OTEX Options History — November 2016

In November 2016, OTEX traded between $29.50 and $31.89. ATM implied volatility averaged 26.2%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 7.9% (HV 20d: 18.3%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2016-11-04: Highest Volume — 1,268 contracts
  • 2016-11-04: Largest IV drop — 29.7% change
  • 2016-11-03: Highest IV Rank — 56.6%
  • 2016-11-02: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.80$29.50$31.89$30.66$31.89
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV26.2%16.6%47.0%44.7%19.9%
Expected Move7.2%4.8%12.9%12.8%5.7%
HV 20d18.3%11.7%22.0%11.7%21.3%
HV 60d26.3%25.1%27.2%25.2%27.2%
IV Rank20.2%3.3%56.6%52.5%9.0%
IV Percentile50.8%1.2%97.2%97.2%11.5%
Term Structure0.7%-11.4%5.3%-11.4%0.4%
VWIV25.1%19.2%45.2%42.1%21.2%
Skew 25d3.9%-0.8%6.4%3.4%3.8%
Skew 10d8.9%2.2%37.9%6.2%4.4%
Call IV 25d23.7%19.1%44.7%41.7%20.4%
Put IV 25d27.6%22.7%48.2%45.1%24.2%
Bid-Ask Spread %89.6668.7298.1973.7589.72
Gamma HHI0.600.350.960.510.36
Net GEX-577.7K-1.9M94-381.7K94
Net DEX2.2M-902.7K9.6M4.0M-902.7K
Net VEX-18.2K-28.3K-13.2K-28.3K-16.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.391.160.390.72
Total Volume728.8574001,268956460
Total OI8,862.4763,16011,88411,5544,184

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$30.66$30.0044.7%12.8%11.7%52.5%42.1%3.4%-11.4%-381.7K4.0M-28.3K0.3973.75N/AN/A6902664,1227,432
2016-11-02$30.23$30.0045.1%12.9%12.3%53.2%45.2%3.5%-10.9%-417.7K5.2M-28.2K0.9268.72N/AN/A4724324,4027,452
2016-11-03$30.44$30.0047.0%9.8%12.7%56.6%34.0%5.1%-2.1%-367.6K4.2M-28.1K0.5471.89N/AN/A5002724,4267,398
2016-11-04$30.41$30.0033.0%8.8%12.6%32.1%28.4%6.0%-0.6%-589.3K4.1M-24.6K0.3987.28N/AN/A9123564,4707,414
2016-11-07$30.77$30.0028.1%6.8%13.6%23.5%23.1%3.9%4.5%-773.2K3.3M-19.8K1.1083.03N/AN/A4845324,0647,310
2016-11-08$31.43$30.0024.7%6.2%15.7%17.5%23.9%5.8%5.3%-643.4K-261.0K-16.5K0.5289.06N/AN/A5883084,1107,252
2016-11-09$31.05$30.0023.9%6.8%16.2%16.0%23.0%4.6%2.9%-836.9K2.3M-17.4K1.1695.80N/AN/A3684283,9947,192
2016-11-10$30.91$30.0024.1%6.9%16.2%16.5%22.9%5.3%3.1%-760.6K2.3M-17.6K0.6990.32N/AN/A3822643,9987,256
2016-11-11$30.36$30.0023.6%6.8%16.8%15.6%23.0%1.0%5.0%-1.0M3.7M-18.0K0.6495.59N/AN/A3742404,0427,176
2016-11-14$29.50$30.0023.4%6.7%19.2%15.2%23.6%3.0%4.3%-1.3M9.6M-14.6K0.7191.47N/AN/A4283064,0447,160
2016-11-15$30.07$30.0022.2%6.4%20.8%13.1%22.9%4.2%5.1%-1.9M5.8M-16.2K0.9493.63N/AN/A3383184,0407,204
2016-11-16$30.53$30.0022.4%6.4%21.7%13.4%22.5%6.0%5.3%-1.7M2.2M-14.7K0.4995.49N/AN/A4162044,0387,138
2016-11-17$30.76$30.0022.1%6.3%22.0%13.0%21.1%6.4%4.5%-1.0M982.9K-13.9K0.4591.24N/AN/A5302384,1107,148
2016-11-18$30.70$30.0022.0%6.3%22.0%12.7%21.8%5.1%5.1%-57.9K-731.1K-13.2K0.6493.22N/AN/A5023224,0806,992
2016-11-21$30.54$30.0020.7%5.9%21.9%10.5%20.7%3.0%0.1%-63.7K657.8K-13.6K0.9493.04N/AN/A4424141,3101,850
2016-11-22$30.93$30.0022.6%6.5%21.7%13.9%22.6%4.0%-2.0%-68.1K484.3K-15.4K0.4994.02N/AN/A4562241,4522,104
2016-11-23$31.41$30.0021.0%6.0%21.4%11.0%22.1%1.2%-2.1%-44.0K-75.8K-15.5K0.8795.45N/AN/A2362061,5482,172
2016-11-25$31.16$30.0022.6%6.5%21.4%13.9%22.5%2.9%1.7%-53.5K90.9K-16.4K0.4996.12N/AN/A3541741,6222,258
2016-11-28$31.32$30.0016.6%4.8%21.5%3.3%19.2%4.2%0.0%-46.2K37.9K-16.3K0.6498.19N/AN/A2861841,6762,328
2016-11-29$31.66$30.0021.3%6.1%21.7%11.5%20.9%-0.8%-4.4%-33.2K-366.5K-16.7K0.8095.85N/AN/A2221781,7442,400
2016-11-30$31.89$30.0019.9%5.7%21.3%9.0%21.2%3.8%0.4%94-902.7K-16.4K0.7289.72N/AN/A2681921,7842,400