OTEX Options History — February 2016

In February 2016, OTEX traded between $21.42 and $25.25. ATM implied volatility averaged 38.9%, placing in the 48.7% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 0.7% (HV 20d: 39.6%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.90.

Notable Days

  • 2016-02-10: Highest Volume — 7,154 contracts
  • 2016-02-10: Largest IV drop — 48.4% change
  • 2016-02-01: Highest IV Rank — 100.0%
  • 2016-02-03: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.98$21.42$25.25$24.48$24.92
Max Pain$23.50$22.50$25.00$22.50$25.00
ATM IV38.9%25.8%71.8%47.1%27.2%
Expected Move10.0%7.4%14.4%13.5%7.8%
HV 20d39.6%22.9%48.3%22.9%47.3%
HV 60d27.8%20.2%32.0%20.2%31.8%
IV Rank48.7%15.3%100.0%100.0%17.9%
IV Percentile75.2%50.0%100.0%100.0%57.1%
Term Structure-1.7%-12.3%6.9%-11.8%-2.0%
VWIV35.6%24.7%49.4%48.4%29.7%
Skew 25d4.0%-0.5%11.1%2.5%7.0%
Skew 10d7.7%-3.5%15.8%12.2%12.3%
Call IV 25d33.5%22.2%49.4%46.8%22.8%
Put IV 25d37.5%29.6%51.9%49.3%29.9%
Bid-Ask Spread %65.4534.3487.0874.2587.08
Gamma HHI0.370.280.710.350.30
Net GEX243.0K-139.9K1.4M57.1K227.6K
Net DEX-2.5M-12.8M5.8M-3.1M-4.1M
Net VEX-38.7K-48.4K-29.6K-30.1K-46.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.392.341.040.60
Total Volume2,048.87387,1541,3501,274
Total OI17,107.512,86023,33612,86015,862

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$24.48$22.5047.1%13.5%22.9%100.0%48.4%2.5%-11.8%57.1K-3.1M-30.1K1.0474.25N/AN/A6626885,8107,050
2016-02-02$23.82$22.5048.0%13.7%24.9%100.0%48.1%2.5%-12.1%18.8K-1.3M-29.8K0.4670.06N/AN/A8724025,8687,098
2016-02-03$23.80$22.5050.3%14.4%24.6%100.0%48.6%0.9%-12.3%22.5K-1.2M-31.1K0.7458.80N/AN/A6845066,2447,300
2016-02-04$23.57$22.5055.1%11.2%24.6%100.0%34.1%4.2%-3.5%3.0K-578.1K-32.1K0.3957.38N/AN/A8363266,3987,510
2016-02-05$22.57$22.5059.6%12.0%27.4%100.0%44.6%4.9%-3.9%-51.9K2.3M-30.7K2.0551.39N/AN/A1,3542,7746,6207,610
2016-02-08$21.89$22.5071.0%13.4%29.4%100.0%45.4%1.0%-7.3%-112.0K4.7M-31.2K0.8344.54N/AN/A6245187,2208,866
2016-02-09$21.42$22.5071.8%13.0%30.2%100.0%49.4%6.0%-5.5%-139.9K5.8M-29.6K1.4961.35N/AN/A2,1803,2487,3089,006
2016-02-10$23.52$22.5037.0%10.6%45.3%36.0%34.7%6.5%-1.6%-45.7K-238.6K-33.0K0.4746.97N/AN/A4,8742,2807,77610,702
2016-02-11$23.43$22.5034.4%9.8%44.9%31.1%42.1%4.8%1.5%135.1K-1.5M-41.4K2.3450.98N/AN/A5181,21010,55210,830
2016-02-12$23.95$22.5031.7%9.1%45.0%26.3%32.3%2.9%3.6%383.6K-4.5M-42.5K1.3734.34N/AN/A7981,09210,60210,786
2016-02-16$24.17$22.5028.9%8.3%45.0%21.0%31.5%3.0%5.3%509.2K-4.1M-40.5K1.4665.94N/AN/A47268810,76810,890
2016-02-17$25.25$22.5028.1%8.1%47.3%19.6%28.7%2.8%6.5%1.3M-12.8M-41.4K0.4464.82N/AN/A1,75476810,86011,096
2016-02-18$24.65$25.0028.9%8.3%47.7%21.1%30.0%2.6%5.6%1.4M-7.1M-42.7K0.6865.19N/AN/A1,26085811,83011,344
2016-02-19$24.70$25.0027.2%7.8%47.4%17.9%27.7%0.1%6.9%223.3K-5.1M-42.3K0.7364.56N/AN/A96069811,68011,656
2016-02-22$25.07$25.0026.5%7.6%47.3%16.6%27.1%3.5%-0.9%239.3K-4.6M-43.7K0.5775.42N/AN/A7904547,7745,944
2016-02-23$24.46$25.0026.7%7.7%48.3%17.0%30.2%-0.5%-1.1%186.4K-2.9M-42.8K0.6481.28N/AN/A1,1267248,1326,210
2016-02-24$24.41$25.0027.1%7.8%47.7%17.7%25.6%6.3%-0.7%155.2K-2.4M-46.7K0.6284.20N/AN/A6764228,6186,740
2016-02-25$24.67$25.0025.8%7.4%47.4%15.3%24.7%6.8%0.1%187.5K-3.3M-48.4K0.5883.72N/AN/A5483208,8106,978
2016-02-26$24.76$25.0026.2%7.5%47.3%16.1%29.0%11.1%-0.4%206.2K-3.6M-46.8K0.4286.70N/AN/A5202188,8266,976
2016-02-29$24.92$25.0027.2%7.8%47.3%17.9%29.7%7.0%-2.0%227.6K-4.1M-46.5K0.6087.08N/AN/A7944808,8866,976