OTEX Options History — April 2015

In April 2015, OTEX traded between $25.28 and $29.15. ATM implied volatility averaged 32.4%, placing in the 47.9% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 7.3% (HV 20d: 25.1%). Max pain ranged from $27.50 to $30.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 9.37.

Notable Days

  • 2015-04-29: Highest Volume — 3,328 contracts
  • 2015-04-08: Largest IV spike — 42.0% change
  • 2015-04-27: Highest IV Rank — 76.6%
  • 2015-04-27: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.82$25.28$29.15$26.98$25.28
Max Pain$27.62$27.50$30.00$30.00$27.50
ATM IV32.4%22.2%42.0%24.0%24.3%
Expected Move9.6%6.9%12.1%6.9%7.0%
HV 20d25.1%20.3%32.5%30.0%32.4%
HV 60d30.7%25.1%32.6%32.6%28.2%
IV Rank47.9%17.7%76.6%23.0%24.0%
IV Percentile81.6%50.4%96.8%71.4%73.4%
Term Structure-4.7%-12.1%6.0%6.0%-0.9%
VWIV33.4%20.1%42.5%24.3%24.4%
Skew 25d3.4%-2.4%5.2%4.9%-2.4%
Skew 10d9.4%-3.9%34.8%24.5%-3.9%
Call IV 25d32.3%24.2%40.7%24.2%25.8%
Put IV 25d35.8%23.4%45.0%29.0%23.4%
Bid-Ask Spread %61.6538.2993.5793.5738.29
Gamma HHI0.620.390.760.760.39
Net GEX-710.6K-1.2M-359.8K-675.5K-359.8K
Net DEX14.2M3.5M26.9M21.8M26.9M
Net VEX-45.8K-55.3K-23.4K-47.4K-23.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.370.45161.670.791.06
Total Volume1,316.194283,3281,0721,626
Total OI17,59414,07219,07417,91617,790

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$26.98$30.0024.0%6.9%30.0%23.0%24.3%4.9%6.0%-675.5K21.8M-47.4K0.7993.57N/AN/A5984743,97213,944
2015-04-02$26.79$27.5022.2%8.5%30.0%17.7%32.9%4.3%-0.9%-615.0K22.0M-47.0K1.0573.95N/AN/A3503684,17013,992
2015-04-06$26.86$27.5023.3%8.7%29.7%21.1%31.1%3.3%-2.1%-665.5K22.5M-44.8K1.5153.42N/AN/A3104684,19214,110
2015-04-07$27.67$27.5022.4%9.5%31.4%18.4%31.3%5.1%-4.1%-672.8K18.1M-47.9K0.5446.86N/AN/A1,0445684,21614,210
2015-04-08$27.68$27.5031.8%9.1%24.8%46.4%32.9%4.7%-2.9%-658.2K18.6M-48.9K161.6759.92N/AN/A69704,77014,304
2015-04-09$27.75$27.5032.7%9.4%24.0%48.8%31.6%5.1%-4.0%-599.0K16.8M-49.4K0.4558.92N/AN/A9164124,77014,000
2015-04-10$28.00$27.5032.2%9.2%21.7%47.3%32.7%4.1%-3.4%-673.7K15.3M-48.4K2.0458.86N/AN/A3006124,80013,920
2015-04-13$28.21$27.5033.2%9.5%21.3%50.4%33.4%3.5%-4.6%-564.8K14.3M-46.5K1.1554.36N/AN/A4084684,84214,020
2015-04-14$28.24$27.5033.7%9.6%21.1%51.7%33.5%3.6%-4.0%-570.2K14.3M-46.1K0.8457.86N/AN/A4583864,74414,166
2015-04-15$29.06$27.5034.7%9.9%23.1%54.8%34.1%3.0%-5.1%-1.2M10.6M-45.3K0.7751.63N/AN/A9607404,75814,230
2015-04-16$29.15$27.5033.9%9.7%22.8%52.6%35.5%4.2%-5.4%-1.1M9.0M-45.1K1.7851.52N/AN/A4387804,91013,902
2015-04-17$28.63$27.5035.8%10.3%23.6%58.2%35.2%3.1%-4.9%-532.5K11.9M-44.7K2.0057.12N/AN/A4769504,89013,866
2015-04-20$28.41$27.5036.2%10.4%23.3%59.4%36.1%1.4%-5.9%-608.9K4.4M-42.6K1.1643.35N/AN/A1982303,87810,194
2015-04-21$28.79$27.5035.4%10.2%23.7%57.0%35.8%5.2%-7.4%-555.1K3.5M-42.7K0.5853.85N/AN/A3181863,90810,298
2015-04-22$28.57$27.5037.7%10.8%23.6%63.6%36.6%3.4%-7.9%-592.2K3.8M-43.0K8.3265.66N/AN/A2602,1623,99210,330
2015-04-23$28.70$27.5038.2%11.0%20.3%65.3%37.0%4.1%-8.1%-717.0K7.0M-53.9K3.7667.65N/AN/A5922,2283,99212,380
2015-04-24$27.91$27.5039.1%11.2%22.8%67.8%39.0%2.2%-8.2%-807.0K9.8M-55.3K2.8479.02N/AN/A3229164,37812,492
2015-04-27$27.98$27.5042.0%12.1%22.1%76.6%41.7%3.4%-12.1%-863.3K10.6M-54.0K0.9874.71N/AN/A3943884,38212,852
2015-04-28$27.62$27.5041.5%11.9%22.7%75.0%42.5%4.3%-10.2%-898.5K12.1M-52.4K0.8577.83N/AN/A5584744,41012,976
2015-04-29$25.92$27.5025.4%7.3%32.5%27.2%20.1%1.4%-2.0%-1.0M24.1M-32.3K2.6976.22N/AN/A9022,4264,48613,038
2015-04-30$25.28$27.5024.3%7.0%32.4%24.0%24.4%-2.4%-0.9%-359.8K26.9M-23.4K1.0638.29N/AN/A7908364,71813,072