OTEX Options History — March 2019

In March 2019, OTEX traded between $37.46 and $38.48. ATM implied volatility averaged 16.8%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 6.9% (HV 20d: 10.0%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.83.

Notable Days

  • 2019-03-20: Highest Volume — 347 contracts
  • 2019-03-20: Largest IV spike — 75.5% change
  • 2019-03-08: Highest IV Rank — 47.4%
  • 2019-03-08: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.92$37.46$38.48$38.07$38.39
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV16.8%11.2%26.1%11.2%14.3%
Expected Move6.0%3.2%7.5%3.2%6.3%
HV 20d10.0%8.6%18.4%18.4%11.0%
HV 60d20.7%17.3%24.0%24.0%17.3%
IV Rank20.1%3.5%47.4%3.5%12.7%
IV Percentile24.7%1.6%67.9%1.6%10.7%
Term Structure6.2%3.9%12.8%7.9%6.8%
VWIV22.6%13.8%25.7%13.8%24.2%
Skew 25d0.1%-4.9%5.6%5.6%-1.6%
Skew 10d-1.5%-11.3%14.7%8.1%-4.9%
Call IV 25d15.9%10.5%18.9%11.4%15.9%
Put IV 25d16.0%11.3%21.1%17.0%14.3%
Bid-Ask Spread %78.1157.3193.0859.2483.82
Gamma HHI0.710.570.970.630.97
Net GEX143.9K126.5K168.6K142.2K166.8K
Net DEX-2.7M-3.0M-2.3M-2.8M-2.9M
Net VEX-8.8K-9.8K-7.8K-9.1K-9.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.830.0045.000.240.00
Total Volume69.238034713128
Total OI1,918.5241,6962,2501,8012,250

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-03-01$38.07$35.0011.2%3.2%18.4%3.5%13.8%5.6%7.9%142.2K-2.8M-9.1K0.2459.24N/AN/A106251,471330
2019-03-04$37.84$35.0013.9%4.0%10.2%11.5%22.5%3.1%4.1%136.5K-2.7M-8.9K0.0670.28N/AN/A1611,471330
2019-03-05$37.88$35.0018.6%5.3%9.9%25.2%22.5%3.0%4.6%140.3K-2.7M-9.0K0.3458.87N/AN/A32111,477331
2019-03-06$37.89$35.0023.0%6.6%9.7%38.3%23.4%2.2%3.9%140.2K-2.7M-9.0K0.3357.31N/AN/A33111,481342
2019-03-07$37.56$35.0019.8%5.7%9.9%28.7%24.3%4.8%5.2%130.1K-2.5M-8.9K0.2858.09N/AN/A39111,483342
2019-03-08$37.52$35.0026.1%7.5%8.7%47.4%23.2%3.3%4.4%126.5K-2.4M-8.8K0.3357.38N/AN/A43141,475342
2019-03-11$37.73$35.0024.6%6.3%8.9%43.0%0.0%1.3%3.9%133.2K-2.6M-8.5K0.0081.07N/AN/A1001,475340
2019-03-12$38.09$35.0016.9%6.3%8.9%20.4%22.1%2.3%4.6%146.5K-2.8M-8.4K0.0081.03N/AN/A1901,485340
2019-03-13$38.03$35.0013.4%6.2%9.0%9.9%22.5%-4.8%5.4%147.3K-2.8M-8.4K0.0080.27N/AN/A2001,490340
2019-03-14$37.90$35.0013.6%6.1%8.8%10.6%19.2%-3.4%5.2%148.4K-2.8M-8.1K0.0593.08N/AN/A1911,495340
2019-03-15$38.02$35.0013.4%6.0%8.6%10.0%22.0%-4.4%5.0%142.8K-2.7M-8.3K0.0286.57N/AN/A4211,502341
2019-03-18$38.15$35.0013.9%6.1%8.6%11.4%25.7%-4.9%5.3%145.5K-2.7M-8.0K45.0086.89N/AN/A1451,422274
2019-03-19$38.25$35.0013.3%6.0%8.6%9.8%24.9%-3.6%5.4%154.7K-2.9M-8.1K1.5085.58N/AN/A30451,422277
2019-03-20$37.93$35.0023.4%6.0%9.2%39.3%22.2%-2.9%4.9%148.0K-2.7M-7.8K0.6292.48N/AN/A2141331,436277
2019-03-21$38.09$35.0013.2%6.2%9.0%9.4%25.1%-2.9%7.1%167.2K-2.9M-9.2K3.4181.11N/AN/A391331,622388
2019-03-22$37.46$35.0012.8%7.3%10.3%8.3%25.1%1.9%11.5%134.2K-2.5M-8.8K4.4684.82N/AN/A502231,627388
2019-03-25$37.52$35.0015.8%6.4%10.0%17.0%0.0%2.9%4.4%126.6K-2.3M-9.8K0.0082.21N/AN/A001,629589
2019-03-26$37.66$35.0014.7%6.2%10.0%13.9%22.4%0.4%12.8%133.6K-2.5M-9.4K0.0087.50N/AN/A801,629589
2019-03-27$37.94$35.0016.8%6.2%10.4%20.0%22.1%1.0%10.9%143.3K-2.6M-9.6K0.0083.50N/AN/A1101,632589
2019-03-28$38.48$35.0020.6%6.3%11.0%31.3%22.6%-1.0%6.3%168.6K-3.0M-9.4K0.0089.30N/AN/A4001,637589
2019-03-29$38.39$35.0014.3%6.3%11.0%12.7%24.2%-1.6%6.8%166.8K-2.9M-9.8K0.0083.82N/AN/A2801,661589