OTEX Options History — May 2015

In May 2015, OTEX traded between $21.20 and $25.30. ATM implied volatility averaged 23.1%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 13.4% (HV 20d: 36.5%). Max pain ranged from $25.00 to $27.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 3.40.

Notable Days

  • 2015-05-21: Highest Volume — 5,830 contracts
  • 2015-05-21: Largest IV spike — 41.1% change
  • 2015-05-12: Highest IV Rank — 35.7%
  • 2015-05-21: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.55$21.20$25.30$25.20$21.27
Max Pain$26.25$25.00$27.50$27.50$25.00
ATM IV23.1%19.1%28.2%23.5%24.0%
Expected Move6.4%5.5%8.0%6.8%6.9%
HV 20d36.5%25.6%56.3%32.4%52.9%
HV 60d30.4%26.0%39.4%28.2%39.3%
IV Rank20.4%8.4%35.7%21.8%23.1%
IV Percentile53.5%15.5%81.0%67.1%68.7%
Term Structure2.5%-1.0%6.1%-0.8%-0.2%
VWIV22.2%19.3%27.0%23.4%25.3%
Skew 25d3.2%-1.0%5.0%3.3%3.8%
Skew 10d3.4%-10.4%12.7%4.7%4.5%
Call IV 25d21.8%18.2%26.5%19.8%25.1%
Put IV 25d25.0%21.8%28.9%23.1%28.9%
Bid-Ask Spread %60.0218.7796.8755.7326.96
Gamma HHI0.410.240.620.440.27
Net GEX-280.6K-403.6K-124.7K-373.7K-183.9K
Net DEX21.2M11.4M27.9M27.2M14.8M
Net VEX-33.1K-45.2K-20.4K-23.9K-45.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.400.6725.430.901.58
Total Volume2,345.74805,8301,4682,170
Total OI17,776.712,22620,84418,17219,726

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$25.20$27.5023.5%6.8%32.4%21.8%23.4%3.3%-0.8%-373.7K27.2M-23.9K0.9055.73N/AN/A7746944,88013,292
2015-05-04$25.30$27.5024.5%6.4%32.4%24.7%20.8%4.2%5.0%-376.5K26.6M-25.3K25.4351.99N/AN/A922,3404,89413,270
2015-05-05$25.00$27.5024.2%6.4%30.2%23.6%20.1%2.2%5.0%-372.8K27.9M-26.5K1.2549.55N/AN/A7309144,94013,898
2015-05-06$24.87$27.5023.8%6.3%30.1%22.4%20.6%1.8%5.1%-364.1K25.6M-25.1K2.3051.37N/AN/A7501,7244,94412,882
2015-05-07$24.63$27.5022.4%6.4%30.0%18.4%21.3%3.1%5.4%-393.5K26.0M-26.0K0.8052.64N/AN/A8026444,96013,144
2015-05-08$24.62$27.5022.9%6.2%29.6%19.7%21.9%0.9%5.0%-403.6K26.1M-26.9K7.2837.64N/AN/A584225,07013,218
2015-05-11$24.29$27.5023.5%6.0%29.2%21.7%21.2%5.0%5.5%-355.8K26.4M-26.1K4.3487.01N/AN/A2401,0425,12013,288
2015-05-12$24.14$25.0028.2%6.3%29.0%35.7%21.9%4.5%3.8%-344.5K26.5M-26.2K0.8755.24N/AN/A1,4721,2845,35213,472
2015-05-13$23.99$25.0020.4%5.8%25.7%12.4%20.6%4.5%5.8%-271.2K27.1M-30.9K0.6768.79N/AN/A1,4289565,95214,060
2015-05-14$24.07$25.0020.0%5.7%25.7%11.1%20.7%4.8%6.1%-264.5K26.7M-35.0K1.0361.26N/AN/A1,0001,0286,41014,240
2015-05-15$24.40$25.0019.9%5.7%26.7%10.9%19.4%3.3%5.2%-239.7K26.1M-37.8K2.9479.38N/AN/A7962,3446,62814,216
2015-05-18$24.20$27.5019.6%5.6%26.7%10.0%20.3%1.9%-0.2%-274.9K12.2M-39.1K2.1495.25N/AN/A2024323,7848,442
2015-05-19$24.09$27.5019.1%5.5%25.6%8.4%19.3%4.2%0.5%-294.5K12.5M-39.9K3.1219.75N/AN/A3721,1603,8888,828
2015-05-20$24.52$27.5019.7%5.6%27.2%10.3%22.1%4.0%-0.4%-280.4K11.4M-45.1K3.0147.66N/AN/A5361,6144,2308,896
2015-05-21$21.20$25.0027.8%8.0%55.6%34.3%25.5%3.4%1.1%-144.1K16.2M-20.4K1.1981.11N/AN/A2,6683,1624,3309,034
2015-05-22$21.48$25.0024.2%6.9%56.3%23.8%25.0%3.0%-0.8%-124.7K15.5M-33.2K4.5885.68N/AN/A9384,2926,11410,404
2015-05-26$21.36$25.0019.9%5.7%56.1%10.8%27.0%3.5%-1.0%-178.5K16.9M-41.3K1.3618.77N/AN/A1,3081,7766,29413,228
2015-05-27$21.20$25.0027.2%7.8%56.1%32.5%24.9%3.3%0.8%-174.8K16.9M-43.7K1.8477.80N/AN/A8461,5566,63813,622
2015-05-28$21.23$25.0027.4%7.8%53.0%33.1%23.7%-1.0%-0.3%-196.2K15.9M-43.7K1.4196.87N/AN/A9741,3746,64813,298
2015-05-29$21.27$25.0024.0%6.9%52.9%23.1%25.3%3.8%-0.2%-183.9K14.8M-45.2K1.5826.96N/AN/A8401,3306,80812,918