OTEX Options History — July 2015

In July 2015, OTEX traded between $18.45 and $22.92. ATM implied volatility averaged 30.5%, placing in the 42.6% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 11.7% (HV 20d: 18.8%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 1.54.

Notable Days

  • 2015-07-30: Highest Volume — 8,172 contracts
  • 2015-07-30: Largest IV drop — 38.0% change
  • 2015-07-24: Highest IV Rank — 79.3%
  • 2015-07-24: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.67$18.45$22.92$20.28$22.76
Max Pain$24.32$22.50$25.00$22.50$22.50
ATM IV30.5%23.4%43.0%24.7%23.8%
Expected Move9.4%6.7%12.3%7.1%6.8%
HV 20d18.8%10.3%73.4%10.4%73.4%
HV 60d35.9%31.8%52.5%35.3%52.5%
IV Rank42.6%21.2%79.3%25.0%27.3%
IV Percentile79.1%56.3%97.6%71.0%61.5%
Term Structure-2.9%-13.0%7.2%6.1%-0.9%
VWIV32.9%23.5%41.0%25.0%23.9%
Skew 25d3.9%0.3%11.1%11.1%8.6%
Skew 10d5.4%-10.7%21.1%21.1%17.2%
Call IV 25d32.1%21.0%39.9%21.2%25.7%
Put IV 25d36.0%25.0%42.9%32.3%34.4%
Bid-Ask Spread %63.4522.9978.1346.8025.44
Gamma HHI0.550.230.700.630.30
Net GEX-397.7K-604.0K-50.2K-486.3K-50.2K
Net DEX14.7M732.3K18.2M13.9M732.3K
Net VEX-37.8K-43.9K-34.1K-43.9K-42.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.540.753.511.651.34
Total Volume2,691.4551,8188,1722,5483,004
Total OI21,831.81819,43823,83822,54622,614

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$20.28$22.5024.7%7.1%10.4%25.0%25.0%11.1%6.1%-486.3K13.9M-43.9K1.6546.80N/AN/A9621,5868,47214,074
2015-07-02$20.30$22.5023.4%6.7%10.3%21.2%23.5%4.1%7.2%-511.1K14.0M-42.0K1.8155.99N/AN/A9521,7248,48814,096
2015-07-06$19.78$25.0025.5%9.0%12.9%27.4%31.8%4.0%-0.7%-511.4K15.4M-39.1K1.4358.99N/AN/A9981,4248,48813,904
2015-07-07$19.86$25.0025.8%9.3%13.0%28.4%32.7%5.7%-1.1%-523.2K15.2M-39.6K1.5461.63N/AN/A1,0541,6228,55014,016
2015-07-08$19.57$25.0025.5%9.5%13.5%27.5%34.2%4.3%-2.0%-509.3K16.0M-38.8K1.3471.02N/AN/A1,0041,3488,56814,198
2015-07-09$19.57$25.0025.5%9.4%13.3%27.6%33.7%5.3%-1.2%-509.2K16.3M-38.2K1.2478.13N/AN/A1,0181,2588,56214,108
2015-07-10$19.59$25.0024.3%9.3%13.2%24.1%33.7%3.2%-1.5%-526.4K16.5M-37.1K1.4177.21N/AN/A1,0161,4368,57214,132
2015-07-13$19.59$25.0024.0%9.6%13.2%23.1%33.4%4.7%-2.3%-604.0K16.0M-38.0K1.5072.69N/AN/A1,0081,5148,61014,292
2015-07-14$19.57$25.0025.5%9.3%13.2%27.4%33.2%4.3%-1.5%-593.1K16.8M-36.9K1.3057.88N/AN/A1,1001,4308,63214,474
2015-07-15$19.32$25.0032.2%9.2%13.3%47.3%32.7%4.0%-2.1%-493.6K17.3M-36.3K1.5274.66N/AN/A1,0521,6008,71214,604
2015-07-16$19.46$25.0032.1%9.2%14.0%47.1%32.1%3.4%-2.8%-533.9K17.5M-37.4K1.4666.59N/AN/A9941,4508,81814,744
2015-07-17$19.29$25.0031.9%9.1%14.0%46.5%32.1%3.5%-2.1%-333.3K18.2M-37.6K1.6371.03N/AN/A1,0381,6908,81815,020
2015-07-20$19.18$25.0033.3%9.5%13.6%50.6%34.0%3.0%-4.4%-330.7K15.7M-35.2K1.3166.47N/AN/A9281,2185,93413,504
2015-07-21$19.01$25.0034.4%9.9%13.6%54.0%36.9%1.8%-5.9%-315.9K15.6M-36.1K1.1870.43N/AN/A1,1621,3665,99413,526
2015-07-22$19.05$25.0033.7%9.7%13.8%51.8%29.1%0.8%-4.8%-313.9K15.9M-36.9K1.1376.40N/AN/A1,1041,2526,28813,702
2015-07-23$18.99$25.0033.8%9.7%13.8%52.1%35.5%3.2%-5.2%-307.6K15.6M-36.8K2.1271.17N/AN/A5841,2406,36013,680
2015-07-24$18.70$25.0043.0%12.3%14.1%79.3%38.5%2.3%-13.0%-279.9K16.2M-36.0K2.0970.96N/AN/A5881,2306,51013,748
2015-07-27$18.45$25.0041.5%11.9%14.4%75.1%40.8%0.3%-7.7%-269.8K16.7M-34.1K3.5171.27N/AN/A4461,5666,65013,788
2015-07-28$18.59$22.5041.2%11.8%14.6%74.0%40.0%2.3%-8.7%-278.1K16.9M-34.4K1.0766.07N/AN/A1,2681,3566,70014,052
2015-07-29$18.80$22.5040.7%11.7%14.7%72.8%41.0%3.0%-7.7%-270.3K15.7M-36.2K1.5922.99N/AN/A9461,5047,16013,708
2015-07-30$22.92$22.5025.3%7.2%73.2%26.8%26.8%3.1%-1.8%-197.5K1.6M-38.2K0.7562.19N/AN/A4,6823,4907,60213,828
2015-07-31$22.76$22.5023.8%6.8%73.4%27.3%23.9%8.6%-0.9%-50.2K732.3K-42.5K1.3425.44N/AN/A1,2861,7189,15613,458