OTEX Options History — March 2016

In March 2016, OTEX traded between $24.03 and $26.13. ATM implied volatility averaged 22.9%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 7.4% (HV 20d: 30.3%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.00.

Notable Days

  • 2016-03-16: Highest Volume — 3,630 contracts
  • 2016-03-29: Largest IV spike — 10.4% change
  • 2016-03-01: Highest IV Rank — 16.2%
  • 2016-03-01: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.93$24.03$26.13$25.24$25.94
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV22.9%20.3%26.3%26.3%22.0%
Expected Move6.5%5.8%7.5%7.5%6.3%
HV 20d30.3%21.6%47.5%47.5%24.2%
HV 60d32.3%31.5%33.1%31.9%32.9%
IV Rank10.1%5.1%16.2%16.2%8.4%
IV Percentile24.7%8.7%51.2%51.2%16.7%
Term Structure7.7%-1.3%12.2%-1.3%12.2%
VWIV22.2%17.6%26.5%24.3%22.6%
Skew 25d5.1%-2.2%13.0%13.0%3.8%
Skew 10d8.4%-6.2%21.4%21.4%0.4%
Call IV 25d20.3%16.0%24.5%19.9%20.8%
Put IV 25d25.4%22.2%32.8%32.8%24.6%
Bid-Ask Spread %41.5612.3889.0483.4226.39
Gamma HHI0.350.290.610.320.41
Net GEX319.8K64.7K1.7M289.3K289.9K
Net DEX-3.2M-9.7M990.2K-5.6M-6.0M
Net VEX-53.5K-63.2K-46.6K-46.6K-63.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.162.570.472.57
Total Volume1,554.6369303,6301,3521,476
Total OI19,840.36416,28224,36816,28222,470

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$25.24$25.0026.3%7.5%47.5%16.2%24.3%13.0%-1.3%289.3K-5.6M-46.6K0.4783.42N/AN/A9224309,1027,180
2016-03-02$25.26$25.0025.7%7.4%46.3%15.2%21.5%4.4%-0.8%290.4K-5.5M-47.6K0.6288.03N/AN/A8385189,3587,344
2016-03-03$25.05$25.0025.3%7.2%46.4%14.4%25.0%2.9%7.2%272.6K-5.0M-48.9K0.6580.76N/AN/A6944489,6987,660
2016-03-04$24.66$25.0024.6%6.9%46.7%13.1%24.6%3.5%7.1%227.0K-3.2M-46.6K0.7881.17N/AN/A8546689,7027,676
2016-03-07$24.70$25.0025.5%6.7%43.5%14.7%26.5%2.6%7.8%219.4K-3.0M-47.1K0.8069.69N/AN/A1,0508369,8368,116
2016-03-08$24.52$25.0024.8%6.7%41.7%13.5%26.3%2.4%7.6%150.9K-1.7M-49.0K0.6589.04N/AN/A8345469,6668,690
2016-03-09$24.50$25.0022.7%6.5%40.5%9.6%22.0%6.3%7.5%139.2K-1.6M-48.1K0.4940.57N/AN/A8444109,6828,980
2016-03-10$24.30$25.0023.3%6.7%24.7%10.7%23.6%3.2%8.5%71.5K-138.8K-49.1K0.1630.94N/AN/A2,8344509,8669,214
2016-03-11$24.77$25.0022.6%6.5%25.4%9.4%23.2%1.8%8.0%641.0K-4.3M-53.1K0.6636.84N/AN/A78051211,7049,474
2016-03-14$24.55$25.0022.7%6.5%24.6%9.6%19.9%6.8%8.2%540.8K-2.7M-50.9K0.6212.38N/AN/A80649611,7969,768
2016-03-15$24.03$25.0022.8%6.5%25.7%9.8%21.8%4.2%7.8%226.5K990.2K-51.1K0.8915.99N/AN/A61654611,91810,174
2016-03-16$24.97$25.0022.7%6.5%24.5%9.7%21.2%7.9%7.9%967.2K-5.1M-53.5K0.4347.90N/AN/A2,5401,09012,03210,512
2016-03-17$25.18$25.0021.9%6.3%23.0%8.3%20.9%8.8%8.0%1.7M-9.7M-53.7K0.8234.68N/AN/A71058213,36411,004
2016-03-18$24.70$25.0020.7%5.9%24.1%6.0%19.8%4.7%8.6%100.8K60.4K-51.8K1.0738.49N/AN/A89495411,63411,240
2016-03-21$24.82$25.0021.4%6.1%23.6%7.3%20.1%7.1%8.6%92.9K-1.7M-53.9K1.2519.39N/AN/A5707128,5289,288
2016-03-22$24.91$25.0020.3%5.8%21.8%5.1%18.3%7.8%9.5%103.6K-1.7M-57.2K2.0122.75N/AN/A3647328,7349,856
2016-03-23$24.82$25.0020.5%5.9%21.9%5.7%17.6%5.7%9.4%68.9K-1.0M-59.3K1.9617.15N/AN/A3146168,85010,370
2016-03-24$24.84$25.0020.3%5.8%21.6%5.2%20.4%8.6%10.0%65.2K-810.0K-60.2K2.0020.33N/AN/A4909788,85210,540
2016-03-28$24.93$25.0021.4%6.1%21.6%7.2%20.6%7.4%9.3%64.7K-1.1M-59.8K1.1813.61N/AN/A4945829,02611,150
2016-03-29$25.59$25.0023.6%6.8%23.3%11.3%24.4%-2.2%8.6%138.9K-4.1M-62.9K0.3324.26N/AN/A1,3064369,14611,460
2016-03-30$26.13$25.0023.6%6.8%24.0%11.4%23.3%1.4%9.1%326.8K-7.0M-62.4K1.5220.43N/AN/A56886210,16011,668
2016-03-31$25.94$25.0022.0%6.3%24.2%8.4%22.6%3.8%12.2%289.9K-6.0M-63.2K2.5726.39N/AN/A4141,06210,42812,042