OTEX Options History — November 2018

In November 2018, OTEX traded between $32.50 and $34.59. ATM implied volatility averaged 22.8%, placing in the 37.9% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 2.4% (HV 20d: 25.2%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.90.

Notable Days

  • 2018-11-14: Highest Volume — 589 contracts
  • 2018-11-12: Largest IV spike — 64.4% change
  • 2018-11-13: Highest IV Rank — 87.0%
  • 2018-11-12: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.37$32.50$34.59$34.05$34.27
Max Pain$30.95$30.00$35.00$35.00$35.00
ATM IV22.8%17.2%39.6%21.8%20.9%
Expected Move6.0%4.9%7.9%6.2%6.0%
HV 20d25.2%23.1%27.5%26.3%23.2%
HV 60d19.7%17.9%21.3%17.9%21.3%
IV Rank37.9%22.3%87.0%35.7%30.9%
IV Percentile59.8%25.0%98.8%61.1%53.6%
Term Structure0.6%-2.3%3.3%-0.1%-0.3%
VWIV22.9%17.4%29.6%25.0%21.4%
Skew 25d3.3%-5.3%10.2%10.2%-1.6%
Skew 10d4.6%-14.1%12.4%11.4%-4.4%
Call IV 25d21.7%19.1%24.0%22.2%22.9%
Put IV 25d25.0%18.1%32.3%32.3%21.3%
Bid-Ask Spread %29.886.4985.6535.8481.26
Gamma HHI0.620.460.880.750.84
Net GEX75.8K-24.2K239.2K233.5K190.1K
Net DEX-229.1K-1.4M657.6K-1.0M-1.4M
Net VEX-8.2K-10.3K-6.0K-10.2K-10.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.301.741.741.02
Total Volume361.048184589537184
Total OI5,205.3331,6947,9807,5452,361

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$34.05$35.0021.8%6.2%26.3%35.7%25.0%10.2%-0.1%233.5K-1.0M-10.2K1.7435.84N/AN/A1963412,9094,636
2018-11-02$33.17$35.0019.0%5.5%27.5%27.7%20.6%-5.3%-2.0%50.7K89.7K-9.4K1.6927.36N/AN/A2023412,9154,642
2018-11-05$33.01$30.0024.4%6.4%27.4%43.3%24.6%3.4%2.0%-24.2K335.8K-9.4K0.7012.83N/AN/A1861302,8954,642
2018-11-06$33.00$30.0025.0%6.1%27.4%45.1%29.6%4.1%2.7%-1.1K347.7K-8.7K0.7916.36N/AN/A1741382,8874,650
2018-11-07$33.70$30.0019.4%5.7%25.6%29.0%19.9%5.4%3.3%239.2K-405.9K-8.1K0.7015.72N/AN/A1971382,8864,638
2018-11-08$33.28$30.0029.4%5.8%25.9%57.8%19.3%3.2%3.0%101.5K-6.9K-8.0K0.7525.91N/AN/A1831382,9024,638
2018-11-09$33.09$30.0020.1%5.7%24.8%30.8%17.4%4.9%3.1%75.5K356.9K-6.9K0.7915.70N/AN/A1751382,9024,640
2018-11-12$32.50$30.0033.0%7.9%25.1%68.1%26.9%3.5%0.7%-21.5K657.6K-6.0K0.6413.62N/AN/A2071332,9004,640
2018-11-13$32.96$30.0039.6%5.9%24.1%87.0%24.3%2.9%2.0%-8.4K431.0K-7.1K0.9914.32N/AN/A2052022,9334,640
2018-11-14$32.81$30.0018.2%5.2%24.1%25.2%22.0%4.0%2.0%13.2K556.2K-6.6K0.4313.20N/AN/A4111782,9364,705
2018-11-15$32.87$30.0017.2%4.9%23.8%22.3%24.8%3.0%2.6%32.7K464.1K-7.0K0.6134.61N/AN/A2751683,1514,705
2018-11-16$33.26$30.0020.9%6.0%24.1%33.3%21.4%4.3%1.9%45.2K327.2K-7.2K0.8756.63N/AN/A2532203,2704,710
2018-11-19$32.51$30.0019.2%5.5%24.8%28.3%19.4%5.6%0.3%32.2K-96.0K-7.1K0.7322.26N/AN/A127931,157537
2018-11-20$32.56$30.0019.7%5.7%24.8%27.5%25.9%3.7%-2.3%37.1K-136.6K-7.4K1.4139.42N/AN/A1001411,210555
2018-11-21$33.47$30.0021.7%6.2%26.5%33.2%24.0%3.7%-1.8%53.0K-491.8K-7.9K0.6520.68N/AN/A1951271,216605
2018-11-23$33.50$30.0021.2%6.1%26.4%31.8%23.0%4.7%-1.2%69.1K-600.7K-8.2K0.9568.56N/AN/A1331271,318607
2018-11-26$34.08$30.0021.9%6.3%26.2%34.1%24.4%6.9%-1.1%83.7K-853.5K-8.4K1.436.49N/AN/A1442061,318607
2018-11-27$34.12$30.0021.7%6.2%24.7%33.4%22.8%7.9%-0.7%97.2K-916.1K-8.8K0.6711.14N/AN/A1711151,373636
2018-11-28$34.59$30.0022.5%6.5%23.6%35.7%22.5%-0.9%-0.9%122.8K-1.3M-9.3K0.309.88N/AN/A4411341,450635
2018-11-29$34.07$35.0022.3%6.4%23.1%35.1%21.8%-4.2%-1.1%170.8K-1.2M-10.2K1.0385.65N/AN/A1061091,700655
2018-11-30$34.27$35.0020.9%6.0%23.2%30.9%21.4%-1.6%-0.3%190.1K-1.4M-10.3K1.0281.26N/AN/A91931,704657