OTEX Options History — December 2017

In December 2017, OTEX traded between $32.16 and $35.65. ATM implied volatility averaged 19.6%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 3.9% (HV 20d: 15.7%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.29.

Notable Days

  • 2017-12-22: Highest Volume — 1,270 contracts
  • 2017-12-04: Largest IV spike — 68.4% change
  • 2017-12-11: Highest IV Rank — 55.4%
  • 2017-12-13: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.94$32.16$35.65$32.46$35.65
Max Pain$30.50$30.00$35.00$35.00$35.00
ATM IV19.6%13.8%34.5%16.4%18.5%
Expected Move4.9%3.8%7.0%4.7%5.3%
HV 20d15.7%9.6%27.1%17.4%27.0%
HV 60d14.8%13.7%20.1%14.1%19.9%
IV Rank22.5%9.6%55.4%15.5%20.1%
IV Percentile34.0%7.5%94.0%13.1%31.3%
Term Structure5.7%0.1%13.2%0.1%7.2%
VWIV17.9%15.3%24.3%19.2%18.5%
Skew 25d0.2%-6.6%19.6%0.2%19.6%
Skew 10d6.2%-8.0%49.3%0.5%49.3%
Call IV 25d17.5%14.4%20.8%14.4%16.0%
Put IV 25d17.7%11.1%35.6%14.6%35.6%
Bid-Ask Spread %37.639.93101.1811.4715.83
Gamma HHI0.610.500.840.500.66
Net GEX78.3K35.9K238.3K38.7K205.3K
Net DEX-967.7K-4.3M-185.3K-382.9K-4.3M
Net VEX-8.9K-15.2K-7.6K-8.1K-15.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.290.040.480.350.18
Total Volume3732001,270248525
Total OI2,448.22,1963,6102,2063,610

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$32.46$35.0016.4%4.7%17.4%15.5%19.2%0.2%0.1%38.7K-382.9K-8.1K0.3511.47N/AN/A184641,539667
2017-12-04$32.27$30.0027.6%5.5%17.0%40.3%16.6%4.5%9.3%37.3K-185.3K-7.8K0.3054.63N/AN/A197601,549671
2017-12-05$32.45$30.0018.5%5.7%17.2%20.2%16.9%4.5%7.2%38.2K-237.8K-7.9K0.2940.86N/AN/A204601,550667
2017-12-06$32.16$30.0017.7%6.1%16.6%18.4%19.1%2.2%3.4%35.9K-307.8K-7.9K0.2737.24N/AN/A198541,557667
2017-12-07$32.35$30.0021.9%4.8%16.6%27.5%15.3%3.3%12.4%37.2K-344.1K-7.9K0.3324.11N/AN/A162541,551670
2017-12-08$32.49$30.0022.9%5.0%15.8%29.7%15.6%4.3%13.2%40.1K-458.1K-8.0K0.4159.43N/AN/A164671,552671
2017-12-11$32.89$30.0034.5%4.0%15.0%55.4%16.6%1.8%3.7%57.5K-653.0K-8.1K0.3422.18N/AN/A172581,562657
2017-12-12$32.60$30.0031.7%3.8%15.3%49.3%19.2%0.2%4.9%43.7K-375.2K-7.6K0.4525.74N/AN/A170761,572658
2017-12-13$32.70$30.0024.3%7.0%15.3%33.0%24.3%1.6%5.5%49.0K-415.0K-7.9K0.42101.18N/AN/A179761,588658
2017-12-14$32.88$30.0013.8%3.9%15.5%9.6%17.9%-6.0%5.4%53.5K-659.8K-8.1K0.3319.59N/AN/A150501,607658
2017-12-15$32.77$30.0013.9%4.0%15.5%10.0%16.5%-5.2%4.2%53.0K-606.3K-7.9K0.3027.94N/AN/A166501,626666
2017-12-18$32.67$30.0015.0%4.3%15.5%12.4%17.9%-6.1%3.3%55.5K-454.2K-7.7K0.2617.74N/AN/A172441,561635
2017-12-19$32.70$30.0014.3%4.1%14.4%10.9%18.0%-6.0%3.2%58.6K-469.4K-7.6K0.2517.32N/AN/A175441,579635
2017-12-20$32.73$30.0016.5%4.7%13.6%15.7%17.8%4.1%3.5%56.8K-590.9K-7.7K0.2573.52N/AN/A187461,598635
2017-12-21$32.72$30.0017.0%4.9%9.6%16.7%17.0%-6.1%2.1%62.6K-722.3K-7.7K0.2219.04N/AN/A205461,657650
2017-12-22$32.73$30.0018.4%5.3%9.6%19.8%18.5%-4.9%7.8%58.4K-510.5K-8.1K0.0496.54N/AN/A1,224461,679647
2017-12-26$33.01$30.0015.3%4.4%10.1%13.0%18.6%-6.6%5.2%174.4K-1.9M-12.6K0.0860.99N/AN/A687522,597647
2017-12-27$33.01$30.0015.6%4.5%10.1%13.7%17.2%-4.8%5.1%171.9K-1.5M-11.8K0.2217.38N/AN/A225492,465655
2017-12-28$35.50$30.0018.1%5.2%27.1%19.3%18.2%2.8%6.5%238.3K-4.3M-13.4K0.489.93N/AN/A7563622,493658
2017-12-29$35.65$35.0018.5%5.3%27.0%20.1%18.5%19.6%7.2%205.3K-4.3M-15.2K0.1815.83N/AN/A446792,700910