OTEX Options History — December 2018

In December 2018, OTEX traded between $31.51 and $34.55. ATM implied volatility averaged 24.6%, placing in the 41.9% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 1.1% (HV 20d: 25.7%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 5.16.

Notable Days

  • 2018-12-21: Highest Volume — 2,723 contracts
  • 2018-12-21: Largest IV spike — 54.1% change
  • 2018-12-24: Highest IV Rank — 71.3%
  • 2018-12-24: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.05$31.51$34.55$34.55$32.62
Max Pain$34.25$30.00$35.00$35.00$35.00
ATM IV24.6%19.3%34.4%19.9%23.5%
Expected Move7.2%5.7%9.9%5.7%6.7%
HV 20d25.7%21.0%31.2%21.1%30.5%
HV 60d23.9%21.4%26.7%21.4%26.5%
IV Rank41.9%26.3%71.3%27.9%38.8%
IV Percentile65.9%42.9%94.0%47.6%64.3%
Term Structure3.6%-0.0%12.8%0.7%2.0%
VWIV24.5%19.9%34.4%19.9%24.1%
Skew 25d6.5%-3.2%37.8%-3.2%5.6%
Skew 10d8.0%-7.0%44.3%-7.0%2.2%
Call IV 25d25.2%22.6%31.5%24.2%25.5%
Put IV 25d31.7%21.1%62.1%21.1%31.1%
Bid-Ask Spread %75.3348.4190.8357.9955.24
Gamma HHI0.780.570.910.860.57
Net GEX73.2K-221.0K244.7K217.5K-126.6K
Net DEX-237.9K-1.5M2.2M-1.5M719.5K
Net VEX-10.2K-14.6K-7.7K-10.0K-11.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.160.0069.430.339.68
Total Volume448.15312,72348235
Total OI3,270.22,3385,0072,3385,007

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-03$34.55$35.0019.9%5.7%21.1%27.9%19.9%-3.2%0.7%217.5K-1.5M-10.0K0.3357.99N/AN/A36121,679659
2018-12-04$34.27$35.0020.7%5.9%21.3%30.3%20.7%36.5%0.2%200.1K-1.2M-9.8K0.0658.59N/AN/A208131,702669
2018-12-05$34.24$35.0021.3%6.1%21.3%32.3%21.4%37.8%-0.0%198.1K-1.2M-9.7K0.0662.61N/AN/A208131,702669
2018-12-06$33.37$35.0019.3%6.4%22.1%26.3%22.5%4.2%3.2%147.0K-609.5K-9.1K0.0084.66N/AN/A4801,778668
2018-12-07$33.09$35.0021.1%6.5%21.9%31.6%22.3%3.0%3.8%123.2K-412.6K-8.8K0.1489.54N/AN/A95131,792668
2018-12-10$33.42$30.0020.8%6.5%22.1%30.6%22.6%2.9%4.0%152.9K-660.4K-8.9K0.1184.24N/AN/A121131,836672
2018-12-11$33.56$30.0021.8%6.6%21.0%33.5%23.0%3.3%3.6%177.6K-894.5K-9.2K0.0768.56N/AN/A165111,823668
2018-12-12$34.16$30.0023.2%6.6%21.3%37.6%23.1%2.9%3.7%244.7K-1.4M-9.9K0.1869.79N/AN/A448801,885667
2018-12-13$33.86$35.0022.8%6.5%21.5%36.5%22.8%3.3%4.5%240.0K-1.1M-10.1K0.2278.59N/AN/A277622,142725
2018-12-14$32.69$35.0022.7%6.5%25.2%36.2%22.7%4.4%4.5%89.3K-192.6K-8.8K0.2377.57N/AN/A285662,167765
2018-12-17$31.89$35.0029.2%8.4%26.2%55.6%21.1%2.5%2.5%45.1K145.8K-7.8K0.8248.41N/AN/A17142,167765
2018-12-18$33.22$35.0025.4%7.3%29.1%44.3%25.4%2.9%2.5%146.9K-568.2K-8.8K0.0385.49N/AN/A440142,152739
2018-12-19$32.93$35.0025.1%7.2%29.3%43.4%25.3%2.9%2.6%174.2K-628.1K-9.4K0.0984.23N/AN/A427402,459767
2018-12-20$32.59$35.0020.1%5.8%27.7%28.6%23.2%4.6%4.0%90.9K-393.7K-9.1K1.2990.83N/AN/A28362,458762
2018-12-21$31.51$35.0031.0%8.9%30.0%61.0%31.1%4.0%2.6%64.4K150.0K-7.7K18.1888.65N/AN/A1422,5812,464765
2018-12-24$31.57$35.0034.4%9.9%29.1%71.3%34.4%5.5%1.5%-221.0K2.2M-14.6K69.4388.37N/AN/A372,5691,7193,143
2018-12-26$32.48$35.0028.0%8.0%31.2%52.0%25.4%5.1%12.8%-158.0K974.0K-13.3K0.0288.50N/AN/A4611,7343,143
2018-12-27$32.61$35.0027.9%8.0%30.8%51.9%33.2%-1.4%1.9%-190.3K886.3K-13.1K0.0383.10N/AN/A3111,7603,144
2018-12-28$32.40$35.0033.5%9.6%30.5%68.6%26.4%3.0%10.8%-151.6K888.0K-13.3K2.1761.62N/AN/A41891,7763,144
2018-12-31$32.62$35.0023.5%6.7%30.5%38.8%24.1%5.6%2.0%-126.6K719.5K-11.7K9.6855.24N/AN/A222131,7813,226