OTEX Options History — March 2018

In March 2018, OTEX traded between $34.06 and $36.46. ATM implied volatility averaged 20.0%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 0.6% (HV 20d: 19.3%). 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 20 of 21 days. Put/call ratio averaged 0.73.

Notable Days

  • 2018-03-08: Highest Volume — 655 contracts
  • 2018-03-13: Largest IV spike — 13.8% change
  • 2018-03-28: Highest IV Rank — 33.5%
  • 2018-03-28: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.36$34.06$36.46$34.67$34.84
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV20.0%17.9%21.8%20.8%20.0%
Expected Move5.7%5.4%6.3%6.0%5.7%
HV 20d19.3%14.7%51.8%51.8%19.8%
HV 60d34.2%32.1%35.4%34.3%32.1%
IV Rank28.5%22.8%33.5%30.7%28.6%
IV Percentile41.6%27.4%52.8%45.6%40.9%
Term Structure6.3%-0.5%8.3%0.2%8.0%
VWIV19.5%13.7%21.8%20.8%20.0%
Skew 25d2.3%-3.7%7.3%-0.8%2.2%
Skew 10d2.4%-4.6%8.4%-1.6%3.7%
Call IV 25d17.1%12.7%22.3%21.8%18.1%
Put IV 25d19.4%17.4%26.1%21.0%20.4%
Bid-Ask Spread %57.617.6796.5032.097.67
Gamma HHI0.540.380.690.480.59
Net GEX153.9K73.6K256.5K248.5K106.5K
Net DEX-2.3M-3.7M-747.5K-1.9M-1.6M
Net VEX-16.1K-17.6K-14.0K-16.8K-15.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.231.271.230.67
Total Volume374.524219655441333
Total OI5,004.194,5955,1845,0565,148

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$34.67$35.0020.8%6.0%51.8%30.7%20.8%-0.8%0.2%248.5K-1.9M-16.8K1.2332.09N/AN/A1982434,178878
2018-03-02$34.85$35.0020.0%5.7%26.3%28.6%20.2%1.5%-0.5%229.5K-1.8M-16.7K1.2791.27N/AN/A1862364,173994
2018-03-05$35.01$35.0020.1%5.6%18.2%28.8%19.3%1.7%5.6%256.5K-2.1M-16.9K0.8028.70N/AN/A3342684,185999
2018-03-06$35.10$35.0019.4%5.6%17.7%26.8%19.1%2.0%5.6%211.1K-2.0M-16.6K0.6840.53N/AN/A3862634,0491,012
2018-03-07$35.49$35.0021.0%5.7%17.6%31.3%19.2%3.2%6.1%218.4K-2.7M-17.5K0.7320.64N/AN/A3582634,1121,022
2018-03-08$36.03$35.0020.0%5.5%17.8%28.4%13.7%5.2%6.8%213.6K-3.4M-17.6K0.2331.07N/AN/A5321234,1111,022
2018-03-09$36.21$35.0018.8%5.5%16.0%25.3%19.2%-0.4%7.0%181.8K-3.3M-17.6K0.9213.38N/AN/A1321224,0061,022
2018-03-12$36.39$35.0017.9%5.5%16.0%22.8%18.7%6.5%7.3%158.9K-3.7M-16.8K0.6413.11N/AN/A1601024,0241,022
2018-03-13$36.26$35.0020.3%5.8%16.1%29.4%19.5%7.0%5.7%157.8K-3.5M-16.1K0.7896.50N/AN/A1291014,0151,022
2018-03-14$36.46$35.0020.2%5.8%16.2%29.0%19.9%7.3%6.6%160.1K-3.7M-16.7K0.8076.36N/AN/A1381114,0131,024
2018-03-15$36.25$35.0019.3%5.5%14.8%26.5%19.5%-0.9%7.5%151.3K-3.6M-16.4K0.9380.72N/AN/A1181104,0501,042
2018-03-16$36.36$35.0019.0%5.4%14.7%25.8%17.7%6.5%7.2%152.4K-3.6M-16.3K0.4569.50N/AN/A2271024,0571,054
2018-03-19$35.62$35.0019.6%5.6%16.5%27.5%19.2%3.0%7.5%120.3K-2.0M-15.8K0.2972.66N/AN/A170493,741854
2018-03-20$35.43$35.0019.1%5.5%16.5%26.1%19.1%3.4%7.5%117.0K-2.0M-15.5K0.4873.08N/AN/A188903,800866
2018-03-21$35.74$35.0019.4%5.6%16.5%26.9%18.9%3.3%7.8%130.3K-2.3M-16.1K0.3786.57N/AN/A265993,816925
2018-03-22$34.73$35.0020.9%6.0%19.6%30.9%20.8%-0.8%6.8%96.8K-1.3M-14.9K1.1794.72N/AN/A1511763,936934
2018-03-23$34.26$35.0020.6%5.9%18.0%30.2%20.6%-1.4%6.9%76.8K-908.6K-14.5K0.9592.70N/AN/A1691603,9451,007
2018-03-26$34.63$35.0019.9%5.7%18.1%28.3%19.9%-1.2%8.3%87.7K-1.2M-14.7K0.8363.38N/AN/A1581313,968997
2018-03-27$34.06$35.0021.3%6.1%18.9%32.2%21.4%3.8%7.5%73.6K-747.5K-14.0K0.5695.28N/AN/A2501413,989998
2018-03-28$34.08$35.0021.8%6.3%18.7%33.5%21.8%-3.7%7.0%83.9K-840.3K-14.5K0.5629.91N/AN/A2521414,0601,018
2018-03-29$34.84$35.0020.0%5.7%19.8%28.6%20.0%2.2%8.0%106.5K-1.6M-15.6K0.677.67N/AN/A2001334,1301,018