OTEX Options History — November 2017

In November 2017, OTEX traded between $32.62 and $34.46. ATM implied volatility averaged 16.5%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 1.0% (HV 20d: 15.5%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.39.

Notable Days

  • 2017-11-01: Highest Volume — 711 contracts
  • 2017-11-03: Largest IV drop — 45.8% change
  • 2017-11-01: Highest IV Rank — 48.4%
  • 2017-11-01: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.39$32.62$34.46$34.25$32.64
Max Pain$30.48$30.00$35.00$35.00$35.00
ATM IV16.5%9.4%32.0%32.0%19.5%
Expected Move4.7%2.7%9.2%9.2%5.6%
HV 20d15.5%11.3%19.5%11.4%17.3%
HV 60d13.7%12.4%15.0%13.3%14.1%
IV Rank14.2%0.0%48.4%48.4%22.2%
IV Percentile16.6%0.0%88.9%88.9%29.4%
Term Structure3.5%-8.6%11.8%-8.6%5.2%
VWIV20.9%15.9%35.4%32.3%24.7%
Skew 25d2.5%-10.7%25.4%9.5%1.7%
Skew 10d6.6%-7.5%38.6%22.9%1.6%
Call IV 25d17.8%11.9%30.8%30.8%15.0%
Put IV 25d20.3%11.8%47.2%40.3%16.7%
Bid-Ask Spread %21.876.0481.8681.8615.26
Gamma HHI0.540.410.820.490.52
Net GEX70.4K16.2K248.3K70.2K43.0K
Net DEX-768.4K-2.3M-2.9K-1.9M-453.5K
Net VEX-9.4K-13.6K-7.7K-13.6K-8.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.111.041.040.37
Total Volume354.048250711711250
Total OI3,853.5241,8745,0534,5732,205

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$34.25$35.0032.0%9.2%11.4%48.4%32.3%9.5%-8.6%70.2K-1.9M-13.6K1.0481.86N/AN/A3493622,2052,368
2017-11-02$34.21$30.0031.5%6.8%11.3%47.2%25.4%6.6%0.3%89.8K-2.0M-13.6K0.7026.50N/AN/A3652572,3462,373
2017-11-03$34.46$30.0017.1%5.1%11.4%14.2%18.2%7.5%3.8%248.3K-2.3M-11.5K0.1939.05N/AN/A302562,4352,462
2017-11-06$34.26$30.0017.1%5.0%11.7%14.2%17.6%-1.1%4.3%238.0K-1.8M-10.4K0.276.04N/AN/A344922,4372,470
2017-11-07$33.70$30.0015.7%5.0%13.3%11.0%17.4%-3.3%3.6%100.9K-794.4K-10.2K0.246.31N/AN/A258612,4612,462
2017-11-08$33.37$30.0017.9%5.1%13.6%16.0%18.3%-5.5%2.6%52.5K-402.7K-10.4K0.2710.17N/AN/A241652,5172,472
2017-11-09$32.84$30.0017.1%4.9%14.5%14.1%21.3%1.9%4.3%16.2K-2.9K-7.7K0.2821.94N/AN/A233662,4882,457
2017-11-10$33.44$30.0017.5%5.0%15.6%15.2%20.8%4.5%2.9%59.9K-287.4K-8.2K0.3716.95N/AN/A250922,4962,466
2017-11-13$33.38$30.0017.9%5.1%15.6%15.9%19.9%4.6%3.3%50.4K-409.0K-8.6K0.3921.15N/AN/A222872,5142,468
2017-11-14$33.23$30.0014.7%4.2%15.7%8.6%15.9%2.1%3.0%29.1K-229.6K-8.7K0.5214.57N/AN/A2011052,5142,491
2017-11-15$33.20$30.0014.2%4.1%15.6%7.5%17.5%-6.5%3.5%27.7K-191.7K-8.8K0.319.22N/AN/A228712,5212,493
2017-11-16$33.08$30.009.8%2.8%15.6%0.0%18.2%-1.1%11.1%42.9K-196.7K-8.1K0.3724.27N/AN/A221822,5202,493
2017-11-17$33.02$30.009.4%2.7%15.6%0.0%15.9%0.1%11.8%35.2K-154.0K-7.9K0.589.38N/AN/A2301342,5502,503
2017-11-20$33.52$30.0013.2%3.8%16.6%8.3%19.4%-4.3%1.5%45.4K-791.7K-8.3K0.1133.11N/AN/A348381,274600
2017-11-21$33.92$30.0015.8%4.5%17.0%14.1%15.9%25.4%0.4%65.5K-1.1M-9.1K0.1213.84N/AN/A327381,358604
2017-11-22$33.00$30.0016.1%4.6%19.5%14.7%26.1%-10.7%-3.6%57.8K-770.4K-9.0K0.3927.15N/AN/A220861,507605
2017-11-24$33.02$30.0012.8%3.7%18.9%7.4%19.5%11.3%6.5%53.1K-627.6K-8.6K0.429.24N/AN/A207861,519651
2017-11-27$33.08$30.0011.6%3.3%18.4%4.8%20.9%10.0%5.7%54.0K-666.2K-8.6K0.4453.95N/AN/A215941,525651
2017-11-28$33.05$30.0011.4%3.3%18.2%4.4%35.4%-1.8%7.1%55.7K-640.0K-8.6K0.4210.14N/AN/A200841,542663
2017-11-29$32.62$30.0013.9%4.0%18.5%9.9%18.0%1.8%5.6%41.9K-457.4K-8.3K0.349.13N/AN/A200681,569669
2017-11-30$32.64$35.0019.5%5.6%17.3%22.2%24.7%1.7%5.2%43.0K-453.5K-8.2K0.3715.26N/AN/A182681,538667