OTEX Options History — May 2018

In May 2018, OTEX traded between $33.98 and $36.57. ATM implied volatility averaged 23.6%, placing in the 38.4% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 2.6% (HV 20d: 21.0%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.44.

Notable Days

  • 2018-05-10: Highest Volume — 4,462 contracts
  • 2018-05-10: Largest IV drop — 34.7% change
  • 2018-05-08: Highest IV Rank — 93.4%
  • 2018-05-02: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.99$33.98$36.57$35.78$34.85
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV23.6%15.2%44.0%35.6%16.8%
Expected Move6.1%4.4%10.2%10.2%4.8%
HV 20d21.0%18.6%25.7%19.3%21.4%
HV 60d20.4%19.0%21.5%19.8%20.9%
IV Rank38.4%15.7%93.4%70.5%19.8%
IV Percentile43.6%9.9%99.6%98.0%15.1%
Term Structure0.1%-8.8%4.4%-8.1%0.3%
VWIV21.4%15.3%37.2%35.5%16.8%
Skew 25d0.1%-6.0%4.7%4.7%1.2%
Skew 10d0.4%-12.3%10.4%10.4%1.2%
Call IV 25d21.7%15.5%37.6%35.6%18.1%
Put IV 25d21.8%15.3%40.4%40.4%19.3%
Bid-Ask Spread %20.51-4.4069.3369.3313.63
Gamma HHI0.560.490.760.490.57
Net GEX376.2K241.9K820.0K241.9K479.9K
Net DEX-3.1M-7.1M-1.0M-3.5M-3.1M
Net VEX-19.4K-35.5K-16.4K-17.2K-20.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.070.730.390.34
Total Volume798.5913704,462568423
Total OI7,333.5915,61611,4606,4406,045

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-05-01$35.78$35.0035.6%10.2%19.3%70.5%35.5%4.7%-8.1%241.9K-3.5M-17.2K0.3969.33N/AN/A4101585,3271,113
2018-05-02$36.06$35.0035.7%10.2%19.4%70.8%37.2%2.2%-8.8%265.8K-4.1M-17.9K0.3862.67N/AN/A4241615,4021,121
2018-05-03$35.92$35.0037.2%7.8%19.3%74.8%27.6%2.3%-1.7%259.2K-3.9M-17.0K0.5012.37N/AN/A3571775,3951,113
2018-05-04$36.20$35.0037.7%8.0%19.2%76.4%28.0%3.7%-2.1%278.8K-4.2M-17.4K0.5812.83N/AN/A3181855,4981,155
2018-05-07$36.57$35.0042.5%8.1%19.1%89.3%27.1%-0.1%-1.8%301.5K-4.7M-17.2K0.7310.28N/AN/A2742015,5051,182
2018-05-08$36.35$35.0044.0%8.0%19.3%93.4%27.7%-0.8%-1.9%281.5K-4.4M-16.4K0.5213.61N/AN/A3271715,5111,215
2018-05-09$36.56$35.0029.0%8.3%18.6%52.8%29.0%2.5%-2.8%310.3K-4.9M-17.1K0.1223.15N/AN/A1,8202245,5841,211
2018-05-10$34.87$35.0018.9%5.4%25.7%25.7%19.2%-0.2%3.9%458.6K-3.3M-17.0K0.07-4.40N/AN/A4,1513116,8741,220
2018-05-11$34.85$35.0018.0%5.2%25.4%23.2%18.0%0.4%3.9%820.0K-7.1M-35.5K0.3313.30N/AN/A59519510,2181,242
2018-05-14$34.61$35.0017.9%5.1%25.2%22.9%17.9%-0.6%4.2%563.2K-3.0M-21.3K0.539.84N/AN/A3341788,4691,245
2018-05-15$34.02$35.0018.6%5.3%21.2%24.6%18.5%-1.8%3.5%377.8K-1.4M-19.3K0.5458.99N/AN/A3051658,4071,284
2018-05-16$34.12$35.0018.0%5.2%21.2%23.1%18.0%-1.1%3.5%331.3K-1.0M-18.6K0.569.74N/AN/A4242368,4281,288
2018-05-17$33.98$35.0018.3%5.3%21.0%24.1%18.4%-2.1%2.7%321.0K-1.1M-18.1K0.679.54N/AN/A3862578,5141,253
2018-05-18$33.99$35.0016.8%4.8%21.0%19.9%17.4%-0.8%4.4%307.5K-1.0M-18.3K0.5811.28N/AN/A4002348,5641,269
2018-05-21$34.06$35.0016.7%4.8%21.0%19.7%16.7%-1.6%0.5%316.7K-1.9M-18.3K0.4446.29N/AN/A4101814,748868
2018-05-22$34.19$35.0016.3%4.7%20.9%18.5%16.3%-0.9%1.0%333.1K-2.0M-18.9K0.4915.97N/AN/A3821874,804903
2018-05-23$34.41$35.0016.4%4.7%21.0%18.8%16.4%-0.5%0.6%367.0K-2.4M-20.3K0.4911.81N/AN/A3651784,839925
2018-05-24$34.66$35.0015.2%4.4%20.3%15.7%15.3%0.5%0.8%414.2K-2.7M-20.6K0.3611.68N/AN/A4101494,861927
2018-05-25$34.72$35.0015.8%4.5%20.3%17.2%15.8%-6.0%0.3%419.9K-2.9M-20.6K0.4113.91N/AN/A3611494,880927
2018-05-29$34.18$35.0017.9%5.1%21.0%23.0%18.1%-0.2%-0.4%357.0K-2.0M-18.8K0.2112.36N/AN/A5171095,045929
2018-05-30$34.76$35.0016.9%4.8%21.6%20.1%17.0%1.0%-0.3%470.3K-3.2M-20.9K0.4112.98N/AN/A2631075,098933
2018-05-31$34.85$35.0016.8%4.8%21.4%19.8%16.8%1.2%0.3%479.9K-3.1M-20.5K0.3413.63N/AN/A3161075,103942