OTEX Options History — December 2016

In December 2016, OTEX traded between $30.26 and $31.15. ATM implied volatility averaged 23.1%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 4.3% (HV 20d: 18.9%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.05.

Notable Days

  • 2016-12-14: Highest Volume — 2,452 contracts
  • 2016-12-12: Largest IV spike — 31.9% change
  • 2016-12-13: Highest IV Rank — 28.6%
  • 2016-12-28: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.78$30.26$31.15$31.09$30.84
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV23.1%20.9%31.0%22.1%21.4%
Expected Move6.3%6.0%6.6%6.3%6.1%
HV 20d18.9%14.0%22.8%22.7%14.0%
HV 60d18.1%16.1%27.6%27.6%17.0%
IV Rank14.8%10.9%28.6%13.0%11.7%
IV Percentile43.8%21.8%74.6%40.1%22.2%
Term Structure7.3%5.7%12.6%12.6%9.8%
VWIV22.5%21.3%24.2%23.4%22.4%
Skew 25d3.0%0.6%7.0%7.0%0.9%
Skew 10d8.0%0.7%12.9%12.2%0.7%
Call IV 25d20.9%19.6%22.2%20.8%21.1%
Put IV 25d23.9%21.9%27.7%27.7%21.9%
Bid-Ask Spread %79.6539.4994.8593.6794.85
Gamma HHI0.440.360.710.360.39
Net GEX-145.7K-524.1K-42.2K-42.2K-97.3K
Net DEX1.0M7.5K4.8M7.5K354.5K
Net VEX-18.4K-19.3K-16.8K-17.2K-18.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.343.450.830.35
Total Volume917.0484242,452488568
Total OI5,235.0484,2147,2044,2145,350

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$31.09$30.0022.1%6.3%22.7%13.0%23.4%7.0%12.6%-42.2K7.5K-17.2K0.8393.67N/AN/A2662221,8222,392
2016-12-02$31.15$30.0020.9%6.0%22.6%10.9%22.1%2.9%6.0%-62.4K78.9K-17.4K0.5993.28N/AN/A2661581,8282,490
2016-12-05$30.95$30.0023.9%6.3%22.8%16.1%22.2%3.6%6.1%-68.8K168.2K-16.8K0.5590.67N/AN/A3822101,8282,528
2016-12-06$30.61$30.0024.7%6.2%22.8%17.4%22.6%3.6%6.4%-128.1K932.2K-17.6K0.6388.67N/AN/A3782381,9502,624
2016-12-07$30.80$30.0024.0%6.3%21.5%16.3%22.1%3.9%6.1%-121.9K725.4K-17.9K0.6086.07N/AN/A4082442,0022,746
2016-12-08$30.75$30.0024.0%6.3%21.1%16.2%22.9%3.4%6.2%-134.5K825.6K-18.4K0.5088.96N/AN/A3961982,0042,834
2016-12-09$30.57$30.0022.1%6.2%21.1%12.9%23.2%3.4%7.9%-147.1K878.6K-18.5K0.4987.65N/AN/A3861882,0482,872
2016-12-12$30.63$30.0029.1%6.5%20.1%25.2%22.6%3.8%6.1%-167.5K1.0M-17.5K3.4587.86N/AN/A4741,6362,0482,874
2016-12-13$31.15$30.0031.0%6.5%17.7%28.6%23.5%2.9%5.7%-240.3K806.3K-18.9K3.3192.10N/AN/A4361,4442,1283,840
2016-12-14$30.59$30.0021.9%6.3%18.0%12.7%22.9%3.5%7.1%-482.7K4.8M-18.8K3.1669.45N/AN/A5901,8622,1785,026
2016-12-15$30.41$30.0021.9%6.3%17.3%12.6%23.0%2.5%6.5%-524.1K4.2M-18.6K1.8748.33N/AN/A6721,2582,2424,580
2016-12-16$30.26$30.0021.4%6.1%17.2%11.7%21.5%1.1%7.6%-108.8K3.3M-18.6K2.1439.49N/AN/A5741,2302,3784,544
2016-12-19$30.61$30.0021.5%6.2%17.7%11.9%21.6%2.6%6.8%-101.6K888.4K-18.5K0.5448.35N/AN/A3962122,1142,714
2016-12-20$30.96$30.0022.0%6.3%18.1%12.8%22.3%2.4%6.8%-69.1K257.9K-19.2K0.4661.29N/AN/A3921822,1822,776
2016-12-21$31.05$30.0022.8%6.5%17.5%14.2%21.8%3.5%5.7%-69.0K244.3K-19.3K0.4142.68N/AN/A3761562,2182,812
2016-12-22$30.66$30.0021.6%6.2%17.1%12.0%24.2%2.4%9.2%-96.5K599.5K-19.2K0.5291.28N/AN/A3741962,2222,838
2016-12-23$30.77$30.0022.1%6.3%17.0%12.9%23.9%3.9%7.6%-100.0K658.3K-19.0K0.4889.94N/AN/A3741782,2362,886
2016-12-27$30.78$30.0021.9%6.3%16.8%12.6%21.3%3.3%7.7%-110.4K673.3K-18.2K0.4490.68N/AN/A4101822,2362,888
2016-12-28$30.77$30.0023.1%6.6%16.3%14.7%22.2%1.3%6.5%-97.8K434.6K-19.2K0.3593.89N/AN/A4261482,3103,004
2016-12-29$31.04$30.0022.4%6.4%16.4%13.4%21.6%0.6%7.8%-90.7K288.9K-18.9K0.3493.59N/AN/A4281442,3323,012
2016-12-30$30.84$30.0021.4%6.1%14.0%11.7%22.4%0.9%9.8%-97.3K354.5K-18.7K0.3594.85N/AN/A4201482,3363,014