44
Net GEX-335.3K-1.0M267.6K-1.0M-649.1K
Net DEX1.9M-5.4M8.5M8.0M7.9M
Net VEX-39.4K-56.3K-28.4K-41.5K-53.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.140.3915.915.839.70
Total Volume1,922.7372265,4809565,480
Total OI15,348.6328,92618,29816,01613,008

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$27.92$27.5025.5%7.3%43.1%27.6%26.2%3.7%-1.0%-1.0M8.0M-41.5K5.8374.78N/AN/A1408165,00811,008
2015-02-03$28.45$27.5025.8%7.4%43.3%28.5%25.1%-0.8%-3.3%-815.9K4.9M-40.7K1.1774.35N/AN/A5065924,94811,396
2015-02-04$28.30$27.5025.1%7.2%41.7%26.3%26.8%1.4%0.3%-977.2K6.2M-41.8K1.4283.63N/AN/A3865485,06011,436
2015-02-05$29.43$30.0022.0%6.3%43.6%17.2%23.8%3.3%4.8%-499.8K2.6M-40.7K0.6591.64N/AN/A7024545,10011,562
2015-02-06$28.98$30.0023.2%6.5%43.8%20.7%23.4%0.9%4.2%-594.6K4.2M-42.4K0.7987.98N/AN/A5784544,96011,564
2015-02-09$29.24$30.0023.5%6.7%43.9%21.6%23.4%2.0%3.8%-454.4K3.1M-40.2K1.8683.69N/AN/A2765125,14611,554
2015-02-10$29.56$30.0023.4%6.3%43.5%21.2%21.8%3.2%5.7%-313.8K307.0K-37.1K0.5785.90N/AN/A8324745,16011,478
2015-02-11$29.83$30.0022.3%6.4%43.0%17.9%20.3%2.1%5.8%161.5K-2.7M-29.4K0.8186.48N/AN/A4924004,98411,428
2015-02-12$30.12$30.0022.1%6.3%42.8%17.3%27.7%0.6%6.0%143.5K-3.6M-29.5K0.5287.13N/AN/A6963644,87211,372
2015-02-13$30.59$30.0021.5%6.2%42.9%15.8%21.3%3.2%6.5%154.0K-5.4M-29.3K0.3988.12N/AN/A7743005,02211,362
2015-02-17$30.32$30.0022.5%6.4%42.7%18.5%23.6%1.3%6.2%175.8K-4.7M-28.4K0.7391.30N/AN/A7645585,00011,392
2015-02-18$29.79$30.0022.1%6.3%43.2%17.4%22.1%1.9%5.4%267.6K-2.9M-30.0K3.2191.44N/AN/A7322,3505,22411,432
2015-02-19$29.83$30.0021.7%6.2%43.2%16.3%21.7%9.8%6.4%242.1K-914.6K-38.8K1.0590.63N/AN/A1101165,51412,768
2015-02-20$29.88$30.0021.1%6.0%43.2%14.4%21.1%7.6%6.9%-203.2K-155.4K-37.7K2.3095.17N/AN/A922125,56612,732
2015-02-23$29.71$30.0020.5%5.9%43.2%12.8%19.4%8.1%1.0%-233.0K1.2M-37.3K0.6992.30N/AN/A4403022,9126,014
2015-02-24$29.10$30.0023.8%6.8%43.9%22.6%23.9%2.9%0.1%-248.9K2.6M-38.6K5.6094.58N/AN/A7684,2982,8946,120
2015-02-25$29.33$30.0024.2%6.9%43.7%23.6%24.5%4.9%-1.6%-760.7K8.5M-56.3K6.5091.84N/AN/A6504,2243,21810,054
2015-02-26$29.54$30.0021.9%6.3%25.1%16.9%22.0%5.6%1.4%-749.2K7.1M-55.8K15.9194.19N/AN/A3044,8363,27210,084
2015-02-27$29.07$30.0022.4%6.4%23.7%18.2%23.1%3.8%1.1%-649.1K7.9M-53.8K9.7094.14N/AN/A5124,9683,3189,690