OTEX Options History — October 2017

In October 2017, OTEX traded between $32.28 and $34.97. ATM implied volatility averaged 22.1%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 10.5% (HV 20d: 11.6%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.65.

Notable Days

  • 2017-10-31: Highest Volume — 639 contracts
  • 2017-10-11: Largest IV spike — 107.7% change
  • 2017-10-31: Highest IV Rank — 46.1%
  • 2017-10-31: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.69$32.28$34.97$32.50$34.97
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV22.1%11.2%31.1%15.5%31.1%
Expected Move6.8%4.5%8.9%4.5%8.9%
HV 20d11.6%9.2%13.0%12.4%9.2%
HV 60d17.1%13.7%18.8%18.4%13.7%
IV Rank25.6%0.7%46.1%10.5%46.1%
IV Percentile48.9%0.8%86.5%4.8%86.5%
Term Structure-1.4%-7.7%10.0%7.1%-7.7%
VWIV24.8%16.5%31.3%18.9%31.3%
Skew 25d5.3%-1.9%16.4%0.6%16.4%
Skew 10d8.5%-3.2%26.6%0.7%26.6%
Call IV 25d23.3%13.2%38.9%13.2%25.7%
Put IV 25d28.6%13.7%42.1%13.7%42.1%
Bid-Ask Spread %48.517.8479.769.3956.35
Gamma HHI0.530.490.750.570.60
Net GEX29.0K-91.6K180.1K-70.7K154.8K
Net DEX-1.5M-3.6M88.4K46.7K-3.5M
Net VEX-11.8K-13.3K-9.8K-12.8K-12.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.181.800.471.80
Total Volume290.182173639226639
Total OI3,817.8183,5834,2953,5834,295

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$32.50$30.0015.5%4.5%12.4%10.5%18.9%0.6%7.1%-70.7K46.7K-12.8K0.479.39N/AN/A154721,3372,246
2017-10-03$32.28$30.0016.5%4.7%10.9%12.8%16.5%-0.1%6.1%-91.6K88.4K-12.3K0.927.99N/AN/A90831,3752,244
2017-10-04$32.86$30.0019.0%5.4%12.4%18.5%21.3%1.9%10.0%-55.2K-834.1K-11.5K1.0112.68N/AN/A93941,3802,274
2017-10-05$33.12$30.0012.7%6.2%12.6%4.1%22.9%2.8%0.5%-32.9K-1.1M-10.7K1.1713.22N/AN/A83971,4142,251
2017-10-06$33.25$30.0012.2%6.1%12.6%3.0%22.3%3.4%0.4%-16.6K-1.3M-10.3K1.1115.18N/AN/A1051171,4242,248
2017-10-09$33.35$30.0014.6%6.8%12.4%8.4%24.5%3.5%-1.5%-21.7K-626.7K-13.3K1.3111.36N/AN/A1061391,4422,230
2017-10-10$33.43$30.0011.2%6.8%12.3%0.7%23.9%5.6%-1.1%-10.8K-829.0K-13.3K0.697.84N/AN/A137951,4722,205
2017-10-11$33.64$30.0023.4%6.7%12.4%28.5%24.1%6.1%-0.9%4.3K-1.1M-12.7K0.4710.84N/AN/A2331091,4822,216
2017-10-12$33.39$30.0023.2%6.6%12.9%28.1%23.0%4.3%-1.1%-3.0K-834.4K-13.0K0.6178.06N/AN/A130791,5692,181
2017-10-13$33.69$30.0022.7%6.5%13.0%26.9%22.6%5.3%-1.3%39.2K-1.8M-9.8K0.4778.45N/AN/A167781,5692,178
2017-10-16$33.67$30.0023.7%6.8%12.9%29.3%23.6%5.4%-1.6%13.2K-1.1M-12.2K0.4076.36N/AN/A172691,5862,182
2017-10-17$33.71$30.0023.6%6.8%12.6%29.0%25.8%5.7%-1.9%7.0K-1.1M-11.8K0.4575.57N/AN/A173781,5502,176
2017-10-18$33.84$30.0024.1%6.9%11.7%30.1%24.3%6.6%-2.5%25.7K-1.4M-11.6K0.1875.92N/AN/A357651,5772,167
2017-10-19$33.83$30.0024.3%7.0%11.8%30.5%24.3%1.8%-2.3%65.2K-2.1M-10.0K0.3671.32N/AN/A177641,6782,168
2017-10-20$33.74$30.0025.1%7.2%11.7%32.5%25.8%6.5%-3.0%32.7K-1.4M-12.6K0.5175.69N/AN/A145741,7212,173
2017-10-23$33.88$30.0025.6%7.3%10.7%33.6%27.5%7.6%-3.4%46.7K-1.5M-11.6K0.4375.66N/AN/A206881,6932,152
2017-10-24$34.08$30.0026.1%7.5%9.6%34.8%26.2%9.1%-3.6%62.3K-1.8M-12.1K0.398.15N/AN/A210821,8042,137
2017-10-25$33.97$30.0026.4%7.6%9.9%35.5%26.7%8.3%-4.3%69.1K-1.8M-12.1K0.4077.06N/AN/A229911,8482,131
2017-10-26$34.40$30.0027.0%7.7%10.3%36.9%27.6%8.2%-5.2%100.0K-2.3M-11.7K0.3779.76N/AN/A2881061,8872,111
2017-10-27$34.73$30.0027.5%7.9%9.9%38.0%31.0%9.6%-5.7%139.9K-3.0M-11.6K0.3979.63N/AN/A226882,0082,091
2017-10-30$34.94$30.0030.6%8.8%9.9%45.1%30.9%-1.9%-7.2%180.1K-3.6M-10.0K0.4870.68N/AN/A3341622,0342,086
2017-10-31$34.97$30.0031.1%8.9%9.2%46.1%31.3%16.4%-7.7%154.8K-3.5M-12.1K1.8056.35N/AN/A2284112,1762,119