OTEX Options History — July 2016

In July 2016, OTEX traded between $29.13 and $31.38. ATM implied volatility averaged 29.6%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 5.2% (HV 20d: 24.4%). Max pain ranged from $27.50 to $30.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 3.36.

Notable Days

  • 2016-07-27: Highest Volume — 5,082 contracts
  • 2016-07-13: Largest IV spike — 52.3% change
  • 2016-07-25: Highest IV Rank — 38.8%
  • 2016-07-25: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.16$29.13$31.38$29.50$30.46
Max Pain$27.88$27.50$30.00$30.00$30.00
ATM IV29.6%20.7%38.6%21.7%20.7%
Expected Move9.3%5.9%11.1%6.2%5.9%
HV 20d24.4%15.7%26.4%25.8%26.4%
HV 60d21.3%20.5%22.8%21.1%22.8%
IV Rank22.2%5.8%38.8%7.7%5.8%
IV Percentile55.8%11.1%88.1%19.4%11.1%
Term Structure-3.3%-8.5%8.7%8.7%0.1%
VWIV32.9%21.4%40.6%21.9%21.5%
Skew 25d3.6%-0.6%5.7%5.7%2.6%
Skew 10d11.7%-1.9%21.4%7.0%6.2%
Call IV 25d32.1%20.7%38.5%22.7%20.7%
Put IV 25d35.7%23.4%42.1%28.3%23.4%
Bid-Ask Spread %67.6743.9699.9299.9277.70
Gamma HHI0.390.240.950.330.60
Net GEX-458.3K-7.9M274.6K-184.6K-380.6K
Net DEX-5.3M-10.0M-1.1M-2.8M-4.8M
Net VEX-28.7K-35.5K-23.5K-35.5K-30.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.360.4711.227.562.26
Total Volume1,203.25025,0821,3361,226
Total OI13,277.111,56617,02013,65017,020

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$29.50$30.0021.7%6.2%25.8%7.7%21.9%5.7%8.7%-184.6K-2.8M-35.5K7.5699.92N/AN/A1561,1805,1648,486
2016-07-05$29.16$27.5023.6%9.4%25.9%11.2%34.4%2.0%-2.6%-178.7K-1.1M-34.8K4.0066.89N/AN/A1224885,1708,482
2016-07-06$29.23$27.5021.6%9.2%26.0%7.5%34.1%2.7%-2.5%-218.2K-1.2M-33.2K11.2269.11N/AN/A1261,4145,1708,560
2016-07-07$29.13$27.5022.0%9.2%25.6%8.1%33.0%3.2%-1.5%-110.3K-1.4M-31.9K2.3170.66N/AN/A2124905,1828,266
2016-07-08$29.48$27.5021.2%9.1%26.1%6.7%32.4%5.1%-2.4%-199.7K-2.3M-32.8K3.6371.32N/AN/A1344865,1328,266
2016-07-11$29.37$27.5023.8%9.4%25.4%11.5%33.7%3.8%-2.3%-172.4K-2.2M-28.9K9.2276.94N/AN/A1181,0885,1468,264
2016-07-12$29.82$27.5021.8%9.3%26.0%7.7%32.5%5.3%-2.6%-383.7K-3.9M-27.7K4.4671.84N/AN/A2261,0085,1468,264
2016-07-13$30.00$27.5033.1%9.5%25.9%28.7%30.3%3.8%-3.2%-422.1K-4.2M-30.6K5.1469.02N/AN/A1949985,2148,306
2016-07-14$30.23$27.5034.6%9.9%25.9%31.4%34.7%4.9%-4.2%-412.5K-6.4M-27.8K5.4358.85N/AN/A1961,0645,2428,306
2016-07-15$30.02$27.5034.2%9.8%25.9%30.6%34.0%3.4%-3.0%-7.9M-7.4M-26.1K1.3565.57N/AN/A2763725,2408,336
2016-07-18$30.02$27.5034.6%9.9%25.9%31.4%36.1%5.3%-5.2%174.2K-6.5M-25.6K2.6957.51N/AN/A1363664,7026,864
2016-07-19$30.77$27.5035.5%10.2%25.2%33.1%34.9%5.1%-5.4%171.9K-7.5M-26.1K0.7671.87N/AN/A4043084,7026,892
2016-07-20$31.17$27.5035.0%10.0%25.1%32.2%34.4%3.5%-4.6%195.6K-8.5M-26.5K0.4768.51N/AN/A5582644,9606,900
2016-07-21$30.75$27.5036.5%10.5%25.6%34.9%35.2%3.4%-6.4%227.1K-8.3M-26.6K0.4861.86N/AN/A6022925,2186,906
2016-07-22$30.64$27.5036.3%10.4%25.5%34.6%36.2%3.2%-6.0%222.3K-8.0M-27.1K0.4869.37N/AN/A5822825,2486,938
2016-07-25$31.15$27.5038.6%11.1%18.4%38.8%38.5%4.0%-7.2%264.2K-9.2M-23.5K0.9563.93N/AN/A3423245,2586,946
2016-07-26$31.16$27.5038.1%10.9%15.8%37.9%38.3%2.1%-7.2%241.3K-9.2M-24.8K0.6862.55N/AN/A7184865,2887,012
2016-07-27$31.38$27.5037.9%10.9%15.7%37.5%40.6%3.6%-8.5%274.6K-10.0M-25.3K2.8556.04N/AN/A1,3203,7625,6687,062
2016-07-28$29.76$30.0021.2%6.1%25.3%6.8%21.4%-0.6%-0.7%-356.3K-2.0M-29.1K1.3343.96N/AN/A7489966,28610,330
2016-07-29$30.46$30.0020.7%5.9%26.4%5.8%21.5%2.6%0.1%-380.6K-4.8M-30.9K2.2677.70N/AN/A3768506,43210,588