OTEX Options History — March 2015

In March 2015, OTEX traded between $26.39 and $29.25. ATM implied volatility averaged 22.9%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 3.0% (HV 20d: 25.8%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.32.

Notable Days

  • 2015-03-06: Highest Volume — 1,472 contracts
  • 2015-03-04: Largest IV spike — 25.4% change
  • 2015-03-10: Highest IV Rank — 32.2%
  • 2015-03-10: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.80$26.39$29.25$29.25$26.39
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV22.9%17.5%27.1%21.4%17.5%
Expected Move6.6%5.0%7.2%6.1%5.0%
HV 20d25.8%17.7%29.1%23.4%28.4%
HV 60d31.7%30.5%32.4%31.4%32.4%
IV Rank19.7%3.7%32.2%15.5%3.7%
IV Percentile57.6%4.4%82.9%38.1%4.4%
Term Structure5.5%1.5%8.9%1.5%7.1%
VWIV23.3%19.5%25.9%22.2%19.5%
Skew 25d2.2%-1.1%5.4%4.7%1.2%
Skew 10d3.4%-5.7%11.8%8.6%-4.6%
Call IV 25d23.0%19.5%25.6%20.8%21.6%
Put IV 25d25.2%20.9%28.7%25.5%22.8%
Bid-Ask Spread %85.4550.4798.6489.7991.63
Gamma HHI0.550.440.840.450.80
Net GEX-715.9K-847.3K-637.9K-706.2K-637.9K
Net DEX15.2M7.8M23.1M7.8M23.1M
Net VEX-47.6K-53.3K-41.6K-52.3K-41.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.320.099.350.272.91
Total Volume780.8181521,4727761,274
Total OI15,534.36413,22217,40813,22217,408

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$29.25$30.0021.4%6.1%23.4%15.5%22.2%4.7%1.5%-706.2K7.8M-52.3K0.2789.79N/AN/A6101663,4109,812
2015-03-03$29.05$30.0017.9%5.1%23.0%5.0%21.0%1.8%2.5%-670.3K8.3M-52.7K1.1196.20N/AN/A6667403,5329,822
2015-03-04$28.93$30.0022.5%6.4%22.1%18.6%23.0%2.5%2.3%-681.2K9.3M-53.3K1.4296.11N/AN/A5387643,75610,196
2015-03-05$28.79$30.0019.7%6.6%22.1%10.4%24.0%3.1%5.1%-702.9K9.7M-52.6K1.9188.79N/AN/A3987603,83610,232
2015-03-06$28.35$30.0024.3%7.0%17.7%23.9%24.6%2.1%5.5%-692.4K12.1M-49.6K2.5985.19N/AN/A4101,0623,83810,284
2015-03-09$28.75$30.0021.7%6.7%17.7%16.4%23.9%-0.1%7.4%-728.9K11.4M-51.4K6.4289.68N/AN/A241543,86210,630
2015-03-10$27.25$30.0027.1%7.2%25.5%32.2%25.3%1.3%4.9%-645.1K16.6M-43.7K3.2886.55N/AN/A2568403,85810,758
2015-03-11$26.84$30.0024.3%7.0%25.2%23.9%24.3%0.7%5.7%-651.6K18.6M-44.1K0.4091.95N/AN/A4781904,01411,414
2015-03-12$27.67$30.0023.9%6.9%27.8%22.9%23.9%5.2%5.8%-757.2K16.0M-48.7K1.9690.45N/AN/A3927684,25611,540
2015-03-13$27.33$30.0024.1%6.9%27.5%23.3%24.1%2.8%5.5%-683.5K17.1M-47.5K0.3967.33N/AN/A2641044,45211,608
2015-03-16$27.57$30.0024.2%6.9%26.9%23.6%23.6%4.1%5.2%-748.2K16.2M-47.1K0.6883.08N/AN/A1981344,61211,676
2015-03-17$27.82$30.0023.8%6.8%27.4%22.4%23.8%3.8%6.2%-816.3K15.3M-47.9K1.6784.81N/AN/A1562604,61611,704
2015-03-18$28.18$30.0024.9%7.1%27.5%25.8%25.9%3.9%4.9%-804.6K13.1M-50.1K0.0991.94N/AN/A232224,66211,822
2015-03-19$27.93$30.0023.7%6.8%27.6%22.3%23.7%3.4%5.6%-847.3K14.6M-47.1K0.6290.01N/AN/A94584,58411,824
2015-03-20$28.29$30.0023.4%6.7%28.1%21.4%22.7%0.7%5.3%-754.5K13.2M-46.8K9.3594.43N/AN/A686364,56811,828
2015-03-23$28.23$30.0022.9%6.6%28.1%19.9%22.7%0.5%8.9%-763.8K13.1M-47.2K4.1598.64N/AN/A1305403,60211,270
2015-03-24$27.96$30.0022.0%6.3%27.4%17.3%22.0%-0.4%8.3%-742.6K14.6M-47.2K6.4694.01N/AN/A1449303,63811,694
2015-03-25$27.10$30.0022.9%6.6%29.1%19.7%22.9%5.4%5.7%-700.1K19.3M-46.2K2.6251.09N/AN/A1523983,73412,576
2015-03-26$26.91$30.0023.8%6.8%28.8%22.3%22.9%0.3%5.2%-705.5K20.6M-45.7K0.7350.47N/AN/A3482543,78812,966
2015-03-27$26.55$30.0023.6%6.8%28.7%21.9%23.6%-1.1%5.9%-659.0K22.0M-42.9K1.3081.59N/AN/A2082703,79413,076
2015-03-30$26.51$30.0023.1%6.6%28.4%20.5%23.8%1.8%5.9%-650.5K22.9M-41.6K0.6486.17N/AN/A6644243,91213,292
2015-03-31$26.39$30.0017.5%5.0%28.4%3.7%19.5%1.2%7.1%-637.9K23.1M-41.8K2.9191.63N/AN/A3269483,93613,472