OTEX Options History — January 2016

In January 2016, OTEX traded between $22.43 and $24.43. ATM implied volatility averaged 36.6%, placing in the 64.7% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 15.2% (HV 20d: 21.4%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 3 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.70.

Notable Days

  • 2016-01-28: Highest Volume — 1,714 contracts
  • 2016-01-05: Largest IV spike — 38.0% change
  • 2016-01-29: Highest IV Rank — 91.2%
  • 2016-01-29: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.25$22.43$24.43$23.82$24.43
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV36.6%21.9%44.5%21.9%44.5%
Expected Move11.2%10.0%12.7%10.1%12.7%
HV 20d21.4%18.4%24.9%19.1%23.6%
HV 60d20.2%19.0%21.0%19.0%20.4%
IV Rank64.7%14.9%91.2%14.9%91.2%
IV Percentile84.0%16.7%99.2%16.7%99.2%
Term Structure-6.1%-10.0%-2.3%-2.3%-10.0%
VWIV38.4%31.8%46.5%33.3%44.1%
Skew 25d4.9%1.9%9.7%3.0%1.9%
Skew 10d11.2%3.0%23.6%8.0%11.7%
Call IV 25d36.3%31.4%43.4%31.6%43.4%
Put IV 25d41.2%34.6%47.2%34.6%45.3%
Bid-Ask Spread %70.1861.8783.9562.6772.24
Gamma HHI0.400.350.490.380.35
Net GEX-71.6K-161.7K59.1K-21.7K59.1K
Net DEX1.0M-3.0M2.9M426.5K-3.0M
Net VEX-22.3K-28.3K-20.3K-23.5K-28.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.162.180.582.18
Total Volume791.1583721,714470910
Total OI9,943.6849,15412,1989,15412,198

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$23.82$22.5021.9%10.1%19.1%14.9%33.3%3.0%-2.3%-21.7K426.5K-23.5K0.5862.67N/AN/A2981723,5545,600
2016-01-05$23.57$22.5030.2%10.3%19.0%43.1%32.2%3.8%-5.9%-42.2K1.0M-23.2K0.4463.53N/AN/A2981323,6165,626
2016-01-06$23.32$22.5024.6%10.0%18.4%24.1%32.6%3.2%-5.2%-83.1K1.3M-22.1K0.6871.79N/AN/A3422323,6165,624
2016-01-07$22.68$22.5030.5%10.1%20.6%44.0%31.8%5.0%-3.8%-121.0K2.6M-21.5K0.3270.14N/AN/A3701183,6185,728
2016-01-08$22.74$22.5029.6%10.2%20.5%41.1%34.0%4.6%-3.8%-117.8K2.5M-21.3K0.4167.90N/AN/A3641483,6625,728
2016-01-11$22.57$22.5031.7%10.1%20.1%48.0%35.0%4.4%-4.2%-127.2K2.9M-20.3K0.3665.31N/AN/A4461623,7105,730
2016-01-12$22.88$22.5031.0%10.3%20.8%45.8%36.9%3.8%-5.0%-108.9K2.2M-20.6K1.1361.99N/AN/A3343783,8385,724
2016-01-13$22.52$22.5037.0%10.6%20.8%65.9%36.9%4.1%-4.9%-161.7K2.9M-20.5K0.5670.84N/AN/A3301843,8705,950
2016-01-14$22.98$22.5036.5%10.5%20.8%64.5%38.5%5.0%-4.9%-137.1K1.9M-21.0K1.1671.88N/AN/A1722003,9326,048
2016-01-15$22.86$22.5039.6%11.4%20.6%75.0%39.4%5.5%-6.0%-94.5K2.1M-21.7K1.2080.22N/AN/A5046063,9346,048
2016-01-19$22.84$22.5040.0%11.5%20.6%76.0%39.5%5.3%-5.5%-89.7K1.9M-20.8K0.7173.41N/AN/A3302343,6625,840
2016-01-20$22.43$22.5042.5%12.2%21.3%84.7%39.0%4.4%-6.9%-106.9K2.8M-20.8K0.4567.26N/AN/A5122323,7245,992
2016-01-21$22.85$22.5042.5%12.2%22.6%84.7%41.9%5.6%-6.5%-89.3K1.9M-21.6K0.5167.15N/AN/A3361703,7325,978
2016-01-22$23.30$22.5041.3%11.8%22.6%80.7%40.4%6.5%-7.0%-85.5K1.1M-20.7K0.9561.87N/AN/A3863683,7445,970
2016-01-25$23.36$22.5044.2%12.7%22.4%90.4%42.2%6.6%-8.9%-68.3K582.5K-21.1K0.5670.32N/AN/A5623163,8826,168
2016-01-26$23.90$22.5041.6%11.9%24.2%81.8%40.8%9.7%-7.8%-31.3K-811.8K-22.0K0.1683.95N/AN/A1,4162324,1466,138
2016-01-27$24.36$22.5043.2%12.4%24.9%87.0%43.9%5.3%-9.2%25.0K-2.4M-25.0K0.4974.62N/AN/A1,0225024,7666,276
2016-01-28$24.27$22.5043.0%12.3%23.9%86.5%46.5%4.5%-8.7%42.5K-2.6M-26.8K0.4576.41N/AN/A1,1865285,1866,372
2016-01-29$24.43$22.5044.5%12.7%23.6%91.2%44.1%1.9%-10.0%59.1K-3.0M-28.3K2.1872.24N/AN/A2866245,5906,608