OTEX Options History — December 2015

In December 2015, OTEX traded between $23.28 and $24.68. ATM implied volatility averaged 21.2%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 3.2% (HV 20d: 18.0%). 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 20 of 22 days. Put/call ratio averaged 1.53.

Notable Days

  • 2015-12-29: Highest Volume — 900 contracts
  • 2015-12-08: Largest IV spike — 35.9% change
  • 2015-12-08: Highest IV Rank — 37.4%
  • 2015-12-14: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.09$23.28$24.68$24.61$24.00
Max Pain$24.77$22.50$25.00$22.50$25.00
ATM IV21.2%17.6%28.2%22.1%17.6%
Expected Move6.0%5.0%7.3%6.3%5.0%
HV 20d18.0%16.1%19.5%19.5%19.3%
HV 60d18.9%18.4%19.5%19.3%19.0%
IV Rank13.6%0.3%37.4%18.0%0.3%
IV Percentile17.9%0.4%68.3%19.4%0.4%
Term Structure7.2%-1.0%10.7%-0.6%9.0%
VWIV21.3%18.4%24.5%23.5%23.5%
Skew 25d1.7%-7.7%7.6%-2.0%-7.7%
Skew 10d4.7%-6.8%23.2%-1.3%-6.8%
Call IV 25d21.2%19.5%24.4%20.3%21.7%
Put IV 25d22.9%14.0%27.9%18.3%14.0%
Bid-Ask Spread %61.1210.02102.1010.2189.01
Gamma HHI0.470.390.690.440.39
Net GEX-70.4K-327.0K48.2K7.7K-2.9K
Net DEX-737.4K-2.5M969.2K-2.4M-192.9K
Net VEX-24.2K-27.5K-21.6K-23.7K-23.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.530.3613.881.130.90
Total Volume549.091238900340384
Total OI10,025.5458,15411,24210,1469,044

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$24.61$22.5022.1%6.3%19.5%18.0%23.5%-2.0%-0.6%7.7K-2.4M-23.7K1.1310.21N/AN/A1601803,4286,718
2015-12-02$24.50$22.5022.3%6.4%19.0%18.5%22.1%-3.5%-1.0%-13.4K-2.1M-24.8K0.7310.02N/AN/A4543303,5106,836
2015-12-03$24.25$25.0022.3%6.2%19.2%17.8%22.3%1.8%6.5%-28.9K-1.8M-25.6K2.1635.92N/AN/A1783843,6906,824
2015-12-04$24.48$25.0021.5%5.9%19.4%15.0%20.3%3.2%7.2%48.2K-2.5M-23.1K1.5240.86N/AN/A3164803,7166,854
2015-12-07$24.07$25.0020.8%6.2%19.4%12.6%0.0%4.2%6.4%-44.7K-1.5M-24.8K13.8834.11N/AN/A162223,8586,856
2015-12-08$23.91$25.0028.2%6.0%16.1%37.4%20.4%2.6%7.0%-123.8K-48.8K-27.5K2.6031.14N/AN/A2245823,8747,044
2015-12-09$23.65$25.0025.2%7.2%16.8%27.2%18.4%7.6%8.5%-209.2K344.9K-26.6K1.5274.09N/AN/A2603963,8827,134
2015-12-10$23.87$25.0019.5%5.6%17.0%8.4%19.3%1.3%6.0%-149.6K-217.8K-25.9K0.8638.95N/AN/A2902503,8387,158
2015-12-11$23.63$25.0024.3%7.0%17.5%24.4%22.9%1.2%8.4%-218.9K322.6K-26.1K1.0942.65N/AN/A2983263,9147,200
2015-12-14$23.28$25.0025.6%7.3%18.4%28.6%24.3%3.5%8.3%-327.0K969.2K-25.2K0.9340.20N/AN/A3202983,9127,280
2015-12-15$23.75$25.0022.0%6.3%18.6%16.6%22.2%0.1%6.0%-190.2K-24.2K-24.1K0.6331.32N/AN/A3322103,9287,272
2015-12-16$23.93$25.0019.3%5.5%18.6%7.6%20.2%2.2%6.5%-134.8K-495.3K-24.4K0.4451.01N/AN/A3861683,9747,268
2015-12-17$23.85$25.0017.6%5.0%16.5%1.9%19.7%3.0%8.1%-99.9K-557.2K-23.8K0.3648.76N/AN/A4661663,8687,244
2015-12-18$23.84$25.0018.6%5.3%16.1%5.3%19.4%2.5%8.3%-48.2K-511.7K-23.6K0.4191.35N/AN/A4161703,9467,256
2015-12-21$23.87$25.0018.7%5.4%16.1%5.7%20.6%4.5%9.7%-43.8K207.2K-22.9K0.6596.77N/AN/A2641722,9205,234
2015-12-22$24.34$25.0019.4%5.6%17.5%7.9%19.4%3.9%10.7%-23.9K-558.9K-22.8K0.5796.78N/AN/A2681523,0045,294
2015-12-23$24.49$25.0020.1%5.8%17.6%8.8%21.3%5.3%8.7%-1.6K-957.4K-23.3K0.7095.72N/AN/A1621143,0965,278
2015-12-24$24.49$25.0019.7%5.6%17.2%7.5%19.9%6.3%10.1%2.3K-1.2M-22.6K0.45100.52N/AN/A2921303,1185,280
2015-12-28$24.22$25.0019.6%5.6%17.7%7.3%22.3%1.8%7.3%1.3K-677.9K-21.6K0.70102.10N/AN/A3042143,2325,262
2015-12-29$24.68$25.0020.5%5.9%18.9%10.1%20.5%-2.9%9.0%33.2K-1.3M-23.0K0.4694.16N/AN/A6162843,2545,348
2015-12-30$24.36$25.0021.2%6.1%18.6%12.5%24.5%-2.1%8.2%19.7K-987.4K-23.0K0.8988.96N/AN/A2362103,4685,448
2015-12-31$24.00$25.0017.6%5.0%19.3%0.3%23.5%-7.7%9.0%-2.9K-192.9K-23.3K0.9089.01N/AN/A2021823,5285,516