OTEX Options History — August 2015

In August 2015, OTEX traded between $21.29 and $23.14. ATM implied volatility averaged 26.8%, placing in the 38.1% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 38.2% (HV 20d: 65.0%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 2.00.

Notable Days

  • 2015-08-04: Highest Volume — 2,710 contracts
  • 2015-08-24: Largest IV spike — 38.1% change
  • 2015-08-24: Highest IV Rank — 76.7%
  • 2015-08-24: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.64$21.29$23.14$22.83$22.67
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV26.8%23.1%37.5%23.5%31.4%
Expected Move7.7%6.6%10.8%6.7%9.0%
HV 20d65.0%21.0%73.7%72.4%21.1%
HV 60d47.7%42.7%52.5%52.5%44.0%
IV Rank38.1%24.8%76.7%26.2%54.5%
IV Percentile69.3%49.6%93.7%56.7%81.0%
Term Structure2.8%-4.4%7.1%0.3%0.5%
VWIV27.8%22.7%40.8%23.9%30.2%
Skew 25d7.3%1.4%16.5%7.6%13.7%
Skew 10d13.8%1.8%30.6%17.0%21.8%
Call IV 25d24.1%17.4%34.7%25.7%25.0%
Put IV 25d31.5%26.3%42.3%33.3%38.6%
Bid-Ask Spread %59.668.0594.2913.1894.29
Gamma HHI0.320.220.630.330.29
Net GEX-165.1K-587.3K-50.3K-57.7K-50.3K
Net DEX1.6M-267.8K8.7M572.7K-267.8K
Net VEX-43.4K-48.9K-40.5K-42.1K-48.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.000.436.250.940.70
Total Volume1,763.6192742,7105121,424
Total OI21,611.14314,31224,91022,88416,236

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$22.83$22.5023.5%6.7%72.4%26.2%23.9%7.6%0.3%-57.7K572.7K-42.1K0.9413.18N/AN/A2642489,27213,612
2015-08-04$23.00$22.5024.2%6.9%72.4%28.6%24.4%5.1%-0.7%-59.1K-230.4K-42.3K2.4816.47N/AN/A7781,9329,29213,660
2015-08-05$22.93$22.5023.7%6.8%72.1%27.1%25.4%10.4%-0.3%-120.3K808.2K-43.8K1.698.05N/AN/A7861,3309,46614,220
2015-08-06$22.88$22.5024.8%6.8%72.1%30.8%22.7%4.6%4.4%-104.8K1.3M-44.9K1.8232.94N/AN/A6901,2549,53614,186
2015-08-07$22.95$22.5023.2%6.7%72.1%24.9%23.3%4.2%2.3%-92.0K837.8K-42.9K2.5346.32N/AN/A5821,4709,55214,174
2015-08-10$23.14$22.5024.6%6.7%72.0%30.2%23.8%4.8%4.2%-98.8K-194.1K-41.3K2.4539.93N/AN/A5361,3129,55614,270
2015-08-11$22.88$22.5024.7%6.9%72.3%30.4%24.1%4.2%6.2%-131.9K1.2M-43.0K6.2537.51N/AN/A1449009,49814,356
2015-08-12$22.85$22.5024.0%6.9%72.0%27.9%24.3%4.6%6.5%-161.5K1.2M-42.6K2.3946.57N/AN/A6681,5949,53814,670
2015-08-13$22.98$22.5024.1%6.9%72.0%28.3%24.4%3.9%6.2%-196.8K507.2K-42.7K2.9953.88N/AN/A4801,4349,61615,000
2015-08-14$22.93$22.5023.6%6.8%71.8%26.6%25.2%3.6%6.2%-240.6K938.9K-43.8K2.7856.70N/AN/A5001,3889,60815,090
2015-08-17$22.93$22.5024.3%7.0%71.7%29.2%25.5%11.5%6.2%-254.2K983.9K-43.0K3.0289.42N/AN/A5241,5849,59015,184
2015-08-18$22.95$22.5023.1%6.6%71.5%24.8%23.6%3.5%7.1%-290.7K783.3K-42.1K2.1154.82N/AN/A8441,7789,60815,232
2015-08-19$22.79$22.5023.2%6.7%71.6%25.2%23.2%2.8%6.6%-399.7K1.1M-41.1K1.7459.61N/AN/A1001749,60215,308
2015-08-20$22.35$22.5024.5%7.0%72.3%29.9%26.8%1.4%6.2%-587.3K4.8M-40.5K2.4660.83N/AN/A5821,4329,56615,246
2015-08-21$22.00$22.5027.2%7.8%72.3%39.4%25.2%7.0%5.0%-122.8K8.7M-41.7K1.1684.70N/AN/A9481,0989,48815,330
2015-08-24$21.29$22.5037.5%10.8%73.4%76.7%40.8%6.8%-4.4%-110.0K4.7M-41.7K1.1488.14N/AN/A4725365,1769,136
2015-08-25$21.75$22.5034.4%9.9%73.5%65.3%37.8%10.4%-2.9%-116.4K3.5M-42.7K1.0489.30N/AN/A6686965,3589,372
2015-08-26$22.26$22.5033.2%9.5%73.7%61.0%40.1%16.5%-0.7%-119.9K2.2M-46.7K0.8594.05N/AN/A1,1861,0045,3509,734
2015-08-27$22.59$22.5032.5%9.3%21.1%58.5%35.8%12.9%-0.9%-73.2K259.0K-47.1K1.1093.78N/AN/A7488266,0009,574
2015-08-28$22.52$22.5031.6%9.0%21.0%55.2%32.9%14.3%-0.1%-79.0K518.8K-47.3K0.4392.30N/AN/A1,4826405,9989,574
2015-08-31$22.67$22.5031.4%9.0%21.1%54.5%30.2%13.7%0.5%-50.3K-267.8K-48.9K0.7094.29N/AN/A8405846,6589,578