OTEX Options History — June 2015

In June 2015, OTEX traded between $20.07 and $21.36. ATM implied volatility averaged 24.8%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 12.2% (HV 20d: 37.0%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.17.

Notable Days

  • 2015-06-29: Highest Volume — 3,938 contracts
  • 2015-06-10: Largest IV drop — 47.4% change
  • 2015-06-09: Highest IV Rank — 60.0%
  • 2015-06-03: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.02$20.07$21.36$21.09$20.27
Max Pain$22.84$22.50$25.00$25.00$22.50
ATM IV24.8%18.7%36.4%26.8%24.4%
Expected Move6.8%5.4%8.7%7.7%7.0%
HV 20d37.0%7.8%53.5%52.8%10.5%
HV 60d37.0%35.9%39.3%39.3%36.0%
IV Rank25.4%7.3%60.0%31.5%24.2%
IV Percentile61.6%11.1%88.1%79.0%69.8%
Term Structure6.2%-4.9%14.6%2.5%6.4%
VWIV24.1%21.1%28.3%23.2%24.3%
Skew 25d2.8%-1.8%7.6%7.6%4.7%
Skew 10d7.3%-1.3%17.8%6.7%6.7%
Call IV 25d23.1%17.1%26.6%23.2%19.8%
Put IV 25d26.0%22.6%30.9%30.9%24.5%
Bid-Ask Spread %43.3616.3581.9916.3538.87
Gamma HHI0.320.230.620.270.62
Net GEX-126.1K-458.6K38.4K-186.9K-458.6K
Net DEX14.0M12.0M14.9M14.8M14.2M
Net VEX-41.4K-44.7K-35.2K-44.7K-42.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.232.591.861.57
Total Volume2,960.6362,1483,9382,1482,566
Total OI20,869.09119,37422,25019,77222,250

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$21.09$25.0026.8%7.7%52.8%31.5%23.2%7.6%2.5%-186.9K14.8M-44.7K1.8616.35N/AN/A7501,3986,82012,952
2015-06-02$21.16$25.0026.0%7.5%52.8%29.0%24.6%6.9%7.8%-180.0K14.8M-44.2K0.2341.90N/AN/A2,4245546,83412,938
2015-06-03$21.23$25.0030.3%8.7%53.0%41.8%28.3%0.1%-4.9%-116.5K14.4M-43.5K1.2527.06N/AN/A1,4101,7607,35212,812
2015-06-04$21.06$22.5028.3%7.5%53.0%36.0%26.6%3.4%5.4%-129.4K14.5M-43.4K0.9845.21N/AN/A1,3561,3307,39812,786
2015-06-05$21.20$22.5030.1%6.2%53.2%41.1%24.9%4.4%14.6%-126.1K14.3M-42.8K0.9681.99N/AN/A1,3361,2827,41812,834
2015-06-08$21.25$22.5026.9%7.6%53.3%31.6%24.5%2.2%4.5%-113.0K14.2M-42.6K0.8631.23N/AN/A1,4681,2627,41612,870
2015-06-09$21.23$22.5036.4%7.6%53.3%60.0%21.1%3.6%6.3%-97.8K14.4M-41.6K1.0434.86N/AN/A1,3361,3907,55412,874
2015-06-10$21.30$22.5019.2%5.5%53.4%8.7%22.7%2.3%6.1%-89.3K14.5M-41.2K0.6941.06N/AN/A1,9781,3607,59812,932
2015-06-11$21.34$22.5022.6%6.5%53.5%18.9%23.5%2.5%5.9%-23.5K14.2M-41.9K0.6461.84N/AN/A2,0781,3308,22212,926
2015-06-12$21.36$22.5024.0%6.9%53.4%23.1%23.9%2.1%6.4%21.1K13.7M-44.3K0.6252.28N/AN/A2,0581,2828,86812,922
2015-06-15$21.35$22.5022.6%6.5%53.0%18.9%25.5%-0.5%3.7%12.2K13.9M-42.1K0.6867.71N/AN/A1,9201,3048,86812,922
2015-06-16$21.36$22.5023.1%6.6%53.0%20.4%22.9%2.5%5.3%21.7K13.5M-42.6K0.8943.90N/AN/A1,3721,2189,07012,966
2015-06-17$21.31$22.5021.7%6.2%53.1%16.2%23.0%5.0%6.5%34.5K13.9M-41.4K1.0345.46N/AN/A1,2281,2609,11012,970
2015-06-18$21.29$22.5018.7%5.4%52.4%7.3%24.1%3.2%7.8%38.4K14.2M-39.9K0.9666.03N/AN/A1,3421,2929,06213,008
2015-06-19$20.98$22.5023.6%6.8%9.7%22.0%24.3%5.5%10.1%6.5K14.4M-39.0K1.5733.46N/AN/A1,2341,9389,14612,930
2015-06-22$20.95$22.5024.1%6.9%8.2%23.4%24.5%3.1%9.3%-82.1K13.9M-35.2K2.5935.08N/AN/A9042,3387,33012,044
2015-06-23$20.90$22.5023.5%6.7%8.1%21.6%23.3%0.4%6.7%-184.0K14.9M-36.8K1.5433.32N/AN/A1,0021,5447,42213,088
2015-06-24$20.80$22.5022.7%6.5%7.8%19.2%25.2%-1.8%6.7%-152.9K12.0M-39.6K1.6534.34N/AN/A1,0741,7707,50612,106
2015-06-25$20.57$22.5023.5%6.7%8.6%21.5%23.5%-1.6%5.5%-288.4K12.6M-38.9K1.4636.45N/AN/A1,4422,1107,76412,312
2015-06-26$20.38$22.5022.4%6.4%8.9%18.3%21.6%5.9%7.0%-294.2K12.7M-41.7K1.1443.98N/AN/A1,4921,7048,31212,958
2015-06-29$20.07$22.5024.6%7.0%9.8%24.7%24.5%0.9%6.1%-386.6K14.0M-41.0K1.5241.44N/AN/A1,5622,3768,34613,304
2015-06-30$20.27$22.5024.4%7.0%10.5%24.2%24.3%4.7%6.4%-458.6K14.2M-42.3K1.5738.87N/AN/A9981,5688,39013,860