OTEX Options History — June 2016

In June 2016, OTEX traded between $28.67 and $30.80. ATM implied volatility averaged 21.6%, placing in the 7.5% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 3.9% (HV 20d: 17.7%). Max pain ranged from $27.50 to $30.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 2.30.

Notable Days

  • 2016-06-27: Highest Volume — 1,554 contracts
  • 2016-06-28: Largest IV drop — 23.4% change
  • 2016-06-27: Highest IV Rank — 21.9%
  • 2016-06-27: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.83$28.67$30.80$29.67$29.55
Max Pain$29.89$27.50$30.00$27.50$30.00
ATM IV21.6%19.9%29.4%20.4%20.6%
Expected Move6.2%5.7%8.4%5.8%5.9%
HV 20d17.7%13.1%26.0%14.3%26.0%
HV 60d20.4%18.8%22.3%21.3%22.0%
IV Rank7.5%4.4%21.9%5.2%5.6%
IV Percentile17.5%6.0%67.5%7.5%10.3%
Term Structure7.6%-0.2%10.6%-0.2%10.6%
VWIV21.8%19.6%30.4%21.0%20.7%
Skew 25d2.4%-1.0%5.7%4.5%5.7%
Skew 10d5.0%-2.2%13.7%6.9%7.0%
Call IV 25d21.6%17.9%27.1%19.3%21.6%
Put IV 25d24.0%21.3%28.1%23.8%27.3%
Bid-Ask Spread %91.2258.8998.5297.0298.52
Gamma HHI0.360.200.490.350.33
Net GEX228.6K-209.6K414.0K247.3K-209.6K
Net DEX-7.5M-11.1M-941.7K-8.6M-2.6M
Net VEX-35.2K-39.1K-29.3K-35.8K-36.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.300.648.361.024.76
Total Volume869.9095241,5541,2761,268
Total OI12,852.90911,21213,62812,86013,628

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$29.67$27.5020.4%5.8%14.3%5.2%21.0%4.5%-0.2%247.3K-8.6M-35.8K1.0297.02N/AN/A6326445,5867,274
2016-06-02$29.81$30.0020.1%5.8%14.2%4.6%20.4%2.6%6.7%288.5K-8.9M-38.9K1.9288.65N/AN/A3045845,8607,264
2016-06-03$30.05$30.0019.9%5.7%14.2%4.4%20.0%1.8%7.7%295.7K-9.6M-38.7K1.2191.91N/AN/A3784565,8987,208
2016-06-06$30.23$30.0021.2%5.8%14.1%6.8%20.6%4.8%7.6%359.1K-10.9M-32.8K0.7592.31N/AN/A3922945,9667,174
2016-06-07$30.16$30.0020.8%5.7%14.0%6.0%20.1%2.7%7.8%372.1K-10.5M-33.9K0.8887.25N/AN/A3843385,9967,110
2016-06-08$30.46$30.0020.2%5.8%13.1%4.9%19.6%4.0%8.1%366.5K-11.1M-33.5K1.1491.65N/AN/A3323786,0087,150
2016-06-09$30.50$30.0020.5%5.9%13.2%5.4%20.0%3.2%7.5%351.3K-11.0M-35.6K1.2658.89N/AN/A2903666,0127,278
2016-06-10$29.94$30.0020.7%5.9%15.5%5.8%20.9%2.7%7.6%384.7K-9.4M-36.5K1.3694.44N/AN/A2723706,0267,282
2016-06-13$29.84$30.0021.5%6.2%15.5%7.3%21.7%0.7%7.5%398.3K-9.0M-36.0K1.3795.80N/AN/A2523446,0467,314
2016-06-14$29.63$30.0021.3%6.1%15.9%6.9%21.7%-0.0%8.1%380.7K-8.3M-36.1K1.3792.98N/AN/A2423326,0527,322
2016-06-15$29.45$30.0020.8%5.9%16.0%5.9%21.7%-0.6%8.6%414.0K-7.7M-35.1K1.5795.51N/AN/A2043206,0407,328
2016-06-16$29.27$30.0022.5%6.5%16.0%9.1%22.4%-1.0%7.3%299.3K-6.9M-35.9K2.8288.48N/AN/A1945486,0527,344
2016-06-17$29.29$30.0021.5%6.2%16.0%7.2%21.6%0.4%7.8%137.9K-6.6M-36.6K2.6289.49N/AN/A2506546,0807,494
2016-06-20$30.18$30.0021.5%6.2%18.3%7.2%21.6%2.1%8.7%185.8K-7.1M-30.4K0.8697.53N/AN/A5264504,5606,652
2016-06-21$30.63$30.0021.2%6.1%18.1%6.7%21.5%2.5%8.7%213.1K-8.4M-29.3K0.6490.96N/AN/A6584184,7426,700
2016-06-22$30.60$30.0021.8%6.3%18.1%7.9%22.4%3.7%8.5%253.0K-8.7M-30.5K1.9892.19N/AN/A1823605,1346,708
2016-06-23$30.80$30.0021.7%6.2%15.7%7.7%20.5%1.6%9.7%233.5K-8.6M-33.2K2.2795.21N/AN/A1844185,1386,708
2016-06-24$29.32$30.0024.3%7.0%24.4%12.4%24.3%0.4%6.7%162.8K-5.2M-36.7K6.1592.40N/AN/A2141,3165,1386,784
2016-06-27$28.67$30.0029.4%8.4%25.7%21.9%30.4%2.8%5.5%-43.5K-941.7K-39.1K8.3688.80N/AN/A1661,3885,0987,784
2016-06-28$28.97$30.0022.5%6.5%25.8%9.2%24.4%3.8%8.9%-35.0K-2.0M-37.7K1.5893.79N/AN/A2243545,0967,762
2016-06-29$29.31$30.0021.7%6.2%25.9%7.6%21.8%4.8%9.0%-26.4K-3.2M-35.1K4.8292.96N/AN/A2161,0425,1247,844
2016-06-30$29.55$30.0020.6%5.9%26.0%5.6%20.7%5.7%10.6%-209.6K-2.6M-36.9K4.7698.52N/AN/A2201,0485,1428,486