OTEX Options History — February 2017

In February 2017, OTEX traded between $32.99 and $34.04. ATM implied volatility averaged 23.1%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 1.0% (HV 20d: 22.1%). Max pain ranged from $32.50 to $35.00. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.88.

Notable Days

2017-02-06: Highest Volume — 1,329 contracts
2017-02-03: Largest IV drop — 38.1% change
2017-02-02: Highest IV Rank — 49.3%
2017-02-02: Largest Expected Move — 15.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.51	$32.99	$34.04	$33.74	$33.01
Max Pain	$32.89	$32.50	$35.00	$35.00	$32.50
ATM IV	23.1%	18.1%	42.8%	42.6%	20.5%
Expected Move	6.7%	5.2%	15.6%	12.2%	5.9%
HV 20d	22.1%	13.3%	25.3%	24.6%	13.3%
HV 60d	19.5%	18.5%	21.1%	20.9%	18.7%
IV Rank	17.5%	8.4%	49.3%	48.9%	14.5%
IV Percentile	29.1%	3.6%	96.4%	96.0%	15.9%
Term Structure	-0.8%	-42.2%	5.7%	-42.2%	-3.7%
VWIV	20.5%	4.0%	41.9%	41.9%	18.2%
Skew 25d	1.1%	-16.6%	3.7%	2.8%	-2.5%
Skew 10d	2.6%	-29.0%	13.1%	-1.3%	-4.7%
Call IV 25d	22.6%	17.7%	58.0%	39.7%	21.6%
Put IV 25d	23.7%	19.0%	42.5%	42.5%	19.0%
Bid-Ask Spread %	30.42	11.73	78.10	55.59	22.22
Gamma HHI	0.46	0.36	0.64	0.50	0.47
Net GEX	18.4K	-310.3K	309.8K	214.3K	-310.3K
Net DEX	-955.8K	-4.2M	2.4M	414.5K	2.4M
Net VEX	-25.7K	-32.8K	-11.2K	-12.2K	-32.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.88	0.35	2.02	0.36	1.23
Total Volume	673	356	1,329	724	482
Total OI	8,848.263	5,891	11,091	11,071	6,798

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2017-02-01	$33.74	$35.00	42.6%	12.2%	24.6%	48.9%	41.9%	2.8%	-42.2%	214.3K	414.5K	-12.2K	0.36	55.59	N/A	N/A	531	193	5,031	6,040
2017-02-02	$33.28	$35.00	42.8%	15.6%	24.9%	49.3%	4.0%	-16.6%	-0.6%	196.0K	1.0M	-11.2K	0.35	78.10	N/A	N/A	825	291	5,035	6,056
2017-02-03	$33.53	$35.00	26.5%	6.7%	25.0%	20.7%	22.3%	0.3%	1.8%	309.4K	-4.2M	-22.3K	0.62	51.96	N/A	N/A	580	360	4,242	4,413
2017-02-06	$33.25	$32.50	22.2%	6.1%	25.3%	13.1%	21.0%	2.2%	2.6%	309.8K	-3.3M	-22.2K	1.14	17.47	N/A	N/A	620	709	4,523	4,578
2017-02-07	$33.06	$32.50	22.3%	6.1%	25.3%	13.3%	20.8%	1.8%	3.9%	150.4K	-1.9M	-24.0K	0.72	43.50	N/A	N/A	274	197	4,295	5,033
2017-02-08	$32.99	$32.50	20.9%	6.0%	24.9%	10.9%	20.7%	3.5%	3.8%	100.3K	-1.7M	-24.6K	1.37	23.90	N/A	N/A	276	379	4,387	5,145
2017-02-09	$33.14	$32.50	20.6%	5.9%	24.9%	14.7%	21.6%	3.0%	4.6%	100.4K	-1.6M	-26.0K	0.93	40.16	N/A	N/A	292	273	4,385	5,399
2017-02-10	$33.57	$32.50	21.3%	6.1%	25.1%	16.6%	20.4%	3.7%	2.5%	84.8K	-2.1M	-26.3K	0.93	16.94	N/A	N/A	345	322	4,387	5,533
2017-02-13	$33.70	$32.50	22.0%	6.3%	25.1%	18.2%	21.8%	3.5%	1.9%	97.7K	-2.3M	-25.8K	0.77	15.06	N/A	N/A	329	253	4,414	5,635
2017-02-14	$33.79	$32.50	18.9%	5.4%	25.1%	10.4%	21.0%	3.1%	4.2%	-20.7K	-2.5M	-25.5K	0.65	11.73	N/A	N/A	325	210	4,419	5,683
2017-02-15	$34.04	$32.50	19.2%	5.5%	24.2%	11.2%	19.8%	1.9%	4.1%	287.4K	-3.0M	-25.2K	0.46	14.12	N/A	N/A	416	193	4,375	5,741
2017-02-16	$33.93	$32.50	18.1%	5.2%	23.6%	8.4%	18.0%	2.4%	5.7%	-79.8K	-2.3M	-25.5K	0.36	13.48	N/A	N/A	486	177	4,364	5,824
2017-02-17	$33.53	$32.50	19.7%	5.7%	23.8%	12.6%	18.9%	1.6%	4.6%	-111.0K	-1.8M	-26.7K	1.40	14.67	N/A	N/A	417	584	4,446	5,839
2017-02-21	$33.62	$32.50	21.2%	6.1%	23.8%	16.3%	18.7%	2.7%	-2.6%	-137.2K	456.7K	-29.0K	2.02	17.52	N/A	N/A	276	557	1,986	3,905
2017-02-22	$33.79	$32.50	18.7%	5.4%	19.2%	10.0%	20.4%	1.9%	-0.1%	-171.2K	790.0K	-31.8K	0.54	63.56	N/A	N/A	234	127	2,007	4,356
2017-02-23	$33.71	$32.50	20.1%	5.8%	14.1%	13.5%	19.9%	1.1%	-0.5%	-193.2K	774.3K	-31.7K	0.98	21.28	N/A	N/A	201	196	2,062	4,422
2017-02-24	$33.47	$32.50	20.4%	5.9%	13.5%	14.3%	19.9%	1.9%	-1.0%	-233.6K	1.3M	-32.3K	1.17	25.78	N/A	N/A	231	270	2,071	4,515
2017-02-27	$33.52	$32.50	21.1%	6.1%	13.5%	16.0%	19.7%	2.4%	-3.5%	-243.8K	1.3M	-32.7K	0.63	30.86	N/A	N/A	218	138	2,105	4,668
2017-02-28	$33.01	$32.50	20.5%	5.9%	13.3%	14.5%	18.2%	-2.5%	-3.7%	-310.3K	2.4M	-32.8K	1.23	22.22	N/A	N/A	216	266	2,107	4,691