OTEX Options History — March 2017

In March 2017, OTEX traded between $33.17 and $34.66. ATM implied volatility averaged 19.1%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 6.7% (HV 20d: 12.4%). Max pain ranged from $32.50 to $35.00. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.68.

Notable Days

  • 2017-03-07: Highest Volume — 600 contracts
  • 2017-03-13: Largest IV spike — 39.8% change
  • 2017-03-13: Highest IV Rank — 37.4%
  • 2017-03-02: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.81$33.17$34.66$33.19$34.00
Max Pain$34.67$32.50$35.00$32.50$35.00
ATM IV19.1%13.3%29.6%19.7%13.3%
Expected Move5.1%3.8%6.2%5.7%3.8%
HV 20d12.4%10.5%14.2%13.3%12.5%
HV 60d17.6%17.2%18.0%18.0%17.2%
IV Rank11.4%0.0%37.4%12.6%0.0%
IV Percentile15.4%0.0%77.0%9.5%0.0%
Term Structure4.9%-3.6%9.7%-0.3%9.7%
VWIV17.6%12.6%21.2%21.2%12.6%
Skew 25d13.7%-2.0%45.4%-1.1%4.6%
Skew 10d17.5%-3.4%56.2%-1.0%2.3%
Call IV 25d18.1%15.2%21.8%21.0%15.3%
Put IV 25d31.8%16.4%63.0%19.8%19.9%
Bid-Ask Spread %62.8612.14102.0020.2691.56
Gamma HHI0.430.410.460.460.41
Net GEX-194.7K-290.0K120.5K-290.0K-171.7K
Net DEX454.8K-1.9M2.2M2.2M54.4K
Net VEX-30.5K-34.4K-27.6K-33.4K-28.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.261.610.261.61
Total Volume439.522255600599418
Total OI7,138.1746,5387,5537,0136,977

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-03-01$33.19$32.5019.7%5.7%13.3%12.6%21.2%-1.1%-0.3%-290.0K2.2M-33.4K0.2620.26N/AN/A4771222,1674,846
2017-03-02$33.24$32.5021.8%6.2%12.2%17.7%18.6%-0.1%-3.6%-254.2K1.4M-34.3K0.3421.28N/AN/A3761282,4134,858
2017-03-03$33.20$32.5020.5%5.9%11.2%14.6%17.2%5.1%-1.9%-273.4K1.6M-34.4K0.3512.14N/AN/A4021402,4284,864
2017-03-06$33.40$35.0020.6%4.8%11.0%14.8%18.4%1.0%4.5%-246.2K1.3M-33.7K0.3117.63N/AN/A3611112,4584,863
2017-03-07$33.29$35.0020.9%5.1%10.7%15.6%17.8%4.4%5.7%-268.3K1.5M-33.2K0.3018.29N/AN/A4601402,4824,864
2017-03-08$33.17$35.0020.1%5.1%10.5%13.6%18.4%1.4%5.4%-284.9K1.5M-33.6K0.2819.11N/AN/A4531252,5234,894
2017-03-09$33.37$35.0021.0%4.5%10.7%15.7%17.7%1.7%6.3%-279.5K1.3M-33.4K0.4421.86N/AN/A2731192,5234,928
2017-03-10$33.58$35.0021.2%4.8%10.8%16.3%17.2%4.9%6.9%-244.0K920.5K-32.9K0.6819.49N/AN/A2151472,5704,949
2017-03-13$34.08$35.0029.6%5.4%11.1%37.4%18.9%28.2%4.0%-110.2K-26.8K-31.9K1.0590.25N/AN/A1361432,5764,964
2017-03-14$33.96$35.0023.3%5.3%11.1%21.5%18.6%-2.0%4.6%-144.9K11.9K-31.5K0.9381.92N/AN/A1321232,5864,963
2017-03-15$34.66$35.0017.5%5.0%13.2%7.1%17.5%0.5%6.8%-63.8K-1.9M-27.9K0.57102.00N/AN/A2051172,5844,969
2017-03-16$34.58$35.0018.0%5.2%13.1%8.2%18.0%0.2%4.5%120.5K-1.6M-28.5K0.5181.78N/AN/A2511272,5484,951
2017-03-17$34.45$35.0018.0%5.2%13.1%8.2%18.0%-0.2%4.6%-167.0K-953.8K-27.8K0.3583.32N/AN/A3561252,5534,963
2017-03-20$34.09$35.0016.8%4.8%12.9%5.3%16.8%32.4%6.1%-196.8K-35.2K-28.5K0.4685.68N/AN/A189872,0034,535
2017-03-21$33.58$35.0017.7%5.1%14.1%7.5%17.9%-1.8%7.3%-233.7K775.8K-29.0K0.6182.95N/AN/A1901161,9944,555
2017-03-22$33.80$35.0017.4%5.0%14.2%6.9%17.5%-0.7%5.3%-214.8K912.7K-30.1K0.8074.46N/AN/A2922342,0264,598
2017-03-23$33.88$35.0018.4%5.3%14.1%9.3%18.7%34.4%4.4%-207.0K467.4K-29.3K0.7484.72N/AN/A3252392,1104,687
2017-03-24$34.00$35.0014.4%4.1%13.9%0.0%13.6%35.7%7.8%-182.8K288.5K-29.2K1.0885.82N/AN/A1872022,1494,711
2017-03-27$33.98$35.0018.2%5.2%13.9%9.5%18.0%38.3%5.6%-192.7K331.4K-28.5K0.9883.59N/AN/A1951922,1444,710
2017-03-28$33.99$35.0018.0%5.2%12.6%9.1%18.0%42.1%5.8%-200.9K55.3K-27.6K1.0783.99N/AN/A2042192,1544,711
2017-03-29$34.03$35.0017.2%4.9%12.5%7.0%17.0%40.6%5.4%-191.7K343.7K-27.6K0.9593.26N/AN/A3012852,1274,722
2017-03-30$34.02$35.0016.3%4.7%12.5%4.9%16.2%45.4%8.1%-180.4K14.7K-28.0K0.9990.44N/AN/A2362342,2114,767
2017-03-31$34.00$35.0013.3%3.8%12.5%0.0%12.6%4.6%9.7%-171.7K54.4K-28.1K1.6191.56N/AN/A1602582,2344,743