OTEX Options History — June 2019

In June 2019, OTEX traded between $38.93 and $41.67. ATM implied volatility averaged 19.2%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 1.4% (HV 20d: 17.8%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.52.

Notable Days

  • 2019-06-21: Highest Volume — 351 contracts
  • 2019-06-04: Largest IV drop — 8.5% change
  • 2019-06-03: Highest IV Rank — 35.2%
  • 2019-06-03: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.95$38.93$41.67$38.93$41.24
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV19.2%18.5%20.5%20.5%19.1%
Expected Move5.5%5.3%5.9%5.9%5.5%
HV 20d17.8%15.8%21.1%20.3%16.3%
HV 60d16.8%16.1%17.1%16.1%17.1%
IV Rank30.7%28.6%35.2%35.2%30.5%
IV Percentile42.6%34.1%50.8%50.8%40.9%
Term Structure3.3%0.1%4.5%0.1%4.2%
VWIV17.7%10.5%20.7%20.7%19.6%
Skew 25d4.1%-3.2%33.8%-2.5%-1.0%
Skew 10d6.7%-7.6%45.3%-7.6%0.3%
Call IV 25d17.2%12.1%23.4%22.0%20.2%
Put IV 25d21.4%18.8%56.2%19.5%19.2%
Bid-Ask Spread %71.4154.4495.1554.4462.17
Gamma HHI0.670.580.780.720.65
Net GEX235.8K198.5K285.9K198.5K243.1K
Net DEX-4.3M-5.0M-2.0M-2.0M-4.4M
Net VEX-11.9K-13.0K-11.0K-11.1K-11.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.004.000.320.19
Total Volume128.61535125044
Total OI2,432.92,1372,5622,1372,413

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-06-03$38.93$40.0020.5%5.9%20.3%35.2%20.7%-2.5%0.1%198.5K-2.0M-11.1K0.3254.44N/AN/A190601,798339
2019-06-04$39.52$40.0018.8%5.4%21.1%29.6%18.8%33.8%1.2%250.1K-2.6M-12.7K0.8556.29N/AN/A71601,922399
2019-06-05$40.10$40.0019.0%5.4%20.2%30.1%19.0%-3.2%0.6%265.0K-3.3M-13.0K1.0454.67N/AN/A69721,924400
2019-06-06$40.74$40.0018.6%5.6%18.7%29.0%19.7%7.7%2.9%256.5K-4.0M-12.9K2.0287.50N/AN/A48971,930414
2019-06-07$41.16$40.0018.5%5.4%18.9%28.6%18.7%0.8%3.6%237.1K-4.5M-12.7K0.6482.11N/AN/A114731,940450
2019-06-10$41.28$40.0019.0%5.6%18.9%30.1%18.1%1.2%3.5%242.2K-4.8M-12.2K0.0069.65N/AN/A10601,982459
2019-06-11$40.99$40.0019.4%5.4%17.6%31.6%10.5%6.9%4.1%268.0K-4.4M-12.5K0.0767.61N/AN/A140102,021459
2019-06-12$41.30$40.0019.8%5.7%17.7%32.9%11.1%7.8%3.4%249.4K-4.8M-12.1K0.0957.47N/AN/A158142,020459
2019-06-13$41.28$40.0019.0%5.4%17.7%30.1%14.3%4.3%3.3%254.5K-4.9M-12.0K0.1668.51N/AN/A147242,085463
2019-06-14$41.27$40.0019.5%5.6%17.5%31.8%13.5%7.2%4.2%210.1K-5.0M-11.7K0.1389.04N/AN/A185242,087463
2019-06-17$40.85$40.0019.1%5.5%17.4%30.5%19.1%2.3%4.0%285.9K-4.4M-12.0K4.0095.15N/AN/A3122,081463
2019-06-18$41.24$40.0019.1%5.5%17.3%30.7%19.1%1.2%4.2%199.6K-4.9M-11.3K0.1782.93N/AN/A72122,081473
2019-06-19$41.30$40.0019.3%5.5%16.7%31.3%19.3%4.0%4.4%208.1K-5.0M-11.8K0.1086.80N/AN/A163162,089473
2019-06-20$41.60$40.0019.4%5.6%16.9%31.4%19.0%6.8%3.0%202.8K-5.0M-11.0K0.3873.23N/AN/A45172,033477
2019-06-21$41.30$40.0019.5%5.6%15.8%31.7%19.4%1.0%3.7%201.3K-4.8M-11.3K0.0790.49N/AN/A327242,036478
2019-06-24$41.67$40.0019.2%5.5%16.0%31.0%19.1%2.4%3.6%222.4K-4.8M-11.3K0.0059.33N/AN/A3601,992380
2019-06-25$40.91$40.0018.5%5.3%17.5%28.6%18.5%-0.6%4.5%237.4K-4.1M-11.7K0.0665.90N/AN/A3121,999380
2019-06-26$41.01$40.0018.9%5.4%16.5%30.1%18.8%1.3%4.3%242.9K-4.2M-11.7K0.1159.33N/AN/A4752,012382
2019-06-27$41.23$40.0018.9%5.4%16.3%29.8%18.7%1.1%3.8%240.8K-4.4M-11.3K0.1065.60N/AN/A4952,023379
2019-06-28$41.24$40.0019.1%5.5%16.3%30.5%19.6%-1.0%4.2%243.1K-4.4M-11.3K0.1962.17N/AN/A3772,034379