OTEX Options History — August 2016

In August 2016, OTEX traded between $30.23 and $31.66. ATM implied volatility averaged 19.6%, placing in the 4.8% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 4.2% (HV 20d: 23.8%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 0.85.

Notable Days

  • 2016-08-26: Highest Volume — 1,260 contracts
  • 2016-08-26: Largest IV drop — 28.5% change
  • 2016-08-02: Highest IV Rank — 9.1%
  • 2016-08-02: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.21$30.23$31.66$30.72$31.39
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV19.6%14.7%22.5%22.2%16.8%
Expected Move5.6%4.2%6.4%6.4%4.8%
HV 20d23.8%12.2%27.4%26.5%12.2%
HV 60d22.9%22.4%23.3%22.8%22.6%
IV Rank4.8%0.0%9.1%8.6%3.7%
IV Percentile10.2%0.0%29.0%26.6%0.8%
Term Structure4.6%-1.2%9.9%-0.8%-0.6%
VWIV20.4%16.8%23.3%22.5%17.9%
Skew 25d3.1%1.3%4.6%4.4%3.3%
Skew 10d8.6%0.3%27.3%11.8%5.2%
Call IV 25d19.0%17.2%22.4%20.6%19.2%
Put IV 25d22.1%20.2%25.5%25.0%22.5%
Bid-Ask Spread %71.3332.2094.2732.2053.12
Gamma HHI0.430.270.820.590.33
Net GEX-31.6K-386.9K446.0K-357.6K8.2K
Net DEX-6.7M-12.7M-1.4M-5.9M-1.5M
Net VEX-21.3K-30.7K-17.1K-29.0K-21.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.432.150.750.43
Total Volume714.9572181,260986924
Total OI13,249.5655,02817,93017,1266,088

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$30.72$30.0022.2%6.4%26.5%8.6%22.5%4.4%-0.8%-357.6K-5.9M-29.0K0.7532.20N/AN/A5644226,50010,626
2016-08-02$30.23$30.0022.5%6.4%26.8%9.1%22.7%3.1%-1.2%-386.9K-4.1M-30.7K0.4834.03N/AN/A5822786,64810,672
2016-08-03$30.72$30.0021.8%6.3%27.3%7.9%23.3%3.3%-0.3%-324.9K-6.5M-27.9K0.9060.89N/AN/A3062766,66010,630
2016-08-04$30.93$30.0021.9%6.2%27.2%8.0%21.6%4.6%5.7%-176.3K-8.5M-27.3K0.8786.88N/AN/A2722366,69610,620
2016-08-05$31.02$30.0021.9%6.0%27.0%8.0%20.6%3.5%6.9%-121.7K-9.2M-26.3K0.5585.69N/AN/A3021666,70410,620
2016-08-08$31.26$30.0021.1%5.7%27.0%6.5%22.5%4.0%7.4%-95.7K-9.3M-23.2K0.6887.18N/AN/A3002046,68210,628
2016-08-09$31.62$30.0019.7%5.3%26.8%4.0%18.7%4.6%6.9%-168.2K-9.3M-21.6K0.6689.54N/AN/A3142066,61810,632
2016-08-10$31.29$30.0019.1%5.5%27.2%2.8%21.9%3.0%6.2%157.9K-11.6M-19.8K0.6590.00N/AN/A4182706,62210,636
2016-08-11$31.66$30.0017.9%5.1%27.3%0.6%22.2%3.9%7.8%446.0K-12.7M-17.1K0.8360.15N/AN/A3262706,63810,624
2016-08-12$31.57$30.0018.6%5.3%27.2%1.9%21.9%3.6%7.5%392.1K-12.4M-18.1K0.8789.19N/AN/A2822446,68410,624
2016-08-15$31.37$30.0019.2%5.5%27.4%2.9%21.8%3.5%6.4%70.3K-9.3M-21.3K2.1561.29N/AN/A3828226,73410,624
2016-08-16$31.35$30.0019.7%5.7%26.1%4.0%23.2%2.7%6.7%26.7K-8.7M-22.3K0.7957.87N/AN/A2662106,74610,914
2016-08-17$31.14$30.0021.1%6.0%25.8%6.5%21.3%2.2%7.4%-359.4K-9.8M-19.0K0.6764.84N/AN/A2241506,75610,904
2016-08-18$31.35$30.0018.4%5.3%25.4%1.5%20.2%2.4%8.1%-14.7K-11.4M-18.1K1.4162.65N/AN/A1121586,90211,028
2016-08-19$31.36$30.0018.5%5.3%25.3%1.8%20.6%1.8%7.4%24.1K-11.2M-18.2K0.9864.25N/AN/A5505386,89811,032
2016-08-22$31.21$30.0020.4%5.9%24.8%5.3%17.7%2.4%1.7%12.5K-1.7M-17.4K0.9544.13N/AN/A3863682,2822,782
2016-08-23$31.48$30.0016.6%4.8%25.0%0.0%16.8%2.6%-0.5%22.9K-1.9M-17.6K0.6191.81N/AN/A3742282,2542,780
2016-08-24$31.01$30.0020.8%6.0%25.4%7.7%19.6%2.2%1.4%11.7K-1.6M-17.9K0.5659.80N/AN/A140782,2462,782
2016-08-25$31.25$30.0020.6%5.9%16.4%7.2%19.1%1.3%1.8%31.6K-1.9M-17.8K0.8393.21N/AN/A4844042,3762,830
2016-08-26$31.43$30.0014.7%4.2%14.5%0.0%17.7%3.8%2.1%50.8K-1.9M-18.7K1.2394.27N/AN/A5646962,3963,012
2016-08-29$31.25$30.0018.7%5.4%14.5%7.0%17.8%2.8%7.2%23.4K-1.8M-20.0K1.0087.23N/AN/A5665642,4803,252
2016-08-30$31.19$30.0017.7%5.1%13.2%5.2%17.6%3.1%9.9%1.0K-1.4M-20.7K0.6190.43N/AN/A6343842,4843,394
2016-08-31$31.39$30.0016.8%4.8%12.2%3.7%17.9%3.3%-0.6%8.2K-1.5M-21.1K0.4353.12N/AN/A6482762,5343,554