OTEX Options History — September 2017

In September 2017, OTEX traded between $31.45 and $32.38. ATM implied volatility averaged 19.8%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 5.9% (HV 20d: 13.9%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.45.

Notable Days

  • 2017-09-29: Highest Volume — 287 contracts
  • 2017-09-18: Largest IV spike — 38.4% change
  • 2017-09-12: Highest IV Rank — 47.9%
  • 2017-09-06: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.02$31.45$32.38$32.38$32.31
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV19.8%12.0%31.9%18.2%18.2%
Expected Move5.5%3.4%6.2%5.2%5.2%
HV 20d13.9%12.3%18.4%18.4%12.3%
HV 60d19.5%18.3%21.1%20.8%18.5%
IV Rank20.3%2.5%47.9%16.7%16.6%
IV Percentile23.8%1.6%83.3%14.3%15.1%
Term Structure5.6%-3.8%12.1%-3.8%9.8%
VWIV18.8%11.8%23.1%23.1%17.9%
Skew 25d4.5%-0.9%10.1%-0.9%7.8%
Skew 10d7.4%-0.5%20.5%-0.5%9.9%
Call IV 25d15.0%10.9%19.9%15.7%12.1%
Put IV 25d19.4%11.1%21.0%14.8%20.0%
Bid-Ask Spread %14.896.9821.0315.396.98
Gamma HHI0.670.600.750.640.60
Net GEX-104.5K-135.6K-83.4K-93.4K-83.4K
Net DEX488.6K136.1K992.6K244.5K266.4K
Net VEX-13.3K-14.4K-12.4K-14.3K-12.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.450.363.233.231.52
Total Volume154.790287186287
Total OI3,888.63,3004,4064,2983,523

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$32.38$30.0018.2%5.2%18.4%16.7%23.1%-0.9%-3.8%-93.4K244.5K-14.3K3.2315.39N/AN/A441422,1662,132
2017-09-05$31.83$30.0017.0%6.2%17.8%14.0%19.9%0.8%2.1%-107.4K583.7K-14.4K2.5721.03N/AN/A531362,1742,130
2017-09-06$32.00$30.0020.6%6.2%15.7%22.1%20.0%1.4%0.1%-101.7K579.3K-13.3K2.6720.67N/AN/A511362,1802,139
2017-09-07$32.10$30.0019.9%6.0%14.8%20.5%19.2%0.7%3.2%-95.4K313.4K-14.0K2.5720.58N/AN/A531362,1922,139
2017-09-08$32.06$30.0021.2%6.0%13.6%23.6%19.9%0.2%3.3%-99.4K417.6K-14.0K2.5818.57N/AN/A531372,1922,139
2017-09-11$32.33$30.0027.4%6.2%13.9%37.7%21.8%1.3%2.6%-89.8K220.9K-13.5K1.6312.03N/AN/A671092,1922,150
2017-09-12$32.26$30.0031.9%6.0%13.9%47.9%20.5%6.3%4.6%-91.5K232.6K-14.0K1.0013.84N/AN/A63632,2092,151
2017-09-13$32.28$30.0020.6%5.9%13.9%22.1%19.8%7.6%6.8%-89.3K260.0K-14.0K0.7411.85N/AN/A88652,2112,147
2017-09-14$32.30$30.0017.1%4.9%13.3%14.1%14.3%4.2%11.9%-89.8K136.1K-13.4K1.2214.41N/AN/A67822,2342,149
2017-09-15$32.20$30.0012.0%3.4%13.1%2.5%11.8%-0.1%10.7%-97.0K220.6K-13.0K1.569.76N/AN/A50782,2352,171
2017-09-18$32.14$30.0016.7%4.8%12.9%13.1%17.2%8.2%12.1%-91.9K624.1K-13.8K1.3420.09N/AN/A70941,1402,160
2017-09-19$31.97$30.0020.3%5.8%12.9%21.6%20.1%6.4%4.4%-110.9K650.7K-12.8K1.6113.52N/AN/A61981,1722,182
2017-09-20$31.65$30.0019.6%5.6%12.8%19.8%18.5%4.7%4.7%-128.9K946.6K-13.0K0.7414.14N/AN/A70521,1872,187
2017-09-21$31.80$30.0021.1%6.1%12.6%23.4%21.4%6.1%0.9%-122.8K708.7K-12.4K0.3612.26N/AN/A117421,2042,189
2017-09-22$32.08$30.0017.3%5.0%12.7%14.6%15.8%10.1%11.6%-100.5K260.2K-13.1K0.6411.35N/AN/A66421,2642,189
2017-09-25$31.75$30.0021.5%6.2%13.2%24.1%20.1%6.8%4.1%-117.4K741.6K-12.9K0.8412.71N/AN/A49411,2852,190
2017-09-26$31.45$30.0019.9%5.7%13.5%20.5%19.6%4.9%5.0%-135.6K992.6K-12.9K0.9213.87N/AN/A53491,2852,192
2017-09-27$31.63$30.0018.3%5.2%13.6%16.9%18.1%4.5%6.8%-129.5K807.3K-12.4K0.6718.02N/AN/A69461,2892,193
2017-09-28$31.87$30.0017.5%5.0%13.8%15.0%16.3%8.0%11.2%-114.5K564.5K-12.4K0.6016.79N/AN/A72431,3072,202
2017-09-29$32.31$30.0018.2%5.2%12.3%16.6%17.9%7.8%9.8%-83.4K266.4K-12.9K1.526.98N/AN/A1141731,3112,212