OTEX Options History — October 2015

In October 2015, OTEX traded between $22.48 and $23.75. ATM implied volatility averaged 35.1%, placing in the 66.6% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 17.5% (HV 20d: 17.6%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 1.36.

Notable Days

  • 2015-10-28: Highest Volume — 4,450 contracts
  • 2015-10-29: Largest IV drop — 45.9% change
  • 2015-10-26: Highest IV Rank — 100.0%
  • 2015-10-28: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.19$22.48$23.75$22.55$23.22
Max Pain$22.84$22.50$25.00$22.50$22.50
ATM IV35.1%25.3%47.0%28.6%25.8%
Expected Move10.7%7.3%13.5%8.2%7.4%
HV 20d17.6%13.6%20.5%19.5%19.6%
HV 60d37.5%18.0%44.6%44.5%19.8%
IV Rank66.6%29.0%100.0%43.8%30.1%
IV Percentile85.1%58.3%100.0%74.6%60.7%
Term Structure-4.9%-10.7%9.3%8.5%-0.6%
VWIV37.4%25.5%47.9%28.6%25.5%
Skew 25d4.5%2.4%7.5%2.4%5.0%
Skew 10d9.4%1.4%21.2%3.5%12.5%
Call IV 25d34.6%22.8%46.0%24.2%22.8%
Put IV 25d39.2%26.6%50.1%26.6%27.8%
Bid-Ask Spread %71.4130.3198.7498.7437.52
Gamma HHI0.340.260.490.260.39
Net GEX70.2K-153.7K145.1K65.5K-12.0K
Net DEX-1.2M-4.5M4.6M-14.8K1.6M
Net VEX-34.3K-40.4K-30.3K-39.8K-31.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.632.400.770.67
Total Volume1,592.545344,4501,5662,388
Total OI16,82114,95220,14016,33619,860

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$22.55$22.5028.6%8.2%19.5%43.8%28.6%2.4%8.5%65.5K-14.8K-39.8K0.7798.74N/AN/A8866807,1049,232
2015-10-02$22.48$22.5027.4%7.8%19.3%39.1%27.4%5.5%9.3%76.3K-135.6K-40.4K0.7998.11N/AN/A7766147,3609,230
2015-10-05$22.93$22.5029.5%10.4%20.5%46.9%37.3%5.1%-4.4%102.6K-1.5M-37.6K2.4076.06N/AN/A10247,3629,294
2015-10-06$22.84$22.5029.0%10.7%20.3%45.3%35.9%4.0%-5.5%97.7K-1.3M-37.8K0.6978.04N/AN/A7765367,3629,300
2015-10-07$23.05$22.5031.4%10.8%19.4%54.0%37.5%5.0%-5.9%117.6K-2.2M-36.8K0.6377.69N/AN/A8045107,3649,344
2015-10-08$23.20$22.5030.3%10.5%19.5%49.8%36.1%4.9%-4.3%128.0K-2.8M-34.2K0.9177.96N/AN/A5204747,3069,374
2015-10-09$23.41$22.5025.3%10.7%19.6%31.6%36.9%4.7%-5.3%126.6K-3.5M-34.3K1.0280.49N/AN/A4644747,2649,374
2015-10-12$23.51$22.5034.9%10.9%19.6%66.6%40.0%5.4%-7.2%128.2K-3.6M-34.2K1.8374.10N/AN/A4688567,2709,378
2015-10-13$23.51$22.5034.6%10.8%16.9%65.7%41.6%4.7%-6.3%114.8K-3.9M-33.9K1.3281.30N/AN/A5887747,2709,496
2015-10-14$23.45$22.5038.6%11.1%16.4%80.2%41.0%7.5%-7.6%101.5K-3.5M-34.4K1.1074.63N/AN/A5886447,1809,500
2015-10-15$23.64$22.5037.1%10.6%16.6%74.7%38.3%4.6%-5.7%117.2K-4.1M-32.1K1.0568.13N/AN/A6126447,1809,496
2015-10-16$23.75$22.5038.1%10.9%16.3%78.5%38.0%4.5%-7.5%121.7K-4.5M-31.4K1.3673.74N/AN/A4686387,1829,516
2015-10-19$23.73$22.5037.9%10.9%16.3%77.5%36.4%6.8%-5.1%145.1K-2.2M-30.3K1.4478.44N/AN/A4686726,2468,706
2015-10-20$23.45$22.5039.6%11.4%13.6%84.0%39.6%4.1%-7.6%115.0K-1.5M-30.5K1.2876.96N/AN/A4686006,2908,908
2015-10-21$23.18$22.5039.3%11.3%14.4%82.6%39.2%3.4%-6.4%90.1K-719.3K-31.5K1.8978.69N/AN/A4909286,2889,070
2015-10-22$23.55$22.5040.5%11.6%14.8%90.8%40.3%4.1%-7.2%88.7K-1.3M-33.1K1.3380.26N/AN/A5767646,2929,430
2015-10-23$23.61$22.5041.9%12.0%14.7%96.0%39.8%5.0%-7.4%73.2K-1.4M-34.1K1.7576.05N/AN/A1,0061,7626,4709,628
2015-10-26$23.18$25.0044.2%12.7%15.2%100.0%44.3%4.0%-9.7%527756.8K-35.6K2.2573.12N/AN/A4109226,79010,506
2015-10-27$22.55$25.0045.3%13.0%18.6%100.0%46.4%2.5%-9.7%-52.4K3.0M-34.4K1.6243.15N/AN/A5148326,79810,902
2015-10-28$22.71$25.0047.0%13.5%18.0%100.0%47.9%4.1%-10.7%-48.1K2.5M-36.0K1.6637.62N/AN/A1,6722,7786,88811,112
2015-10-29$22.68$22.5025.5%7.3%17.9%29.0%25.5%3.0%-0.6%-153.7K4.6M-31.0K2.1130.31N/AN/A1,2722,6867,72812,412
2015-10-30$23.22$22.5025.8%7.4%19.6%30.1%25.5%5.0%-0.6%-12.0K1.6M-31.6K0.6737.52N/AN/A1,4349547,78812,072