OTEX Options History — November 2015

In November 2015, OTEX traded between $22.48 and $24.23. ATM implied volatility averaged 23.0%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 1.5% (HV 20d: 21.5%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 3.17.

Notable Days

  • 2015-11-02: Highest Volume — 2,024 contracts
  • 2015-11-04: Largest IV spike — 27.4% change
  • 2015-11-10: Highest IV Rank — 34.3%
  • 2015-11-04: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.39$22.48$24.23$23.41$24.23
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV23.0%17.8%27.1%25.8%21.2%
Expected Move6.5%5.1%7.5%7.4%6.1%
HV 20d21.5%18.6%24.4%18.6%19.0%
HV 60d19.9%19.0%21.1%19.8%19.1%
IV Rank20.8%3.6%34.3%30.0%15.1%
IV Percentile34.2%1.6%63.9%60.3%14.3%
Term Structure2.8%-1.7%6.4%0.6%0.8%
VWIV23.8%18.4%27.1%25.7%22.1%
Skew 25d2.4%-1.5%5.4%0.8%4.1%
Skew 10d8.0%2.3%21.1%8.4%7.2%
Call IV 25d23.2%20.0%25.6%25.4%21.2%
Put IV 25d25.6%21.3%28.8%26.2%25.2%
Bid-Ask Spread %30.1315.9994.0015.9917.57
Gamma HHI0.560.400.750.400.45
Net GEX-200.8K-403.3K31.7K2.8K-75.3K
Net DEX874.9K-2.5M4.6M790.9K-1.4M
Net VEX-27.6K-30.4K-23.2K-29.8K-23.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.170.2444.231.070.74
Total Volume1,148.82362,0242,024652
Total OI18,211.49,33622,22420,1729,744

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$23.41$22.5025.8%7.4%18.6%30.0%25.7%0.8%0.6%2.8K790.9K-29.8K1.0715.99N/AN/A9781,0468,04212,130
2015-11-03$23.77$22.5020.6%5.9%19.2%13.1%22.8%2.5%-1.4%31.7K135.3K-29.7K1.1217.92N/AN/A8609627,94412,366
2015-11-04$23.59$22.5026.3%7.5%19.3%31.7%26.1%0.7%-1.4%-24.7K44.8K-29.2K0.3020.38N/AN/A9542908,00812,182
2015-11-05$23.66$22.5022.3%7.0%19.3%18.4%23.1%2.8%3.9%-22.5K1.1K-29.4K0.2437.55N/AN/A8982148,01812,192
2015-11-06$23.25$22.5024.4%7.0%20.1%25.4%24.6%3.4%4.1%-145.8K1.5M-27.2K2.9131.99N/AN/A2386928,03212,196
2015-11-09$22.60$22.5027.0%7.0%22.3%33.9%25.3%3.2%4.8%-267.8K4.3M-29.1K44.2323.88N/AN/A441,9468,12812,604
2015-11-10$22.61$22.5027.1%7.1%22.3%34.3%26.0%3.0%4.7%-360.4K4.0M-30.2K0.7024.58N/AN/A8385848,15012,898
2015-11-11$22.62$22.5024.4%7.0%22.3%25.6%26.2%3.2%3.9%-359.3K3.6M-30.4K0.5894.00N/AN/A8384868,19212,986
2015-11-12$22.58$22.5024.3%7.0%22.0%25.3%25.6%4.5%5.4%-373.5K4.0M-30.4K0.5645.87N/AN/A8824928,28212,976
2015-11-13$22.48$22.5024.2%6.9%21.9%25.0%27.1%2.8%5.4%-403.3K4.6M-30.0K0.7287.83N/AN/A7785588,28813,110
2015-11-16$22.91$22.5025.2%7.2%23.2%28.0%23.3%5.4%4.8%-370.5K2.3M-28.7K1.0822.43N/AN/A2462668,29813,228
2015-11-17$23.02$22.5024.5%7.0%23.0%25.8%24.5%3.1%4.9%-377.2K1.2M-27.6K0.8020.43N/AN/A7546048,43613,328
2015-11-18$23.61$22.5023.7%6.8%24.4%23.2%23.1%2.3%5.6%-247.4K-1.2M-26.2K0.7316.28N/AN/A7205288,50613,484
2015-11-19$23.86$22.5021.8%6.2%24.1%16.8%24.8%2.8%5.8%-145.4K-2.5M-24.6K0.8318.19N/AN/A7806508,47813,450
2015-11-20$23.86$22.5017.8%5.1%24.1%3.6%18.4%3.0%6.4%-178.9K-2.5M-25.4K0.6828.04N/AN/A8465788,54013,684
2015-11-23$23.83$22.5018.4%5.3%23.1%5.6%24.5%1.8%-0.1%-166.1K339.2K-25.6K0.6119.08N/AN/A1921182,9206,416
2015-11-24$23.80$22.5019.6%5.6%20.4%9.6%21.7%1.2%-0.2%-166.6K238.2K-26.1K1.9516.92N/AN/A801563,0346,530
2015-11-25$24.07$22.5020.4%5.9%20.6%12.4%20.5%-1.5%-1.7%-212.3K-998.3K-24.1K1.2021.02N/AN/A3143763,0726,622
2015-11-27$24.13$22.5020.4%5.9%20.5%12.4%20.4%-0.6%-0.1%-154.3K-1.0M-24.3K2.3222.61N/AN/A1623763,1186,616
2015-11-30$24.23$22.5021.2%6.1%19.0%15.1%22.1%4.1%0.8%-75.3K-1.4M-23.2K0.7417.57N/AN/A3742783,1346,610