OTEX Options History — February 2018

In February 2018, OTEX traded between $34.42 and $38.63. ATM implied volatility averaged 22.2%, placing in the 34.6% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 28.1% (HV 20d: 50.3%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.48.

Notable Days

  • 2018-02-01: Highest Volume — 3,333 contracts
  • 2018-02-07: Largest IV drop — 21.2% change
  • 2018-02-06: Highest IV Rank — 54.3%
  • 2018-02-09: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.37$34.42$38.63$38.63$35.19
Max Pain$37.11$35.00$40.00$35.00$35.00
ATM IV22.2%18.2%29.5%24.6%19.2%
Expected Move6.2%5.2%7.5%6.4%5.5%
HV 20d50.3%44.2%51.5%44.2%51.5%
HV 60d34.1%32.1%34.5%32.1%34.2%
IV Rank34.6%23.6%54.3%41.1%26.3%
IV Percentile53.9%31.3%88.1%70.2%37.3%
Term Structure2.1%-1.0%4.8%4.1%-0.2%
VWIV22.6%18.7%29.2%21.3%19.7%
Skew 25d0.0%-6.4%3.4%2.4%3.2%
Skew 10d-0.2%-9.9%5.6%1.1%5.3%
Call IV 25d22.0%16.5%28.5%25.1%18.7%
Put IV 25d22.1%17.7%30.3%27.4%21.9%
Bid-Ask Spread %82.3455.1497.8360.0797.83
Gamma HHI0.540.400.830.750.50
Net GEX396.3K213.8K947.1K601.2K270.1K
Net DEX-4.0M-11.6M-1.5M-11.6M-2.3M
Net VEX-17.6K-23.0K-14.8K-19.4K-15.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.091.060.090.74
Total Volume796.8422993,3333,333299
Total OI6,349.7894,4717,5555,9125,007

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-02-01$38.63$35.0024.6%6.4%44.2%41.1%21.3%2.4%4.1%601.2K-11.6M-19.4K0.0960.07N/AN/A3,0682655,055857
2018-02-02$36.51$35.0024.5%6.9%49.4%40.6%21.4%0.0%3.3%441.9K-7.3M-22.7K0.3574.52N/AN/A6162176,118979
2018-02-05$36.02$40.0029.0%6.9%49.7%52.9%21.1%-1.5%4.7%415.8K-6.0M-23.0K0.7390.35N/AN/A3812786,1641,115
2018-02-06$35.51$40.0029.5%7.2%49.9%54.3%26.1%-3.4%2.3%403.3K-4.8M-22.1K0.6391.21N/AN/A4312736,2701,184
2018-02-07$35.10$40.0023.3%6.7%50.1%37.4%24.4%-3.7%3.3%418.7K-3.8M-20.0K0.5095.25N/AN/A4622336,3011,151
2018-02-08$34.42$40.0024.3%7.0%50.5%40.1%28.5%2.0%3.0%381.3K-2.5M-17.9K0.4092.21N/AN/A5092066,2801,166
2018-02-09$34.48$40.0026.2%7.5%50.4%45.3%29.2%1.8%2.4%369.9K-2.8M-19.2K0.5093.33N/AN/A4032006,3311,190
2018-02-12$34.68$40.0024.3%7.0%50.4%40.0%27.7%1.3%1.9%465.4K-3.1M-17.7K0.2887.32N/AN/A6321766,3551,200
2018-02-13$34.72$40.0021.8%6.3%50.3%33.5%25.6%-0.5%3.3%562.1K-2.3M-15.5K0.1684.97N/AN/A9281526,0871,228
2018-02-14$35.46$40.0021.5%6.2%50.8%32.7%21.7%1.6%3.4%576.8K-4.5M-14.8K0.1392.53N/AN/A1,3501775,7791,240
2018-02-15$35.30$35.0019.8%5.7%50.9%27.9%20.0%-6.4%4.1%947.1K-5.5M-15.9K0.5568.48N/AN/A2931626,2541,253
2018-02-16$35.10$35.0018.9%5.4%50.9%25.7%19.2%0.4%4.8%217.2K-6.1M-14.8K0.3576.58N/AN/A6712346,1931,277
2018-02-20$34.97$35.0020.5%5.9%51.0%30.0%21.3%-0.4%-1.0%221.5K-2.1M-15.4K1.0655.14N/AN/A1571663,740731
2018-02-21$34.70$35.0019.9%5.7%51.0%28.4%23.7%-1.1%-0.0%216.5K-1.8M-15.2K0.4374.38N/AN/A4061733,787774
2018-02-22$34.54$35.0019.1%5.5%51.0%26.2%20.8%-1.6%0.1%213.8K-1.5M-15.2K0.3974.32N/AN/A4651833,966826
2018-02-23$35.39$35.0018.2%5.2%51.3%23.6%18.7%3.4%0.7%265.1K-2.6M-16.7K0.7287.78N/AN/A2121534,066808
2018-02-26$35.69$35.0018.6%5.3%51.3%24.9%19.1%1.9%0.5%269.9K-3.1M-16.8K0.6983.43N/AN/A1771234,090818
2018-02-27$35.54$35.0019.4%5.6%51.4%26.8%19.5%1.0%-0.7%272.4K-2.8M-16.7K0.4684.76N/AN/A211984,170836
2018-02-28$35.19$35.0019.2%5.5%51.5%26.3%19.7%3.2%-0.2%270.1K-2.3M-15.7K0.7497.83N/AN/A1721274,171836