OTEX Options History — May 2017

In May 2017, OTEX traded between $31.72 and $34.82. ATM implied volatility averaged 21.7%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 0.0% (HV 20d: 21.6%). Max pain ranged from $32.50 to $35.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.17.

Notable Days

  • 2017-05-09: Highest Volume — 2,060 contracts
  • 2017-05-23: Largest IV spike — 71.8% change
  • 2017-05-08: Highest IV Rank — 60.1%
  • 2017-05-03: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.04$31.72$34.82$34.76$32.62
Max Pain$34.66$32.50$35.00$32.50$35.00
ATM IV21.7%10.9%38.1%31.8%15.8%
Expected Move5.7%3.1%9.2%9.1%4.5%
HV 20d21.6%10.6%26.2%13.6%25.5%
HV 60d16.3%12.1%18.3%12.3%18.1%
IV Rank22.0%0.0%60.1%44.8%11.2%
IV Percentile38.5%0.0%95.6%82.9%4.8%
Term Structure0.7%-7.6%6.8%-7.3%3.4%
VWIV21.0%12.9%33.0%33.0%17.4%
Skew 25d3.0%-1.4%8.9%1.8%2.2%
Skew 10d6.4%-0.6%14.6%10.9%2.0%
Call IV 25d18.5%11.3%31.7%31.7%12.7%
Put IV 25d21.5%11.3%34.8%33.5%14.9%
Bid-Ask Spread %20.944.6673.1073.1012.12
Gamma HHI0.660.400.940.410.59
Net GEX-670.3K-2.2M-133.9K-162.8K-299.3K
Net DEX3.6M-1.9M11.1M-1.4M3.0M
Net VEX-24.8K-30.3K-19.3K-20.3K-30.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.392.802.080.95
Total Volume843.9553302,060330378
Total OI8,299.9095,52810,9257,9276,214

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$34.76$32.5031.8%9.1%13.6%44.8%33.0%1.8%-7.3%-162.8K-1.4M-20.3K2.0873.10N/AN/A1072232,5165,411
2017-05-02$34.72$32.5031.0%8.9%13.6%42.9%31.3%3.2%-6.8%-174.6K-1.2M-20.4K0.5635.32N/AN/A3862172,5235,447
2017-05-03$34.55$32.5032.2%9.2%13.5%45.7%32.9%3.6%-7.6%-187.0K-1.0M-21.2K1.1245.01N/AN/A2082322,6555,484
2017-05-04$34.55$35.0032.3%6.7%11.3%45.9%23.6%7.8%0.3%-192.0K-426.8K-21.1K0.9321.98N/AN/A2552382,6565,517
2017-05-05$34.77$35.0033.3%6.9%11.4%48.4%24.3%8.9%-0.9%-163.7K-1.3M-20.4K0.7918.41N/AN/A4013182,6415,557
2017-05-08$34.82$35.0038.1%7.1%10.6%60.1%24.2%8.5%-0.7%-133.9K-1.9M-19.3K1.4815.29N/AN/A5458052,8715,638
2017-05-09$32.78$35.0020.4%4.2%24.3%17.3%17.2%2.7%4.4%-992.1K3.5M-19.5K1.9832.52N/AN/A6921,3683,0625,892
2017-05-10$32.92$35.0018.5%5.3%24.4%12.7%15.5%6.7%5.9%-1.2M3.1M-23.6K1.1322.76N/AN/A4034563,3496,423
2017-05-11$32.67$35.0013.2%3.8%24.3%0.0%16.4%2.3%4.0%-1.3M4.3M-24.5K0.8115.93N/AN/A4233413,3876,533
2017-05-12$32.19$35.0020.9%6.0%24.7%18.6%20.2%-0.4%-0.1%-1.4M7.7M-24.2K0.7515.10N/AN/A6504863,4026,652
2017-05-15$32.44$35.0021.9%6.3%24.8%20.9%20.1%-1.4%-3.3%-1.8M6.2M-24.8K0.6915.52N/AN/A6584533,6486,861
2017-05-16$32.49$35.0022.9%6.6%24.6%23.5%20.2%-1.1%-4.4%-2.2M6.0M-25.1K0.7614.31N/AN/A5304043,6466,978
2017-05-17$31.72$35.0021.1%6.1%25.7%19.2%21.7%0.1%0.6%-1.2M10.3M-24.2K1.3948.69N/AN/A4185833,6486,993
2017-05-18$31.83$35.0022.2%6.4%25.5%21.7%22.2%-0.1%-1.4%-1.2M10.5M-25.1K2.8012.11N/AN/A3479733,7487,168
2017-05-19$32.26$35.0021.8%6.2%26.2%20.6%20.0%4.5%-2.6%-282.2K11.1M-25.9K2.6317.23N/AN/A4631,2203,7887,137
2017-05-22$32.55$35.0011.1%3.2%25.9%0.0%22.0%7.1%6.8%-328.9K3.8M-28.1K0.744.66N/AN/A3712731,5953,933
2017-05-23$32.37$35.0019.0%5.5%25.2%18.3%19.7%8.2%1.6%-339.1K4.0M-28.0K0.396.46N/AN/A5522151,6623,951
2017-05-24$32.46$35.0013.8%3.9%25.2%6.2%12.9%2.2%4.4%-310.6K3.4M-29.7K1.0614.08N/AN/A2602761,9154,000
2017-05-25$32.54$35.0010.9%3.1%25.2%0.0%17.1%-0.6%6.4%-315.3K3.2M-30.0K0.788.79N/AN/A2672071,9274,064
2017-05-26$32.55$35.0011.3%3.2%25.2%0.9%13.9%1.2%6.3%-311.9K3.2M-29.9K0.625.96N/AN/A3181961,9474,064
2017-05-30$32.31$35.0013.5%3.9%25.1%5.8%15.1%-0.8%5.7%-310.5K3.5M-29.5K1.275.32N/AN/A1992522,0314,064
2017-05-31$32.62$35.0015.8%4.5%25.5%11.2%17.4%2.2%3.4%-299.3K3.0M-30.3K0.9512.12N/AN/A1941842,0974,117