OTEX Options History — April 2018

In April 2018, OTEX traded between $33.94 and $35.98. ATM implied volatility averaged 28.1%, placing in the 50.5% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 5.5% (HV 20d: 22.6%). 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 3 of 21 days. Put/call ratio averaged 0.66.

Notable Days

  • 2018-04-17: Highest Volume — 1,066 contracts
  • 2018-04-11: Largest IV spike — 32.8% change
  • 2018-04-30: Highest IV Rank — 66.1%
  • 2018-04-30: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.85$33.94$35.98$33.94$35.42
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV28.1%20.9%33.9%22.7%33.9%
Expected Move8.5%6.0%9.7%6.5%9.7%
HV 20d22.6%19.4%26.0%21.8%19.4%
HV 60d32.6%22.8%33.8%32.5%22.8%
IV Rank50.5%31.0%66.1%35.7%66.1%
IV Percentile78.7%46.0%96.8%55.6%96.8%
Term Structure-2.9%-7.3%7.9%7.0%-7.3%
VWIV29.8%20.9%34.4%22.7%33.9%
Skew 25d2.4%-6.6%24.4%-2.0%3.5%
Skew 10d3.7%-10.7%34.0%-3.1%7.3%
Call IV 25d29.9%21.5%35.7%22.8%35.7%
Put IV 25d32.4%20.1%46.2%20.8%39.1%
Bid-Ask Spread %26.4210.3762.2641.0659.54
Gamma HHI0.560.470.740.530.49
Net GEX116.1K43.7K216.5K84.0K210.2K
Net DEX-1.8M-3.2M-628.3K-856.7K-2.9M
Net VEX-14.7K-17.5K-12.0K-14.2K-16.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.150.970.950.47
Total Volume566.9523171,066377481
Total OI5,6125,1526,3385,1526,338

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-04-02$33.94$35.0022.7%6.5%21.8%35.7%22.7%-2.0%7.0%84.0K-856.7K-14.2K0.9541.06N/AN/A1931844,1341,018
2018-04-03$34.34$35.0022.2%6.4%22.2%34.6%22.4%-1.4%6.7%72.7K-958.2K-14.2K0.7020.88N/AN/A1871304,1361,081
2018-04-04$34.54$35.0020.9%6.0%22.3%31.0%20.9%24.4%7.9%77.5K-1.2M-14.6K0.7517.15N/AN/A2121604,1491,087
2018-04-05$34.38$35.0021.1%8.3%21.9%31.4%29.3%4.7%-2.3%87.1K-1.1M-14.4K0.8219.91N/AN/A1941604,1811,063
2018-04-06$34.20$35.0021.8%8.4%21.0%33.3%29.8%3.8%-3.1%85.1K-904.0K-13.7K0.8435.34N/AN/A1841544,2011,063
2018-04-09$34.65$35.0023.1%8.6%21.6%36.9%29.6%4.5%-3.5%93.8K-1.3M-13.8K0.9119.78N/AN/A1881714,1991,054
2018-04-10$34.63$35.0021.9%8.6%21.4%33.8%30.0%4.7%-3.5%92.8K-1.4M-13.9K0.7918.83N/AN/A2171714,2091,063
2018-04-11$34.23$35.0029.1%8.4%21.6%53.2%30.0%3.0%-3.2%83.2K-865.8K-12.9K0.9040.49N/AN/A1871684,2271,063
2018-04-12$34.50$35.0029.5%8.5%21.8%54.3%29.8%4.3%-3.9%85.1K-1.1M-13.3K0.9019.47N/AN/A1871684,2351,081
2018-04-13$34.16$35.0029.7%8.5%21.9%54.8%30.6%3.2%-4.1%76.3K-628.3K-12.5K0.9711.08N/AN/A1651604,2351,081
2018-04-16$34.59$35.0029.5%8.5%22.5%54.1%29.8%3.4%-3.9%71.0K-988.1K-12.0K0.9112.20N/AN/A1821654,2381,082
2018-04-17$35.98$35.0031.3%9.0%25.9%59.0%31.2%3.5%-5.3%151.8K-3.1M-13.9K0.3162.26N/AN/A8132534,2521,096
2018-04-18$35.76$35.0030.9%8.9%25.9%58.1%30.9%3.2%-5.5%148.8K-3.1M-16.0K0.7520.50N/AN/A3782844,7711,175
2018-04-19$35.39$35.0029.6%8.5%26.0%54.3%29.7%3.5%-4.3%93.3K-2.6M-15.8K0.6337.62N/AN/A4302724,8021,242
2018-04-20$35.22$35.0030.4%8.7%23.9%56.7%30.5%-5.6%-5.0%43.7K-2.5M-15.5K0.6210.37N/AN/A3902404,8591,252
2018-04-23$35.19$35.0031.9%9.1%23.3%60.6%31.6%-4.7%-5.5%154.1K-2.3M-15.4K0.8518.45N/AN/A2782354,6851,091
2018-04-24$34.85$35.0032.4%9.3%23.3%62.0%32.4%-6.6%-5.2%143.5K-2.0M-15.2K0.2216.99N/AN/A7811684,7171,092
2018-04-25$34.95$35.0033.1%9.5%22.5%63.8%34.4%3.1%-5.9%169.6K-2.3M-16.5K0.2232.70N/AN/A7471685,0541,107
2018-04-26$35.52$35.0032.5%9.3%23.1%62.3%32.6%-5.6%-5.6%197.2K-3.0M-17.5K0.1620.61N/AN/A9011425,0561,087
2018-04-27$35.47$35.0033.0%9.4%21.9%63.5%32.9%4.1%-6.3%216.5K-3.2M-17.4K0.1519.53N/AN/A9161425,2051,091
2018-04-30$35.42$35.0033.9%9.7%19.4%66.1%33.9%3.5%-7.3%210.2K-2.9M-16.4K0.4759.54N/AN/A3271545,2401,098