OTEX Options History — July 2017

In July 2017, OTEX traded between $31.00 and $34.48. ATM implied volatility averaged 27.8%, placing in the 38.6% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 8.1% (HV 20d: 19.7%). Max pain ranged from $30.00 to $32.50. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 0.54.

Notable Days

  • 2017-07-07: Highest Volume — 1,364 contracts
  • 2017-07-05: Largest IV drop — 28.8% change
  • 2017-07-03: Highest IV Rank — 62.1%
  • 2017-07-03: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.63$31.00$34.48$31.08$33.57
Max Pain$32.25$30.00$32.50$30.00$32.50
ATM IV27.8%18.6%38.0%38.0%34.9%
Expected Move8.3%7.3%10.9%10.9%10.0%
HV 20d19.7%16.1%22.8%20.2%19.9%
HV 60d20.5%19.7%21.9%19.9%21.9%
IV Rank38.6%17.7%62.1%62.1%54.8%
IV Percentile70.3%18.3%94.4%94.4%89.7%
Term Structure-5.1%-25.4%-0.1%-25.4%-9.5%
VWIV26.0%19.4%33.8%26.8%33.8%
Skew 25d2.2%-4.8%6.6%-4.8%6.6%
Skew 10d7.6%-0.7%18.7%8.5%18.7%
Call IV 25d27.6%25.9%30.8%30.8%30.4%
Put IV 25d29.8%26.0%37.0%26.0%37.0%
Bid-Ask Spread %25.2111.63105.8358.8613.26
Gamma HHI0.360.320.380.380.35
Net GEX-182.3K-301.5K56.2K-272.8K-90.8K
Net DEX1.9M-3.1M6.0M5.5M-511.7K
Net VEX-28.1K-31.5K-23.6K-29.8K-23.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.150.950.170.74
Total Volume713.753371,3641,341924
Total OI9,098.258,6539,3339,0988,685

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$31.08$30.0038.0%10.9%20.2%62.1%26.8%-4.8%-25.4%-272.8K5.5M-29.8K0.1758.86N/AN/A1,1451964,3864,712
2017-07-05$31.14$30.0027.1%7.8%20.3%37.0%27.1%-1.3%-0.9%-290.6K5.8M-29.0K0.19105.83N/AN/A1,1272114,3864,763
2017-07-06$31.00$32.5022.8%7.7%20.3%27.2%21.1%2.3%-1.4%-301.5K6.0M-28.9K0.1924.58N/AN/A1,1302204,3934,840
2017-07-07$31.40$32.5018.6%7.5%20.7%17.7%20.9%1.2%-0.6%-285.8K5.1M-30.4K0.1520.03N/AN/A1,1861784,4254,858
2017-07-10$31.52$32.5021.8%7.7%20.8%24.8%20.9%1.1%-1.3%-292.0K4.8M-29.6K0.1520.52N/AN/A1,1801814,4384,839
2017-07-11$31.59$32.5020.4%7.6%20.7%21.8%19.4%1.3%-1.2%-286.8K4.5M-29.3K0.1616.63N/AN/A1,1531874,4454,853
2017-07-12$32.20$32.5025.4%7.3%21.9%33.2%24.9%2.3%-0.1%-250.8K3.2M-30.2K0.5316.06N/AN/A3561874,4574,866
2017-07-13$32.99$32.5026.5%7.6%22.8%35.7%26.8%2.3%-3.0%-139.0K939.1K-31.5K0.9517.32N/AN/A2302194,4314,866
2017-07-14$32.88$32.5027.1%7.8%21.8%37.0%27.8%2.2%-3.2%-157.4K1.1M-31.1K0.6926.76N/AN/A2311594,4724,850
2017-07-17$32.86$32.5028.8%8.3%21.7%41.0%23.5%4.5%-5.5%-178.9K1.4M-29.6K0.6212.24N/AN/A2291424,4734,842
2017-07-18$32.78$32.5028.7%8.2%17.8%40.8%23.5%2.4%-5.0%-193.0K1.4M-28.9K0.6212.72N/AN/A2281424,4734,839
2017-07-19$32.98$32.5028.2%8.1%17.7%39.5%28.4%2.9%-4.7%-172.7K1.1M-28.9K0.6616.95N/AN/A2221474,4744,839
2017-07-20$33.08$32.5028.4%8.1%17.7%40.0%28.6%2.6%-4.7%-170.1K763.8K-27.9K0.6215.28N/AN/A2371474,4794,838
2017-07-21$33.07$32.5028.2%8.1%17.4%39.5%25.2%2.1%-4.8%-173.0K713.4K-27.6K0.8112.70N/AN/A2371924,4954,838
2017-07-24$33.13$32.5028.9%8.3%17.0%41.1%26.2%3.3%-5.8%-179.1K955.4K-26.2K0.6611.63N/AN/A2271493,9384,764
2017-07-25$33.28$32.5030.0%8.6%16.1%43.7%24.3%4.0%-7.0%-151.3K326.8K-25.8K0.6711.67N/AN/A2021353,9384,751
2017-07-26$34.48$32.5029.6%8.5%18.9%42.7%29.9%1.9%-5.4%56.2K-3.1M-24.7K0.7341.99N/AN/A2992193,9534,749
2017-07-27$33.83$32.5030.8%8.8%20.7%45.5%31.0%2.1%-5.9%-47.2K-1.4M-25.1K0.7920.33N/AN/A1921523,9484,705
2017-07-28$33.73$32.5031.6%9.1%20.1%47.4%30.0%5.5%-6.7%-68.9K-1.1M-24.7K0.6828.89N/AN/A2251523,9584,706
2017-07-31$33.57$32.5034.9%10.0%19.9%54.8%33.8%6.6%-9.5%-90.8K-511.7K-23.6K0.7413.26N/AN/A5313933,9794,706