OTEX Options History — September 2018

In September 2018, OTEX traded between $37.96 and $39.38. ATM implied volatility averaged 15.8%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 4.4% (HV 20d: 11.4%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 1.87.

Notable Days

  • 2018-09-14: Highest Volume — 317 contracts
  • 2018-09-12: Largest IV spike — 58.7% change
  • 2018-09-26: Highest IV Rank — 33.8%
  • 2018-09-26: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.37$37.96$39.38$39.38$38.02
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV15.8%10.5%21.1%17.3%13.8%
Expected Move4.8%3.7%6.1%5.0%4.0%
HV 20d11.4%9.7%13.2%13.2%11.8%
HV 60d17.6%16.8%18.4%18.1%17.0%
IV Rank18.3%3.2%33.8%22.7%12.7%
IV Percentile19.5%0.8%61.5%25.8%6.0%
Term Structure5.0%-0.1%6.9%0.2%5.6%
VWIV16.7%12.8%20.7%17.3%17.2%
Skew 25d-1.0%-5.7%4.8%-0.6%-4.5%
Skew 10d-0.2%-5.8%8.7%-0.8%-4.7%
Call IV 25d17.0%15.5%18.0%17.3%17.0%
Put IV 25d15.9%11.4%22.2%16.7%12.5%
Bid-Ask Spread %16.056.2982.1916.1517.48
Gamma HHI0.840.770.880.870.79
Net GEX158.0K125.1K228.5K228.5K135.7K
Net DEX-2.0M-2.8M-1.8M-2.8M-1.9M
Net VEX-9.4K-10.7K-8.6K-10.7K-8.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.870.913.241.321.02
Total Volume239.263183317230232
Total OI2,218.5262,0922,3932,1432,126

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$39.38$40.0017.3%5.0%13.2%22.7%17.3%-0.6%0.2%228.5K-2.8M-10.7K1.3216.15N/AN/A991311,740403
2018-09-05$38.89$40.0017.6%5.1%13.1%23.7%17.7%-1.6%-0.1%206.9K-2.5M-10.5K1.8111.85N/AN/A731321,763440
2018-09-06$38.56$40.0016.2%4.9%11.5%19.6%14.8%-2.6%5.5%184.2K-2.2M-10.2K1.7826.00N/AN/A731301,765438
2018-09-07$38.37$40.0014.7%5.2%11.5%15.2%20.4%3.8%4.0%175.4K-2.1M-9.9K1.7411.17N/AN/A741291,774441
2018-09-10$38.44$40.0010.5%5.1%11.1%3.2%19.1%3.6%5.2%151.2K-2.0M-9.7K1.299.00N/AN/A931201,785441
2018-09-11$38.45$40.0011.2%5.1%11.1%5.0%20.7%4.8%5.3%154.5K-1.9M-9.5K1.6211.67N/AN/A741201,792444
2018-09-12$38.32$40.0017.7%5.1%10.7%23.9%20.3%3.5%5.4%145.6K-1.9M-9.4K1.249.38N/AN/A1071331,798444
2018-09-13$38.28$40.0017.8%5.1%9.7%24.3%19.8%2.5%5.1%150.9K-2.0M-9.6K1.7123.89N/AN/A781331,820453
2018-09-14$38.64$40.0017.1%4.9%10.3%22.1%19.3%3.7%5.7%164.7K-2.1M-9.6K0.917.15N/AN/A1661511,826453
2018-09-17$38.14$40.0018.2%5.2%11.2%25.4%13.9%-4.9%4.6%147.1K-1.9M-9.1K2.147.64N/AN/A631351,827453
2018-09-18$38.20$40.0016.8%4.8%11.2%21.2%13.5%-3.6%6.1%151.7K-1.9M-9.2K2.358.85N/AN/A571341,833454
2018-09-19$38.16$40.0016.8%4.8%11.2%21.2%13.6%-3.8%6.0%149.7K-1.9M-8.9K3.246.29N/AN/A722331,833444
2018-09-20$38.50$40.0015.4%4.4%11.6%17.1%14.3%-2.1%6.8%195.7K-2.1M-9.5K2.8410.43N/AN/A822331,843544
2018-09-21$38.20$40.0013.0%3.7%11.3%10.3%12.9%-4.6%6.7%130.1K-1.8M-9.2K2.5611.38N/AN/A842151,849544
2018-09-24$37.96$40.0014.1%4.0%11.4%13.5%12.8%-5.7%4.6%126.4K-1.8M-9.0K2.4010.84N/AN/A932231,590511
2018-09-25$38.00$40.0013.4%3.8%11.4%11.4%14.5%-4.2%6.0%129.2K-1.8M-8.8K2.2015.20N/AN/A942071,591502
2018-09-26$38.00$40.0021.1%6.1%11.3%33.8%18.5%0.4%6.9%125.1K-1.8M-8.8K1.7782.19N/AN/A661171,590506
2018-09-27$38.47$40.0016.9%4.8%11.9%21.6%17.1%-3.7%5.5%149.4K-2.1M-8.7K1.608.44N/AN/A731171,594498
2018-09-28$38.02$40.0013.8%4.0%11.8%12.7%17.2%-4.5%5.6%135.7K-1.9M-8.6K1.0217.48N/AN/A1151171,628498