OTEX Options History — June 2018

In June 2018, OTEX traded between $34.64 and $36.35. ATM implied volatility averaged 18.3%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 2.2% (HV 20d: 16.1%). 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 0.82.

Notable Days

  • 2018-06-11: Highest Volume — 730 contracts
  • 2018-06-11: Largest IV spike — 24.8% change
  • 2018-06-12: Highest IV Rank — 36.1%
  • 2018-06-25: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.53$34.64$36.35$35.33$35.15
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV18.3%16.8%22.8%16.8%17.7%
Expected Move5.1%4.7%5.7%4.8%5.1%
HV 20d16.1%11.1%22.1%22.1%16.3%
HV 60d20.1%19.1%20.9%20.9%19.2%
IV Rank25.0%19.9%36.1%19.9%23.8%
IV Percentile27.5%14.3%56.3%15.1%23.0%
Term Structure5.6%-0.1%8.0%-0.1%8.0%
VWIV17.6%16.6%19.9%16.8%17.7%
Skew 25d2.7%-6.8%5.1%1.4%3.1%
Skew 10d3.7%-8.9%8.0%3.4%5.2%
Call IV 25d14.8%11.8%24.2%18.0%16.5%
Put IV 25d17.4%15.6%19.6%19.4%19.6%
Bid-Ask Spread %17.235.3483.1717.027.75
Gamma HHI0.600.500.700.540.61
Net GEX373.3K201.8K596.7K529.3K246.4K
Net DEX-4.1M-6.4M-1.9M-4.4M-2.6M
Net VEX-19.8K-22.5K-16.4K-22.5K-17.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.181.680.201.36
Total Volume393.095222730624222
Total OI5,690.0955,0586,2216,0495,312

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-06-01$35.33$35.0016.8%4.8%22.1%19.9%16.8%1.4%-0.1%529.3K-4.4M-22.5K0.2017.02N/AN/A5181065,107942
2018-06-04$35.34$35.0016.9%4.9%21.8%20.1%17.1%3.2%5.3%571.6K-4.4M-21.3K0.2815.74N/AN/A3791055,120940
2018-06-05$35.43$35.0018.2%5.0%21.5%23.7%17.3%2.3%4.4%557.7K-4.3M-20.4K0.2515.73N/AN/A4281055,145940
2018-06-06$35.65$35.0018.1%4.8%21.6%23.4%16.6%3.3%5.1%575.3K-5.0M-21.8K0.3614.06N/AN/A3311185,239940
2018-06-07$35.40$35.0017.9%4.9%21.5%22.9%17.1%3.0%5.5%596.7K-4.9M-22.0K0.4620.32N/AN/A2521155,267954
2018-06-08$35.71$35.0017.4%4.7%13.4%21.4%16.6%4.0%6.0%559.5K-5.5M-21.4K0.4716.19N/AN/A2281075,264951
2018-06-11$35.85$35.0021.7%4.9%13.4%33.1%16.9%4.5%5.9%563.1K-6.0M-21.2K0.1819.04N/AN/A6191115,268945
2018-06-12$36.10$35.0022.8%4.8%13.2%36.1%16.9%5.1%5.5%453.3K-5.8M-20.6K0.539.44N/AN/A3021615,124948
2018-06-13$36.35$35.0017.6%5.0%11.1%23.6%17.2%-6.8%5.4%331.4K-6.4M-21.4K0.6583.17N/AN/A3041995,090998
2018-06-14$36.00$35.0017.3%5.0%12.0%22.7%17.3%4.9%5.6%316.3K-5.9M-20.5K0.509.82N/AN/A3931985,095998
2018-06-15$35.86$35.0016.8%4.8%12.0%21.2%17.0%4.2%6.4%287.8K-5.8M-20.4K0.9510.38N/AN/A2142035,0981,008
2018-06-18$35.58$35.0017.4%5.0%12.5%23.2%17.7%3.4%5.7%267.6K-3.1M-19.1K0.9210.47N/AN/A1801654,177881
2018-06-19$35.37$35.0017.3%5.0%12.9%22.9%17.7%2.8%6.3%254.2K-2.9M-18.3K0.858.11N/AN/A1561324,230892
2018-06-20$36.02$35.0018.2%5.2%14.1%25.4%17.7%5.1%5.5%301.5K-3.8M-19.8K1.265.34N/AN/A1231554,234893
2018-06-21$35.68$35.0018.3%5.3%14.7%25.7%19.0%4.7%5.7%279.1K-3.4M-19.4K1.1758.89N/AN/A1321554,255905
2018-06-22$35.85$35.0018.3%5.3%14.6%25.7%17.8%4.4%6.0%284.7K-3.5M-19.8K1.239.39N/AN/A1662044,255905
2018-06-25$34.82$35.0019.8%5.7%18.2%30.0%19.9%0.6%5.6%210.9K-2.2M-17.2K1.119.10N/AN/A1301444,311935
2018-06-26$34.95$35.0018.8%5.4%17.3%26.9%18.8%1.4%6.6%226.8K-2.4M-17.5K1.448.08N/AN/A1001444,354962
2018-06-27$34.64$35.0019.0%5.4%16.6%27.6%19.0%0.1%5.9%201.8K-1.9M-16.4K1.687.13N/AN/A851434,348962
2018-06-28$34.99$35.0018.2%5.2%16.9%25.3%18.2%1.4%7.0%224.6K-2.3M-17.0K1.426.62N/AN/A921314,345955
2018-06-29$35.15$35.0017.7%5.1%16.3%23.8%17.7%3.1%8.0%246.4K-2.6M-17.7K1.367.75N/AN/A941284,357955