OTEX Options History — August 2017

In August 2017, OTEX traded between $31.55 and $34.50. ATM implied volatility averaged 24.7%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 1.6% (HV 20d: 23.1%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 3 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 1.67.

Notable Days

  • 2017-08-18: Highest Volume — 1,717 contracts
  • 2017-08-04: Largest IV drop — 49.4% change
  • 2017-08-03: Highest IV Rank — 65.7%
  • 2017-08-02: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.44$31.55$34.50$33.78$32.25
Max Pain$33.70$30.00$35.00$32.50$30.00
ATM IV24.7%18.5%39.6%33.8%21.6%
Expected Move6.9%5.3%10.3%9.7%6.2%
HV 20d23.1%18.5%26.0%18.5%22.6%
HV 60d20.3%18.1%22.0%21.9%20.8%
IV Rank31.5%17.4%65.7%52.4%24.5%
IV Percentile58.2%15.9%96.4%88.5%36.1%
Term Structure-1.0%-10.4%5.4%-8.9%4.2%
VWIV22.6%14.3%35.7%33.9%21.6%
Skew 25d5.1%-1.6%12.0%7.1%12.0%
Skew 10d8.9%-3.5%17.9%17.9%14.3%
Call IV 25d19.1%13.7%35.3%29.4%14.0%
Put IV 25d24.2%20.6%38.2%36.5%26.1%
Bid-Ask Spread %14.454.2028.5314.059.27
Gamma HHI0.620.350.830.350.62
Net GEX-355.3K-1.5M521.8K-11.7K-90.4K
Net DEX1.9M-4.8M8.2M-1.7M414.4K
Net VEX-17.0K-25.4K-11.6K-24.6K-14.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.670.147.220.141.39
Total Volume531.7831801,7171,134244
Total OI7,9133,82410,6779,1514,258

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-08-01$33.78$32.5033.8%9.7%18.5%52.4%33.9%7.1%-8.9%-11.7K-1.7M-24.6K0.1414.05N/AN/A9941404,3484,803
2017-08-02$33.43$32.5036.1%10.3%19.2%57.6%35.7%2.9%-10.4%10.1K-1.3M-25.0K0.9718.59N/AN/A2041974,9004,793
2017-08-03$33.34$35.0039.6%8.0%19.1%65.7%28.2%4.9%-3.5%-12.4K-641.4K-25.4K0.3828.53N/AN/A9693734,9204,848
2017-08-04$34.50$35.0020.1%5.8%21.8%20.9%20.2%8.3%2.2%521.8K-4.8M-23.9K0.7118.14N/AN/A3692615,3384,893
2017-08-07$33.74$35.0025.1%6.1%23.8%32.5%21.3%3.8%1.5%110.1K-1.7M-19.5K0.3416.53N/AN/A4621575,3124,844
2017-08-08$32.87$35.0021.1%5.8%26.0%23.2%20.7%2.8%2.0%-549.7K795.5K-19.2K0.5320.00N/AN/A5592995,5384,855
2017-08-09$32.35$35.0023.3%6.7%26.0%28.3%21.3%0.5%1.7%-800.5K3.9M-17.7K1.2415.37N/AN/A2162675,8464,831
2017-08-10$31.84$30.0024.2%6.9%24.9%30.4%23.3%1.2%0.6%-746.3K6.1M-16.7K1.2117.78N/AN/A1541875,8144,850
2017-08-11$31.91$30.0024.8%7.1%25.0%31.8%24.1%-1.6%0.5%-757.0K6.0M-15.8K1.174.20N/AN/A1431675,8074,833
2017-08-14$31.95$30.0022.9%6.6%25.0%27.4%18.2%7.1%1.3%-887.1K5.9M-15.2K1.169.19N/AN/A1431665,8094,783
2017-08-15$32.09$30.0022.7%6.5%25.0%27.0%14.3%8.1%1.1%-1.1M5.5M-14.7K1.196.66N/AN/A2112515,8124,779
2017-08-16$32.44$35.0024.5%7.0%25.3%31.0%15.5%7.8%-0.3%-1.5M3.8M-13.4K2.6711.59N/AN/A1854945,8254,708
2017-08-17$32.21$35.0024.1%6.9%25.3%30.2%21.5%6.1%-1.2%-1.5M5.6M-13.3K1.6415.65N/AN/A1903115,8734,757
2017-08-18$31.99$35.0022.9%6.6%25.4%27.3%21.1%6.9%0.7%-60.4K8.2M-11.6K7.227.63N/AN/A2091,5085,8874,779
2017-08-21$32.11$35.0021.6%6.2%25.5%24.3%19.4%7.7%1.7%-112.5K1.4M-13.8K0.5313.30N/AN/A3742001,7402,084
2017-08-22$32.42$35.0024.2%6.9%25.7%30.4%23.2%6.1%-2.9%-63.9K452.5K-15.3K1.2914.90N/AN/A1451872,0102,098
2017-08-23$32.12$35.0023.1%6.6%21.8%27.9%23.0%3.9%-3.2%-87.0K636.5K-15.6K2.0115.54N/AN/A841692,0752,100
2017-08-24$31.86$35.0023.7%6.8%21.1%29.3%23.5%4.8%-4.8%-103.3K841.9K-15.1K2.359.60N/AN/A721692,0812,127
2017-08-25$31.97$35.0023.1%6.6%21.2%27.8%24.1%4.7%-3.8%-101.6K744.4K-15.3K2.0016.33N/AN/A801602,1012,139
2017-08-28$31.82$35.0023.1%6.6%21.2%27.8%24.1%4.1%-3.2%-110.9K889.1K-15.4K2.6515.88N/AN/A521382,1102,150
2017-08-29$31.66$35.0023.3%6.7%21.0%28.3%25.2%2.6%-4.7%-117.4K974.5K-15.2K2.9817.58N/AN/A481432,1122,152
2017-08-30$31.55$35.0018.5%5.3%20.8%17.4%15.8%6.3%5.4%-120.4K1.1M-14.5K2.7516.02N/AN/A481322,1082,169
2017-08-31$32.25$30.0021.6%6.2%22.6%24.5%21.6%12.0%4.2%-90.4K414.4K-14.7K1.399.27N/AN/A1021422,1082,150