OTEX Options History — May 2016

In May 2016, OTEX traded between $26.99 and $29.36. ATM implied volatility averaged 22.7%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 1.2% (HV 20d: 21.5%). Max pain ranged from $25.00 to $27.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.74.

Notable Days

  • 2016-05-11: Highest Volume — 2,440 contracts
  • 2016-05-10: Largest IV spike — 10.4% change
  • 2016-05-10: Highest IV Rank — 15.1%
  • 2016-05-03: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.97$26.99$29.36$27.86$29.36
Max Pain$27.14$25.00$27.50$25.00$27.50
ATM IV22.7%20.0%25.8%23.4%21.7%
Expected Move6.4%5.7%6.8%6.7%6.2%
HV 20d21.5%19.1%24.9%21.8%19.1%
HV 60d23.7%20.8%32.2%32.2%21.2%
IV Rank9.5%4.5%15.1%10.9%7.7%
IV Percentile22.7%6.0%50.0%27.4%13.9%
Term Structure3.0%-1.5%6.1%-0.6%-1.5%
VWIV22.6%19.9%26.1%23.6%22.7%
Skew 25d3.0%1.4%7.5%4.5%2.7%
Skew 10d6.9%-0.2%20.6%8.6%20.6%
Call IV 25d22.0%19.9%26.3%22.3%21.0%
Put IV 25d25.0%22.6%28.7%26.8%23.7%
Bid-Ask Spread %80.0019.3695.1956.0290.39
Gamma HHI0.510.240.760.560.34
Net GEX709.2K57.7K1.7M770.1K220.2K
Net DEX-12.5M-23.7M-3.2M-15.4M-6.9M
Net VEX-50.8K-66.1K-38.8K-61.3K-41.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.191.981.561.98
Total Volume1,193.9054762,4408661,074
Total OI25,181.8111,75431,89229,41012,634

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$27.86$25.0023.4%6.7%21.8%10.9%23.6%4.5%-0.6%770.1K-15.4M-61.3K1.5656.02N/AN/A33852812,41216,998
2016-05-03$26.99$25.0023.8%6.8%24.9%11.6%24.3%1.9%-1.1%713.8K-9.6M-61.3K1.5565.91N/AN/A43667812,41816,860
2016-05-04$27.04$25.0023.8%6.8%24.0%11.5%26.1%7.5%-0.9%636.8K-7.9M-65.7K0.8219.36N/AN/A64052412,36817,048
2016-05-05$27.24$27.5023.3%6.4%21.6%10.5%22.4%2.4%5.4%683.1K-9.1M-66.1K0.5078.62N/AN/A71035212,38417,014
2016-05-06$27.24$27.5021.9%6.3%21.6%8.1%21.9%2.6%5.6%776.8K-9.0M-65.1K0.4574.85N/AN/A48622012,57217,080
2016-05-09$27.14$27.5023.3%6.3%21.1%10.6%22.3%2.3%5.4%913.5K-9.2M-58.1K0.7473.28N/AN/A44432812,50417,084
2016-05-10$27.66$27.5025.8%6.4%22.0%15.1%21.9%4.1%5.5%1.1M-15.5M-53.1K0.7571.44N/AN/A1,23892612,58417,164
2016-05-11$27.72$27.5023.8%6.8%21.7%11.5%23.5%2.5%4.6%1.0M-15.8M-54.1K0.6776.09N/AN/A1,46297812,90417,662
2016-05-12$27.95$27.5023.6%6.8%21.7%11.1%23.2%3.2%4.8%997.2K-18.6M-54.9K0.2076.80N/AN/A1,71034213,58418,308
2016-05-13$27.87$27.5022.6%6.5%21.7%9.3%22.3%3.5%5.9%1.1M-17.9M-52.7K0.5085.78N/AN/A1,17858613,29418,144
2016-05-16$28.08$27.5022.9%6.6%21.6%9.8%22.7%2.8%5.9%911.8K-20.5M-46.9K0.5782.79N/AN/A79645013,17218,040
2016-05-17$27.99$27.5022.8%6.5%21.1%9.6%22.3%4.5%5.6%1.0M-19.7M-47.6K0.8488.95N/AN/A55646613,26017,960
2016-05-18$27.81$27.5022.6%6.5%21.2%9.3%23.5%2.4%6.1%1.6M-18.0M-47.0K0.4190.58N/AN/A62225413,21417,884
2016-05-19$27.81$27.5022.7%6.5%21.1%9.5%22.8%3.4%6.1%1.7M-19.5M-45.3K0.7291.65N/AN/A1,06076613,28617,864
2016-05-20$28.20$27.5022.6%6.5%21.7%9.2%22.9%1.4%5.6%57.7K-23.7M-41.9K0.1991.68N/AN/A1,12021012,91817,612
2016-05-23$27.94$27.5022.5%6.4%21.0%9.0%23.2%2.7%0.3%79.0K-3.2M-42.7K1.0592.39N/AN/A4785005,0106,744
2016-05-24$28.16$27.5021.5%6.2%21.1%7.2%21.7%2.9%0.6%81.7K-3.8M-42.0K0.4394.36N/AN/A4782065,0486,952
2016-05-25$28.97$27.5020.9%6.0%22.8%6.2%20.7%1.9%-0.2%127.8K-5.6M-40.7K0.3888.77N/AN/A5982265,0747,012
2016-05-26$29.13$27.5021.6%6.2%19.2%7.5%20.6%1.8%-0.9%177.8K-6.8M-40.5K0.7095.19N/AN/A2801965,3367,018
2016-05-27$29.14$27.5020.0%5.7%19.2%4.5%19.9%2.7%0.3%199.6K-7.2M-38.8K0.6295.03N/AN/A3902425,3727,022
2016-05-31$29.36$27.5021.7%6.2%19.1%7.7%22.7%2.7%-1.5%220.2K-6.9M-41.1K1.9890.39N/AN/A3607145,5447,090