OTEX Options History — January 2018

In January 2018, OTEX traded between $33.48 and $34.80. ATM implied volatility averaged 25.2%, placing in the 35.5% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 1.7% (HV 20d: 26.9%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.46.

Notable Days

  • 2018-01-02: Highest Volume — 2,339 contracts
  • 2018-01-10: Largest IV spike — 55.3% change
  • 2018-01-31: Highest IV Rank — 70.1%
  • 2018-01-31: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.01$33.48$34.80$34.80$34.24
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV25.2%15.1%35.4%17.7%35.4%
Expected Move7.6%4.9%10.1%5.1%10.1%
HV 20d26.9%11.2%30.0%28.7%11.2%
HV 60d20.7%20.5%20.9%20.5%20.5%
IV Rank35.5%12.6%70.1%18.3%70.1%
IV Percentile63.8%11.1%96.8%23.8%96.8%
Term Structure-2.7%-8.2%6.4%6.0%-7.8%
VWIV27.0%17.3%36.0%17.7%36.0%
Skew 25d6.8%-1.3%49.6%-1.3%3.5%
Skew 10d10.9%-4.9%64.1%-2.5%3.2%
Call IV 25d26.3%18.6%39.2%20.3%39.2%
Put IV 25d33.1%19.1%68.2%19.1%42.7%
Bid-Ask Spread %38.7315.5187.5115.6751.38
Gamma HHI0.690.600.760.750.69
Net GEX232.6K180.3K290.5K225.4K270.2K
Net DEX-2.1M-3.2M-937.5K-3.2M-2.9M
Net VEX-12.0K-14.4K-10.6K-14.4K-12.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.041.750.040.04
Total Volume421.811512,3392,3391,415
Total OI4,492.9053,6794,7053,6794,705

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$34.80$35.0017.7%5.1%28.7%18.3%17.7%-1.3%6.0%225.4K-3.2M-14.4K0.0415.67N/AN/A2,241982,742937
2018-01-03$34.39$35.0017.3%4.9%29.0%17.3%17.3%49.6%6.4%219.6K-2.3M-13.6K0.2649.40N/AN/A198523,543925
2018-01-04$34.36$35.0017.5%6.8%29.1%17.8%23.4%6.7%-0.5%219.0K-2.3M-13.5K0.2124.41N/AN/A234503,538926
2018-01-05$34.30$35.0016.9%6.8%28.8%16.5%23.6%6.5%-1.2%235.0K-2.2M-13.6K0.1823.36N/AN/A267493,612926
2018-01-08$33.97$35.0015.1%7.0%29.1%12.6%25.1%1.8%-1.0%220.2K-1.6M-12.1K0.4019.16N/AN/A212843,611911
2018-01-09$33.83$35.0016.1%7.1%29.2%14.8%25.7%2.5%-1.5%202.3K-1.5M-12.1K0.5420.27N/AN/A148803,571951
2018-01-10$33.48$35.0025.0%7.2%29.2%34.5%25.0%5.5%-1.5%180.3K-937.5K-11.2K0.4816.77N/AN/A199963,596968
2018-01-11$33.80$35.0024.6%7.0%29.2%33.6%25.0%6.9%-1.4%206.0K-1.5M-12.5K0.7215.51N/AN/A134963,686962
2018-01-12$33.78$35.0025.7%7.4%29.2%36.1%25.8%6.9%-1.7%212.6K-1.5M-12.4K0.6921.02N/AN/A111773,710962
2018-01-16$33.59$35.0026.9%7.7%29.2%38.7%27.1%5.2%-3.4%197.6K-1.2M-11.2K0.6522.72N/AN/A113733,710963
2018-01-17$33.68$35.0026.9%7.7%29.2%38.6%27.1%4.6%-3.4%212.1K-1.2M-11.0K0.6125.55N/AN/A118723,724957
2018-01-18$33.69$35.0026.9%7.7%29.2%38.6%27.2%4.6%-3.3%210.4K-1.2M-10.7K0.4887.51N/AN/A149723,717945
2018-01-19$33.66$35.0027.3%7.8%29.2%39.6%28.8%7.1%-3.9%202.3K-1.1M-11.0K0.5082.73N/AN/A143723,765934
2018-01-22$33.76$35.0028.8%8.3%29.2%43.0%29.4%5.8%-5.3%216.2K-2.0M-10.6K0.3819.72N/AN/A179683,524690
2018-01-23$34.08$35.0028.4%8.1%29.3%42.0%29.6%0.7%-4.1%247.4K-2.5M-11.3K0.2452.77N/AN/A282683,586690
2018-01-24$34.36$35.0028.6%8.2%29.4%42.5%29.1%1.7%-5.2%278.4K-3.0M-12.0K0.1937.88N/AN/A366683,664700
2018-01-25$33.88$35.0029.5%8.5%29.8%44.4%29.6%7.1%-4.9%267.7K-2.6M-11.8K0.2633.40N/AN/A242633,789700
2018-01-26$34.19$35.0028.9%8.3%30.0%43.1%28.7%9.8%-4.7%290.5K-2.9M-11.8K0.2968.86N/AN/A248713,796711
2018-01-29$34.20$35.0032.0%9.2%14.0%50.1%33.3%-0.5%-6.9%286.5K-2.9M-11.4K0.7675.20N/AN/A86653,792711
2018-01-30$34.11$35.0033.3%9.5%13.8%52.8%33.4%9.0%-8.2%284.2K-2.8M-11.2K1.7549.96N/AN/A1452543,796705
2018-01-31$34.24$35.0035.4%10.1%11.2%70.1%36.0%3.5%-7.8%270.2K-2.9M-12.1K0.0451.38N/AN/A1,355603,849856