OTEX Options History — June 2017

In June 2017, OTEX traded between $31.12 and $32.83. ATM implied volatility averaged 22.5%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 4.8% (HV 20d: 17.7%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.70.

Notable Days

  • 2017-06-27: Highest Volume — 2,098 contracts
  • 2017-06-12: Largest IV spike — 78.2% change
  • 2017-06-12: Highest IV Rank — 81.4%
  • 2017-06-20: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.16$31.12$32.83$32.78$31.60
Max Pain$32.50$30.00$35.00$35.00$30.00
ATM IV22.5%12.0%46.5%12.0%19.9%
Expected Move5.8%3.4%6.9%3.4%5.7%
HV 20d17.7%12.6%25.7%25.7%19.5%
HV 60d18.5%17.3%19.7%18.1%19.7%
IV Rank26.6%2.4%81.4%2.4%20.6%
IV Percentile47.5%1.2%99.2%1.2%23.8%
Term Structure2.1%-4.2%8.2%5.0%8.2%
VWIV21.5%16.6%28.6%16.6%21.9%
Skew 25d-1.4%-7.0%4.3%1.3%4.3%
Skew 10d1.4%-7.7%21.5%2.5%21.5%
Call IV 25d21.9%12.7%29.8%12.7%18.5%
Put IV 25d20.6%14.0%23.0%14.0%22.9%
Bid-Ask Spread %21.623.9546.2011.3537.13
Gamma HHI0.470.370.570.560.37
Net GEX-230.8K-289.1K-168.4K-283.2K-256.6K
Net DEX3.2M2.2M5.4M2.5M4.7M
Net VEX-30.4K-32.8K-28.6K-30.1K-31.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.101.230.770.11
Total Volume801.9552632,0984161,820
Total OI7,252.2276,2979,0526,3019,052

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$32.78$35.0012.0%3.4%25.7%2.4%16.6%1.3%5.0%-283.2K2.5M-30.1K0.7711.35N/AN/A2351812,1884,113
2017-06-02$32.76$35.0013.2%3.8%25.7%5.1%18.5%-1.4%2.1%-282.1K2.5M-30.0K0.813.95N/AN/A2141732,1934,104
2017-06-05$32.80$30.0017.0%4.6%25.5%14.0%18.9%1.5%4.2%-273.2K2.5M-29.7K1.0822.67N/AN/A1591712,2434,103
2017-06-06$32.71$30.0017.6%4.0%25.4%15.4%18.5%-0.5%3.6%-277.6K2.6M-29.3K1.1320.22N/AN/A1591802,2444,102
2017-06-07$32.60$30.0018.0%4.8%13.8%16.3%18.3%0.0%2.5%-289.1K2.9M-29.2K1.0822.02N/AN/A1551682,2344,109
2017-06-08$32.83$30.0021.1%4.1%14.0%23.3%17.5%2.4%4.1%-282.4K2.4M-28.9K0.6822.62N/AN/A2531712,2384,077
2017-06-09$32.66$30.0026.1%6.0%13.8%34.7%19.6%2.7%3.7%-275.8K2.6M-29.2K0.1034.68N/AN/A1,8441912,2674,068
2017-06-12$32.39$30.0046.5%6.4%13.1%81.4%20.8%-1.0%-0.4%-187.6K2.4M-32.6K1.1118.11N/AN/A1852063,1734,096
2017-06-13$32.51$30.0030.2%5.5%12.8%44.2%20.4%1.7%1.8%-186.8K2.2M-32.8K1.2318.48N/AN/A1672053,2274,164
2017-06-14$32.03$30.0023.8%6.8%13.9%29.5%23.1%-3.9%-4.2%-214.3K3.2M-31.3K1.1446.20N/AN/A1852113,1944,159
2017-06-15$31.47$30.0022.6%6.5%12.6%26.6%23.6%-2.7%0.7%-222.7K4.2M-29.5K0.9212.64N/AN/A2242063,2134,172
2017-06-16$31.32$30.0022.3%6.4%12.6%26.0%23.4%-3.0%0.8%-228.0K4.6M-29.8K0.9711.28N/AN/A2142083,2784,193
2017-06-19$32.45$35.0023.3%6.7%17.4%28.3%20.7%0.1%1.1%-184.7K2.3M-31.5K0.7918.04N/AN/A1471162,8414,051
2017-06-20$32.22$35.0024.0%6.9%17.3%30.0%21.5%-2.7%-1.7%-203.8K2.7M-30.6K0.6516.29N/AN/A1651072,8544,041
2017-06-21$32.13$35.0023.6%6.8%17.2%29.0%21.4%-2.6%-0.8%-203.1K2.8M-30.8K0.9314.31N/AN/A1381292,8754,041
2017-06-22$32.43$35.0023.7%6.8%17.5%29.3%20.5%-2.1%-1.3%-189.5K2.3M-31.1K1.0822.22N/AN/A1311412,8934,067
2017-06-23$32.13$35.0020.5%5.9%17.8%22.0%20.3%-3.0%4.7%-168.4K2.7M-31.7K0.1319.42N/AN/A1,1211413,8754,076
2017-06-26$31.71$35.0022.9%6.6%18.3%27.5%23.2%-4.4%1.7%-189.8K3.5M-30.1K0.1218.75N/AN/A1,1111323,8964,081
2017-06-27$31.30$35.0022.7%6.5%18.7%27.0%28.0%-5.1%2.4%-205.5K4.5M-28.6K0.3139.28N/AN/A1,6004983,9044,083
2017-06-28$31.46$35.0022.0%6.3%18.4%25.4%26.8%-4.6%3.3%-229.2K4.5M-30.7K0.1720.43N/AN/A1,6742924,3524,423
2017-06-29$31.12$35.0022.7%6.5%18.5%26.9%28.6%-7.0%3.8%-245.0K5.4M-30.5K0.1525.53N/AN/A1,6722434,4054,587
2017-06-30$31.60$30.0019.9%5.7%19.5%20.6%21.9%4.3%8.2%-256.6K4.7M-31.3K0.1137.13N/AN/A1,6351854,3764,676