OTEX Options History — October 2016

In October 2016, OTEX traded between $30.86 and $32.60. ATM implied volatility averaged 31.4%, placing in the 29.2% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 14.4% (HV 20d: 17.0%). Max pain ranged from $30.00 to $32.50. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.79.

Notable Days

  • 2016-10-25: Highest Volume — 1,132 contracts
  • 2016-10-12: Largest IV spike — 48.6% change
  • 2016-10-31: Highest IV Rank — 48.4%
  • 2016-10-31: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.96$30.86$32.60$32.38$31.00
Max Pain$30.36$30.00$32.50$32.50$30.00
ATM IV31.4%20.3%42.3%21.7%42.3%
Expected Move9.6%6.1%12.1%6.2%12.1%
HV 20d17.0%6.9%40.8%40.8%11.5%
HV 60d27.2%25.0%28.7%28.7%25.2%
IV Rank29.2%9.8%48.4%12.2%48.4%
IV Percentile67.5%15.1%94.8%30.6%94.8%
Term Structure-2.9%-9.5%11.5%10.4%-9.5%
VWIV34.2%21.4%40.8%21.4%40.8%
Skew 25d2.5%1.2%4.5%2.5%4.0%
Skew 10d6.2%0.7%8.7%3.6%7.8%
Call IV 25d33.3%23.7%40.6%24.2%40.6%
Put IV 25d35.8%26.4%44.6%26.6%44.6%
Bid-Ask Spread %68.3759.3491.8288.7168.60
Gamma HHI0.400.330.550.330.52
Net GEX-126.8K-393.8K39.5K16.6K-367.2K
Net DEX-46.6K-2.1M3.5M-1.5M3.1M
Net VEX-30.1K-34.0K-26.9K-34.0K-28.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.431.180.680.45
Total Volume835.9056801,1326861,100
Total OI10,9789,98211,74610,57211,282

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$32.38$32.5021.7%6.2%40.8%12.2%21.4%2.5%10.4%16.6K-1.5M-34.0K0.6888.71N/AN/A4082784,4146,158
2016-10-04$32.48$32.5022.1%6.3%40.8%12.9%22.4%3.3%10.1%34.7K-1.7M-33.5K0.5888.04N/AN/A4622704,4146,158
2016-10-05$32.49$32.5021.4%6.1%40.7%11.7%23.7%2.7%11.5%21.8K-1.9M-33.2K0.8391.82N/AN/A4223524,4146,180
2016-10-06$32.60$30.0020.6%9.3%40.7%10.3%33.0%4.5%-3.8%39.5K-2.1M-32.1K0.8966.47N/AN/A3963524,4206,216
2016-10-07$32.34$30.0020.3%9.2%34.4%9.8%34.2%1.4%-2.8%-11.8K-1.8M-30.8K0.8461.87N/AN/A3963344,4166,216
2016-10-10$32.22$30.0022.0%9.7%12.3%12.7%34.2%1.5%-4.2%-34.0K-1.4M-30.3K0.6864.06N/AN/A4282924,4186,338
2016-10-11$31.93$30.0022.5%9.4%11.8%13.7%35.2%3.9%-3.1%-96.2K-588.6K-30.6K1.1662.75N/AN/A4304984,4186,424
2016-10-12$31.94$30.0033.5%9.6%9.9%32.8%33.9%2.7%-3.8%-74.2K-316.4K-30.3K0.6262.23N/AN/A4742944,4186,670
2016-10-13$31.91$30.0033.9%9.7%9.9%33.6%34.1%3.0%-4.6%-156.4K311.2K-31.4K0.4365.47N/AN/A5762464,5046,760
2016-10-14$32.16$30.0033.8%9.7%10.1%33.4%34.2%2.1%-4.5%-64.9K-607.2K-30.7K0.7065.20N/AN/A4723304,4646,778
2016-10-17$32.08$30.0035.1%10.1%10.0%35.7%35.3%1.5%-4.7%-148.0K-500.0K-29.0K0.9263.82N/AN/A4023684,4746,886
2016-10-18$32.20$30.0035.3%10.1%9.8%36.0%36.1%2.4%-4.9%-98.4K-986.5K-28.5K0.9362.95N/AN/A3523284,4747,014
2016-10-19$32.21$30.0035.3%10.1%8.8%36.1%35.7%2.0%-4.8%-77.5K-477.5K-28.6K0.7065.16N/AN/A4082844,4747,042
2016-10-20$32.20$30.0035.0%10.0%8.4%35.6%36.9%1.6%-4.3%-92.9K-181.7K-28.6K0.8163.47N/AN/A4083304,5447,142
2016-10-21$32.17$30.0035.4%10.2%6.9%36.3%36.7%1.9%-5.5%-122.8K150.7K-28.2K0.9962.81N/AN/A4824784,5387,208
2016-10-24$32.33$30.0036.9%10.6%6.9%38.9%37.4%2.3%-7.3%-136.2K-310.3K-26.9K0.9665.27N/AN/A5084903,4866,496
2016-10-25$31.73$30.0035.6%10.2%9.3%36.7%37.6%2.9%-4.9%-212.2K485.3K-28.5K1.0067.43N/AN/A5665663,5886,784
2016-10-26$31.11$30.0037.7%10.8%11.2%40.3%37.9%1.2%-6.3%-303.6K2.5M-29.8K1.1871.92N/AN/A4405203,6727,060
2016-10-27$30.91$30.0038.7%11.1%11.3%42.0%38.1%1.9%-7.0%-393.8K3.4M-29.5K0.6959.34N/AN/A5303683,6927,310
2016-10-28$30.86$30.0039.8%11.4%11.3%44.0%39.2%4.1%-7.7%-385.1K3.5M-29.9K0.5568.39N/AN/A5923243,7767,398
2016-10-31$31.00$30.0042.3%12.1%11.5%48.4%40.8%4.0%-9.5%-367.2K3.1M-28.4K0.4568.60N/AN/A7583423,8587,424