OTEX Options History — January 2017

In January 2017, OTEX traded between $30.73 and $34.74. ATM implied volatility averaged 31.9%, placing in the 30.2% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 15.1% (HV 20d: 16.8%). Max pain ranged from $30.00 to $60.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.51.

Notable Days

  • 2017-01-25: Highest Volume — 2,120 contracts
  • 2017-01-11: Largest IV spike — 53.8% change
  • 2017-01-30: Highest IV Rank — 69.9%
  • 2017-01-30: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.38$30.73$34.74$30.73$34.29
Max Pain$32.50$30.00$60.00$30.00$35.00
ATM IV31.9%20.5%54.6%23.0%39.6%
Expected Move9.7%6.6%15.7%6.6%11.4%
HV 20d16.8%12.3%24.0%14.0%23.6%
HV 60d18.5%17.0%20.8%17.0%20.6%
IV Rank30.2%10.1%69.9%14.5%43.6%
IV Percentile69.5%12.7%98.4%51.6%94.4%
Term Structure-7.3%-34.8%10.4%8.4%-27.4%
VWIV32.4%23.0%41.4%23.8%41.4%
Skew 25d3.4%-1.7%6.4%1.5%5.6%
Skew 10d9.4%-1.6%19.2%1.5%15.4%
Call IV 25d33.3%21.2%69.0%21.8%38.6%
Put IV 25d36.6%23.4%67.4%23.4%44.2%
Bid-Ask Spread %77.8355.1097.1494.4255.10
Gamma HHI0.370.170.490.410.49
Net GEX35.2K-119.9K242.0K-119.9K242.0K
Net DEX-569.1K-5.4M6.3M612.3K-335.0K
Net VEX-15.5K-19.9K-361-18.0K-11.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.171.690.310.39
Total Volume829.35182,120530798
Total OI6,544.653,15711,0425,36411,042

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$30.73$30.0023.0%6.6%14.0%14.5%23.8%1.5%8.4%-119.9K612.3K-18.0K0.3194.42N/AN/A4041262,3403,024
2017-01-04$31.29$30.0024.9%7.1%15.3%17.9%23.0%3.3%10.4%-66.1K-16.8K-18.0K0.3697.14N/AN/A4061462,3403,036
2017-01-05$31.39$30.0021.6%8.6%14.7%12.0%29.3%3.9%-1.4%-50.2K-206.1K-17.6K0.4279.00N/AN/A3841622,3623,058
2017-01-06$31.34$30.0020.6%8.6%14.6%10.3%30.8%3.5%-2.0%-63.1K-279.5K-17.4K0.3581.64N/AN/A4061442,3743,078
2017-01-09$31.16$30.0022.6%9.2%14.8%13.9%31.5%5.0%-3.5%-68.8K-32.9K-16.9K0.3781.90N/AN/A3781402,4263,078
2017-01-10$31.64$30.0020.5%8.6%15.4%10.1%32.4%4.4%-1.3%-8.9K-885.4K-16.6K0.4975.16N/AN/A3661802,4523,116
2017-01-11$31.88$30.0031.5%9.0%15.5%29.4%33.6%4.9%-2.7%-3.7K-708.8K-17.1K0.4076.77N/AN/A4601822,4163,168
2017-01-12$32.11$30.0032.4%9.3%14.6%31.1%29.9%2.1%-3.4%116.8K-1.7M-16.7K0.3682.27N/AN/A4681702,5163,162
2017-01-13$32.11$30.0031.6%9.0%12.7%29.5%30.1%1.7%-1.8%129.0K-1.7M-16.8K0.4179.32N/AN/A4701922,5443,196
2017-01-17$32.15$30.0032.6%9.3%12.3%31.3%32.8%3.6%-3.4%172.6K-1.8M-16.0K0.3173.56N/AN/A5741762,5503,202
2017-01-18$31.66$30.0033.8%9.7%13.6%33.4%33.3%4.3%-4.6%20.4K-1.1M-16.3K0.4181.26N/AN/A5742362,6483,208
2017-01-19$31.27$30.0034.9%10.0%14.1%35.4%34.3%6.4%-6.3%-50.0K-19.4K-16.9K0.4879.85N/AN/A6363042,6523,300
2017-01-20$31.80$30.0033.0%9.4%14.7%32.0%32.8%3.9%-4.9%-14.3K-935.2K-16.3K1.0278.83N/AN/A5645762,7323,392
2017-01-23$31.82$30.0034.4%9.9%14.7%34.6%36.4%4.5%-6.8%-36.7K-466.0K-17.5K1.6975.54N/AN/A4207102,3583,046
2017-01-24$33.13$30.0035.8%10.3%19.4%37.0%34.4%4.7%-7.2%-10.9K-1.8M-19.9K0.3481.61N/AN/A6982362,4263,626
2017-01-25$34.35$60.0036.3%10.4%22.5%37.9%36.6%2.2%-34.8%-1.2K6.3M-3610.1772.63N/AN/A1,8113091,2951,862
2017-01-26$34.74$35.0037.5%10.7%22.5%39.9%40.2%-0.5%-20.8%233.6K-432.7K-16.5K0.3678.17N/AN/A5261894,8235,605
2017-01-27$34.67$35.0037.7%10.8%22.6%40.2%38.3%3.9%-34.0%233.2K-321.7K-16.1K1.0972.91N/AN/A6006554,8495,612
2017-01-30$34.09$35.0054.6%15.7%24.0%69.9%23.5%-1.7%1.3%49.4K-5.4M-7.7K0.4259.49N/AN/A5722384,9496,030
2017-01-31$34.29$35.0039.6%11.4%23.6%43.6%41.4%5.6%-27.4%242.0K-335.0K-11.2K0.3955.10N/AN/A5732254,9956,047