OTEX Options History — August 2018

In August 2018, OTEX traded between $37.48 and $39.73. ATM implied volatility averaged 18.1%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 3.0% (HV 20d: 21.1%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 1.13.

Notable Days

  • 2018-08-03: Highest Volume — 2,760 contracts
  • 2018-08-15: Largest IV spike — 53.7% change
  • 2018-08-01: Highest IV Rank — 81.1%
  • 2018-08-01: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.88$37.48$39.73$37.48$39.26
Max Pain$39.35$35.00$40.00$35.00$40.00
ATM IV18.1%11.3%37.5%37.5%15.6%
Expected Move5.3%4.5%10.7%10.7%4.5%
HV 20d21.1%13.3%24.2%19.4%13.3%
HV 60d18.5%18.0%20.7%19.1%18.2%
IV Rank25.1%5.3%81.1%81.1%17.8%
IV Percentile23.4%1.2%98.4%98.4%9.9%
Term Structure1.4%-10.7%5.7%-9.2%1.7%
VWIV18.6%15.6%37.4%33.4%15.6%
Skew 25d2.2%-4.9%6.2%3.5%-4.9%
Skew 10d3.8%-14.0%10.1%3.7%-14.0%
Call IV 25d16.8%14.5%23.8%23.8%19.7%
Put IV 25d19.0%13.0%27.3%27.3%14.8%
Bid-Ask Spread %18.47-1.7576.5259.8613.02
Gamma HHI0.860.730.980.810.88
Net GEX421.8K130.1K1.7M487.9K220.1K
Net DEX-4.3M-8.5M-2.1M-5.5M-2.7M
Net VEX-11.5K-17.6K-9.4K-16.7K-11.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.112.260.561.22
Total Volume452.2611922,760460238
Total OI3,656.871,7867,3405,5592,181

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-08-01$37.48$35.0037.5%10.7%19.4%81.1%33.4%3.5%-9.2%487.9K-5.5M-16.7K0.5659.86N/AN/A2951654,709850
2018-08-02$37.72$35.0035.0%10.0%19.1%73.9%37.4%2.7%-10.7%505.8K-5.9M-16.7K0.747.55N/AN/A2231654,642859
2018-08-03$39.25$35.0019.3%5.5%23.1%28.5%19.3%5.5%-2.3%1.1M-8.5M-16.1K0.11-1.75N/AN/A2,4822784,749882
2018-08-06$39.02$40.0017.2%4.9%23.2%22.3%17.5%4.8%4.0%1.7M-8.4M-17.6K0.6233.05N/AN/A3562196,406934
2018-08-07$38.52$40.0015.4%4.9%23.8%17.3%17.8%4.2%4.1%405.3K-5.1M-11.0K0.8612.46N/AN/A3783243,460939
2018-08-08$39.25$40.0017.4%4.9%24.2%23.0%17.8%5.5%4.0%682.6K-6.3M-12.0K1.7714.25N/AN/A1462583,4831,028
2018-08-09$39.40$40.0017.6%4.9%22.6%23.8%17.1%5.6%4.3%771.6K-6.6M-12.1K1.627.39N/AN/A1682723,5001,022
2018-08-10$39.01$40.0014.8%4.9%23.0%15.5%17.2%4.8%4.8%630.6K-5.7M-11.0K1.4918.51N/AN/A1812693,4881,019
2018-08-13$38.98$40.0018.3%5.0%23.0%25.6%18.3%5.0%4.3%641.6K-5.6M-10.5K1.1317.16N/AN/A1341513,5161,022
2018-08-14$39.26$40.0011.3%4.8%21.7%5.3%17.4%6.2%4.6%503.0K-5.1M-9.8K1.1415.75N/AN/A1331513,5281,022
2018-08-15$38.74$40.0017.3%5.0%22.2%22.8%17.7%3.9%4.7%225.6K-4.3M-9.5K0.9922.09N/AN/A1681673,4601,023
2018-08-16$38.74$40.0017.2%4.9%22.2%22.4%17.4%3.3%4.8%263.9K-4.4M-9.5K1.107.45N/AN/A1511663,4571,015
2018-08-17$38.85$40.0015.9%4.6%22.2%18.7%16.3%5.1%5.7%130.1K-4.3M-9.4K1.1416.06N/AN/A1301483,4741,017
2018-08-20$38.68$40.0016.2%4.7%22.1%19.7%16.3%4.3%1.3%135.3K-2.1M-9.5K0.7411.16N/AN/A131971,470316
2018-08-21$38.59$40.0016.9%4.8%22.0%21.6%17.1%3.5%0.4%142.0K-2.1M-9.7K1.0229.50N/AN/A95971,526318
2018-08-22$38.47$40.0016.0%4.6%21.9%19.1%16.3%-4.0%1.2%141.3K-2.1M-9.5K1.2976.52N/AN/A1331711,536321
2018-08-23$38.85$40.0016.7%4.8%21.6%21.0%16.7%-2.4%0.3%145.7K-2.2M-10.3K1.2311.46N/AN/A1391711,531396
2018-08-24$38.94$40.0016.5%4.7%21.0%20.5%16.6%-1.9%0.4%155.8K-2.3M-10.6K1.878.28N/AN/A891661,573396
2018-08-27$38.95$40.0016.2%4.6%18.6%19.6%16.3%-1.4%1.4%162.0K-2.3M-10.4K2.2612.48N/AN/A741671,596394
2018-08-28$39.06$40.0016.1%4.6%18.5%19.2%16.2%-2.3%1.3%164.0K-2.4M-10.4K1.5612.25N/AN/A1071671,600399
2018-08-29$39.38$40.0016.3%4.7%18.6%19.7%16.3%-1.4%0.6%175.6K-2.6M-10.5K1.0010.60N/AN/A1701701,600399
2018-08-30$39.73$40.0016.1%4.6%18.7%19.3%16.1%0.3%1.2%200.6K-3.0M-10.7K0.609.82N/AN/A2141281,648404
2018-08-31$39.26$40.0015.6%4.5%13.3%17.8%15.6%-4.9%1.7%220.1K-2.7M-11.0K1.2213.02N/AN/A1071311,746435