OTEX Options History — September 2016

In September 2016, OTEX traded between $29.88 and $33.30. ATM implied volatility averaged 21.9%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 11.1% (HV 20d: 33.1%). Max pain ranged from $30.00 to $32.50. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.95.

Notable Days

  • 2016-09-12: Highest Volume — 4,232 contracts
  • 2016-09-09: Largest IV spike — 56.6% change
  • 2016-09-13: Highest IV Rank — 27.5%
  • 2016-09-13: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.32$29.88$33.30$31.52$32.48
Max Pain$32.26$30.00$32.50$30.00$32.50
ATM IV21.9%15.8%30.4%16.3%20.3%
Expected Move6.2%4.7%7.1%4.7%5.8%
HV 20d33.1%11.2%40.9%12.0%40.9%
HV 60d27.8%22.3%31.4%22.6%28.7%
IV Rank12.7%1.9%27.5%2.8%9.7%
IV Percentile33.9%0.4%75.4%0.4%14.7%
Term Structure7.2%1.0%10.4%1.0%10.4%
VWIV23.1%17.5%27.5%18.1%22.1%
Skew 25d3.1%1.2%5.2%1.8%1.6%
Skew 10d6.2%0.2%12.3%4.2%2.7%
Call IV 25d21.5%17.2%24.1%18.9%22.5%
Put IV 25d24.6%20.8%27.1%20.8%24.1%
Bid-Ask Spread %87.8581.6296.8494.3590.14
Gamma HHI0.350.300.490.330.34
Net GEX81.5K-226.5K413.8K16.9K30.7K
Net DEX-2.3M-4.8M2.3M-1.7M-2.1M
Net VEX-32.3K-39.1K-21.3K-21.4K-33.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.302.150.740.64
Total Volume1,215.2386804,232802738
Total OI9,386.196,15411,8086,15410,530

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$31.52$30.0016.3%4.7%12.0%2.8%18.1%1.8%1.0%16.9K-1.7M-21.4K0.7494.35N/AN/A4603422,5523,602
2016-09-02$31.89$30.0017.1%4.9%12.6%4.1%17.5%4.5%1.9%73.5K-2.4M-21.3K1.3794.41N/AN/A4145682,6323,678
2016-09-06$31.82$32.5018.8%5.5%12.4%7.1%21.2%1.8%6.4%45.1K-2.3M-21.3K0.6484.10N/AN/A4142662,6384,054
2016-09-07$31.77$32.5018.7%5.4%11.8%7.0%20.9%2.9%6.7%38.3K-1.9M-22.8K2.1588.71N/AN/A3988562,6524,178
2016-09-08$31.66$32.5015.8%5.2%11.2%1.9%21.4%2.2%7.4%473-1.2M-25.6K1.1087.26N/AN/A5025502,7024,702
2016-09-09$29.88$32.5024.7%6.5%23.1%17.5%23.1%2.8%6.7%-226.5K2.3M-27.6K1.6484.11N/AN/A8021,3162,8344,794
2016-09-12$32.69$32.5028.0%7.1%40.2%23.2%23.6%3.7%5.8%80.0K-2.9M-27.4K0.3081.62N/AN/A3,2569763,0485,400
2016-09-13$32.25$32.5030.4%7.1%40.5%27.5%25.0%3.0%6.1%236.8K-3.7M-37.5K1.0583.42N/AN/A4985245,1385,608
2016-09-14$32.80$32.5024.1%6.9%40.8%16.5%26.6%3.3%6.5%312.1K-4.8M-37.3K1.6182.20N/AN/A7741,2505,1985,908
2016-09-15$32.70$32.5023.9%6.9%40.8%16.1%27.0%3.5%6.0%332.6K-4.6M-39.1K1.0383.68N/AN/A8769045,2366,572
2016-09-16$32.44$32.5023.0%6.6%40.9%14.6%26.3%2.7%7.0%413.8K-2.9M-38.8K0.7384.43N/AN/A6384685,0346,588
2016-09-19$32.52$32.5022.4%6.4%40.9%13.5%26.8%4.0%8.8%-11.9K-1.6M-37.6K0.9488.81N/AN/A4824543,9805,954
2016-09-20$32.76$32.5022.3%6.4%40.9%13.4%25.5%5.2%8.6%18.7K-2.1M-36.0K0.8789.72N/AN/A4924303,9805,976
2016-09-21$33.09$32.5022.9%6.6%40.9%14.3%27.5%5.2%8.8%55.8K-2.7M-36.0K0.9396.84N/AN/A4744424,0206,054
2016-09-22$33.30$32.5021.9%6.3%40.4%12.7%21.8%4.0%7.9%90.5K-2.6M-36.5K0.6984.88N/AN/A4963404,0226,056
2016-09-23$32.83$32.5021.2%6.1%40.8%11.4%19.7%2.9%8.6%44.2K-2.4M-36.0K0.6890.58N/AN/A4783264,0486,062
2016-09-26$32.63$32.5022.4%6.4%40.9%13.4%23.3%4.2%8.7%32.5K-2.1M-35.1K0.5389.42N/AN/A6563464,1646,074
2016-09-27$32.72$32.5021.6%6.2%40.8%12.0%21.6%2.1%9.5%77.1K-2.6M-35.4K0.8291.87N/AN/A4203464,3846,094
2016-09-28$32.50$32.5022.3%6.4%40.9%13.3%25.4%1.2%8.7%31.0K-2.0M-35.8K0.7687.36N/AN/A4583464,3726,092
2016-09-29$32.47$32.5022.6%6.5%40.9%13.8%21.3%2.6%9.1%20.3K-1.8M-35.5K0.6486.92N/AN/A4542904,3926,108
2016-09-30$32.48$32.5020.3%5.8%40.9%9.7%22.1%1.6%10.4%30.7K-2.1M-33.9K0.6490.14N/AN/A4502884,4006,130