OTEX Options History — April 2017

In April 2017, OTEX traded between $32.97 and $34.90. ATM implied volatility averaged 23.8%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 10.9% (HV 20d: 12.9%). Max pain ranged from $32.50 to $35.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.10.

Notable Days

  • 2017-04-21: Highest Volume — 1,628 contracts
  • 2017-04-12: Largest IV spike — 71.3% change
  • 2017-04-24: Highest IV Rank — 39.7%
  • 2017-04-24: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.85$32.97$34.90$34.09$34.66
Max Pain$32.89$32.50$35.00$35.00$32.50
ATM IV23.8%15.3%29.7%16.6%29.2%
Expected Move7.4%4.5%8.5%4.8%8.4%
HV 20d12.9%11.2%14.3%12.4%13.6%
HV 60d15.9%12.6%17.7%17.2%12.6%
IV Rank25.5%4.9%39.7%8.0%38.5%
IV Percentile50.2%1.2%80.6%2.4%79.0%
Term Structure-2.1%-6.3%7.7%7.7%-5.2%
VWIV25.2%14.7%30.2%16.4%26.0%
Skew 25d7.9%-1.7%49.2%47.1%11.3%
Skew 10d12.9%-2.1%60.5%60.5%26.4%
Call IV 25d24.7%18.6%29.2%19.5%22.4%
Put IV 25d32.6%20.7%67.8%66.6%33.7%
Bid-Ask Spread %72.6941.99100.9590.1378.58
Gamma HHI0.440.400.470.420.40
Net GEX-254.3K-336.7K-173.4K-179.2K-191.3K
Net DEX561.4K-2.0M2.0M24.0K-557.9K
Net VEX-25.7K-28.1K-21.0K-27.2K-22.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.413.061.931.24
Total Volume526.8952401,628446352
Total OI7,561.8956,9918,0156,9917,885

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$34.09$35.0016.6%4.8%12.4%8.0%16.4%47.1%7.7%-179.2K24.0K-27.2K1.9390.13N/AN/A1522942,2544,737
2017-04-04$33.85$35.0015.7%4.5%12.6%5.7%14.7%49.2%5.6%-201.3K311.6K-27.2K1.5297.90N/AN/A1552362,2624,740
2017-04-05$33.22$35.0018.0%5.2%14.3%11.5%18.6%-1.7%4.4%-284.5K1.4M-27.5K0.41100.95N/AN/A4821992,2744,735
2017-04-06$33.28$32.5016.1%7.2%14.2%6.9%24.9%3.7%-1.9%-296.1K1.6M-27.3K0.4164.11N/AN/A4601892,3004,783
2017-04-07$32.97$32.5017.7%7.3%14.3%10.8%25.0%3.0%-1.2%-331.4K2.0M-27.0K0.9471.49N/AN/A3573372,3434,807
2017-04-10$33.39$32.5016.7%7.6%14.1%8.3%26.0%5.6%-2.8%-311.4K1.8M-27.0K1.1260.33N/AN/A3614042,3484,961
2017-04-11$33.29$32.5015.3%7.6%14.0%4.9%26.8%2.5%-2.8%-332.0K1.8M-28.1K0.5160.05N/AN/A3621862,3565,179
2017-04-12$33.57$32.5026.2%7.5%12.1%31.2%25.6%3.0%-1.9%-306.8K1.4M-28.1K0.9341.99N/AN/A1781662,3755,206
2017-04-13$33.33$32.5027.3%7.8%12.3%33.9%26.0%3.6%-3.0%-336.7K1.8M-28.1K1.1586.32N/AN/A1541772,3885,209
2017-04-17$33.46$32.5027.9%8.0%12.4%35.4%27.8%1.6%-3.5%-306.4K1.5M-27.0K1.2083.95N/AN/A1551862,4125,232
2017-04-18$33.74$32.5027.7%7.9%12.4%35.0%27.1%3.2%-4.1%-274.7K888.6K-25.9K1.1773.89N/AN/A1441692,4565,213
2017-04-19$33.80$32.5026.3%7.5%11.2%31.4%25.9%2.6%-3.2%-254.2K651.5K-25.8K0.4464.67N/AN/A4051772,4565,226
2017-04-20$34.08$32.5026.6%7.6%11.3%32.2%25.4%3.6%-2.1%-173.4K99.3K-25.5K0.4170.75N/AN/A4011632,7575,248
2017-04-21$34.00$32.5027.6%7.9%11.3%34.6%28.7%3.0%-4.0%-264.9K347.2K-25.4K3.0674.11N/AN/A4011,2272,7615,254
2017-04-24$34.44$32.5029.7%8.5%12.1%39.7%26.2%2.8%-6.0%-222.6K-401.7K-24.4K0.4160.45N/AN/A3831582,4885,390
2017-04-25$34.90$32.5029.3%8.4%12.9%38.7%28.6%2.1%-3.5%-173.9K-2.0M-21.0K2.0081.10N/AN/A801602,4855,395
2017-04-26$34.53$32.5029.4%8.4%13.6%38.9%29.1%3.1%-5.4%-199.5K-921.1K-22.5K1.0856.24N/AN/A1421532,4965,374
2017-04-27$34.55$32.5029.7%8.5%13.6%39.7%30.2%1.0%-6.3%-192.1K-1.1M-22.1K1.0164.10N/AN/A1521542,5215,370
2017-04-28$34.66$32.5029.2%8.4%13.6%38.5%26.0%11.3%-5.2%-191.3K-557.9K-22.1K1.2478.58N/AN/A1571952,5185,367