OTEX Options History — October 2018

In October 2018, OTEX traded between $32.38 and $37.74. ATM implied volatility averaged 28.1%, placing in the 53.9% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 9.7% (HV 20d: 18.4%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 1.01.

Notable Days

  • 2018-10-31: Highest Volume — 969 contracts
  • 2018-10-04: Largest IV spike — 64.6% change
  • 2018-10-31: Highest IV Rank — 89.9%
  • 2018-10-31: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.83$32.38$37.74$37.74$33.95
Max Pain$35.65$35.00$40.00$40.00$35.00
ATM IV28.1%13.4%40.6%14.5%40.6%
Expected Move8.3%3.8%11.6%4.2%11.6%
HV 20d18.4%11.4%26.6%11.4%26.6%
HV 60d17.8%16.4%18.9%16.9%18.3%
IV Rank53.9%11.5%89.9%14.7%89.9%
IV Percentile75.3%5.6%99.2%8.3%99.2%
Term Structure-3.3%-11.6%12.0%6.8%-11.6%
VWIV29.7%12.9%44.5%17.5%44.5%
Skew 25d2.6%-6.0%8.4%-6.0%3.4%
Skew 10d4.2%-6.4%16.2%-6.4%2.7%
Call IV 25d29.0%12.2%43.0%17.3%43.0%
Put IV 25d31.6%11.3%46.4%11.3%46.4%
Bid-Ask Spread %23.335.5852.585.5852.58
Gamma HHI0.520.390.780.780.46
Net GEX43.4K-54.1K122.9K122.9K-54.1K
Net DEX-323.1K-1.7M623.6K-1.7M-301.9K
Net VEX-6.5K-11.9K-4.7K-8.2K-11.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.571.751.040.80
Total Volume332.087219969232969
Total OI2,447.5222,1196,9082,1196,908

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-10-01$37.74$40.0014.5%4.2%11.4%14.7%17.5%-6.0%6.8%122.9K-1.7M-8.2K1.045.58N/AN/A1141181,621498
2018-10-02$37.20$40.0014.1%4.0%12.1%13.4%14.4%1.3%10.7%96.2K-1.3M-7.7K0.967.32N/AN/A1241191,626500
2018-10-03$37.11$40.0013.4%3.8%11.5%11.5%12.9%0.9%12.0%94.9K-1.3M-7.8K0.9612.30N/AN/A1241191,642503
2018-10-04$36.47$35.0022.0%7.7%12.5%36.4%25.0%0.4%-3.4%77.4K-997.2K-7.2K1.0514.65N/AN/A1131191,636501
2018-10-05$36.20$35.0022.9%7.8%12.6%38.9%24.7%0.7%-3.7%71.4K-915.2K-7.0K0.9216.22N/AN/A1191101,633501
2018-10-08$35.94$35.0023.5%7.9%12.6%40.5%25.9%4.9%-3.9%60.6K-786.8K-7.0K0.9628.94N/AN/A1131081,626512
2018-10-09$35.62$35.0022.2%7.8%12.7%36.8%25.9%3.4%-3.1%48.2K-613.0K-6.5K0.6421.69N/AN/A1681081,627520
2018-10-10$34.29$35.0029.0%8.3%17.5%56.6%29.1%2.4%-3.1%60.5K-331.2K-6.3K0.5726.99N/AN/A2131221,738520
2018-10-11$34.09$35.0029.4%8.4%17.5%57.8%30.9%2.2%-4.7%52.8K-169.4K-6.0K1.3530.12N/AN/A1081461,729535
2018-10-12$34.72$35.0029.4%8.4%18.7%57.9%31.7%2.9%-3.1%63.0K-323.0K-6.6K1.4645.88N/AN/A891301,711586
2018-10-15$34.24$35.0029.4%8.4%18.8%57.8%32.0%2.5%-5.1%48.3K-29.7K-5.8K0.7522.72N/AN/A1851381,713593
2018-10-16$35.04$35.0029.2%8.4%21.2%57.1%36.4%6.6%-2.7%85.6K-377.0K-6.1K0.7248.13N/AN/A2011441,720605
2018-10-17$34.88$35.0029.4%8.4%21.2%57.6%30.0%2.7%-4.9%86.6K-271.7K-6.1K0.8118.66N/AN/A1771441,731610
2018-10-18$34.39$35.0029.9%8.6%20.9%59.1%29.8%1.0%-5.5%55.2K-48.1K-5.9K1.0917.75N/AN/A1371491,732610
2018-10-19$34.03$35.0030.3%8.7%20.9%60.3%31.6%0.4%-6.2%10.0K162.1K-5.7K1.2819.52N/AN/A1231571,788636
2018-10-22$34.41$35.0031.1%8.9%21.7%62.6%31.2%1.1%-6.4%12.0K4.9K-5.6K1.7417.38N/AN/A1091901,560621
2018-10-23$34.45$35.0031.9%9.1%21.8%64.9%32.7%5.3%-6.5%15.3K-32.3K-6.0K1.7514.12N/AN/A1322311,581644
2018-10-24$33.91$35.0032.5%9.3%22.0%66.5%33.2%2.6%-6.3%5.0K203.2K-5.7K1.2617.59N/AN/A1842311,596701
2018-10-25$33.72$35.0033.5%9.6%21.0%69.4%34.0%8.4%-6.9%3.4K179.2K-5.7K1.0016.35N/AN/A2142131,613703
2018-10-26$33.11$35.0034.1%9.8%21.3%71.2%34.5%4.7%-6.7%-4.5K481.8K-5.1K0.6313.37N/AN/A2331461,587706
2018-10-29$32.38$35.0036.2%10.4%22.0%77.3%38.4%3.7%-0.3%-7.2K623.6K-4.7K0.7338.70N/AN/A2201601,570708
2018-10-30$33.21$35.0037.5%10.7%24.7%81.1%37.7%4.1%-10.6%-6.1K429.7K-4.9K0.7730.12N/AN/A2071601,584708
2018-10-31$33.95$35.0040.6%11.6%26.6%89.9%44.5%3.4%-11.6%-54.1K-301.9K-11.9K0.8052.58N/AN/A5384312,5824,326