OTEX Options History — July 2018

In July 2018, OTEX traded between $35.41 and $38.42. ATM implied volatility averaged 26.8%, placing in the 50.1% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 8.7% (HV 20d: 18.1%). 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 2 of 21 days. Put/call ratio averaged 0.52.

Notable Days

  • 2018-07-12: Highest Volume — 876 contracts
  • 2018-07-11: Largest IV spike — 34.3% change
  • 2018-07-30: Highest IV Rank — 75.6%
  • 2018-07-30: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.27$35.41$38.42$35.41$37.28
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV26.8%19.1%35.6%19.5%35.0%
Expected Move8.0%5.6%10.2%5.6%10.0%
HV 20d18.1%15.3%20.5%16.5%19.4%
HV 60d18.6%17.9%19.2%19.2%19.2%
IV Rank50.1%28.0%75.6%29.0%74.0%
IV Percentile72.8%37.7%97.2%40.5%96.0%
Term Structure-3.9%-8.6%6.2%6.0%-8.6%
VWIV28.3%19.5%34.4%19.6%34.4%
Skew 25d3.3%0.6%5.1%3.7%0.6%
Skew 10d8.0%0.5%14.1%6.8%3.2%
Call IV 25d26.6%17.2%34.0%17.4%34.0%
Put IV 25d29.9%20.9%35.5%21.1%34.6%
Bid-Ask Spread %15.096.3743.876.3728.92
Gamma HHI0.760.540.840.620.78
Net GEX450.1K256.0K570.7K256.0K457.8K
Net DEX-5.9M-7.5M-2.8M-2.8M-5.1M
Net VEX-19.7K-22.6K-16.0K-17.1K-16.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.211.370.661.37
Total Volume544.667296876312296
Total OI5,642.7625,3186,0045,3185,540

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-07-02$35.41$35.0019.5%5.6%16.5%29.0%19.6%3.7%6.0%256.0K-2.8M-17.1K0.666.37N/AN/A1881244,359959
2018-07-03$35.59$35.0019.4%5.6%16.6%28.9%19.5%3.7%6.2%316.4K-3.4M-17.6K0.3012.05N/AN/A4161244,498960
2018-07-05$36.04$35.0020.3%7.7%17.0%31.5%26.1%5.0%-2.6%343.5K-4.1M-18.3K0.9321.52N/AN/A1911774,500960
2018-07-06$36.47$35.0019.1%7.8%17.2%28.0%26.9%3.9%-2.5%370.1K-4.9M-19.0K0.4717.25N/AN/A2941374,5321,012
2018-07-09$36.91$35.0024.6%8.1%17.4%43.7%26.3%2.6%-4.0%400.2K-5.6M-19.2K0.339.55N/AN/A4221394,5241,011
2018-07-10$37.15$35.0021.4%8.2%17.5%34.7%27.6%2.7%-3.7%425.8K-6.2M-20.9K0.428.24N/AN/A4571924,6491,027
2018-07-11$36.85$35.0028.8%8.2%17.7%55.9%28.0%2.1%-4.3%403.0K-5.7M-20.0K0.399.06N/AN/A4961954,6581,025
2018-07-12$37.82$35.0025.1%7.2%19.8%45.4%26.5%3.8%-2.1%462.0K-6.7M-20.8K0.218.75N/AN/A7261504,5381,031
2018-07-13$37.93$35.0026.2%7.5%19.3%48.4%27.1%5.1%-2.8%484.4K-7.3M-22.3K0.297.51N/AN/A5111504,8211,021
2018-07-16$38.08$35.0028.0%8.0%19.1%53.5%28.2%3.8%-4.2%521.4K-7.5M-22.6K0.337.23N/AN/A4811594,8351,021
2018-07-17$37.33$35.0030.1%8.6%20.5%59.6%28.9%1.3%-4.9%444.4K-6.3M-20.8K0.487.52N/AN/A5142484,9621,011
2018-07-18$37.74$35.0027.7%7.9%20.4%52.7%30.6%3.9%-4.1%502.5K-7.2M-22.1K0.758.94N/AN/A3342495,024948
2018-07-19$37.78$35.0028.8%8.3%19.6%56.0%30.6%3.0%-5.5%502.2K-7.1M-22.0K0.808.10N/AN/A3422735,057947
2018-07-20$37.92$35.0028.1%8.1%19.1%54.0%28.4%4.2%-4.4%518.8K-7.3M-21.3K0.349.74N/AN/A4961675,046941
2018-07-23$37.69$35.0028.2%8.1%19.4%54.1%29.8%2.3%-5.6%499.4K-6.1M-19.7K0.379.53N/AN/A3311224,628839
2018-07-24$37.55$35.0027.9%8.0%15.6%53.4%29.4%3.1%-5.2%488.4K-5.8M-18.9K0.3910.81N/AN/A3211244,640846
2018-07-25$37.89$35.0029.5%8.5%15.7%57.9%30.4%2.3%-7.0%519.7K-6.4M-19.3K0.3943.87N/AN/A3171244,638853
2018-07-26$38.42$35.0030.6%8.8%15.3%61.0%31.5%5.1%-7.1%570.7K-7.3M-20.0K0.5710.35N/AN/A2931684,648854
2018-07-27$37.89$35.0028.1%8.1%16.6%53.9%30.6%4.6%-6.8%533.9K-6.3M-18.8K0.5742.22N/AN/A3181824,669866
2018-07-30$36.98$35.0035.6%10.2%19.4%75.6%33.3%2.7%-7.9%432.3K-4.8M-16.0K0.4729.29N/AN/A3331574,757843
2018-07-31$37.28$35.0035.0%10.0%19.4%74.0%34.4%0.6%-8.6%457.8K-5.1M-16.2K1.3728.92N/AN/A1251714,696844