OTEX Options History — July 2019

In July 2019, OTEX traded between $41.38 and $44.07. ATM implied volatility averaged 23.5%, placing in the 44.8% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 10.5% (HV 20d: 13.0%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.13.

Notable Days

  • 2019-07-25: Highest Volume — 515 contracts
  • 2019-07-10: Largest IV spike — 78.7% change
  • 2019-07-31: Highest IV Rank — 68.8%
  • 2019-07-31: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.77$41.38$44.07$41.38$42.65
Max Pain$35.68$35.00$40.00$40.00$35.00
ATM IV23.5%11.2%30.9%18.7%30.9%
Expected Move7.1%3.2%8.9%5.4%8.9%
HV 20d13.0%11.4%14.1%14.1%13.6%
HV 60d16.8%16.1%17.1%16.6%16.4%
IV Rank44.8%4.9%68.8%29.1%68.8%
IV Percentile60.9%2.8%89.3%36.1%89.3%
Term Structure-3.0%-9.1%13.2%4.7%-9.0%
VWIV25.3%11.2%33.9%18.6%33.9%
Skew 25d3.7%-2.4%7.7%1.4%3.6%
Skew 10d12.7%-3.8%34.7%34.7%13.2%
Call IV 25d23.1%14.8%31.5%17.2%31.5%
Put IV 25d26.8%12.3%35.1%18.5%35.1%
Bid-Ask Spread %73.7463.2079.7563.3878.67
Gamma HHI0.480.420.650.650.45
Net GEX208.7K166.3K257.3K243.5K257.3K
Net DEX-5.9M-6.6M-4.6M-4.6M-5.7M
Net VEX-12.2K-16.7K-9.4K-10.6K-16.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.130.000.830.000.21
Total Volume205.545175153157
Total OI2,636.5912,3152,9792,4192,811

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-07-01$41.38$40.0018.7%5.4%14.1%29.1%18.6%1.4%4.7%243.5K-4.6M-10.6K0.0063.38N/AN/A3102,033386
2019-07-02$41.88$40.0018.3%5.2%13.8%27.8%18.1%-1.1%5.4%229.0K-5.2M-10.1K0.0066.28N/AN/A4202,047386
2019-07-03$42.36$40.0011.2%3.2%13.4%4.9%11.2%-2.4%13.2%166.3K-5.5M-9.5K0.2963.20N/AN/A104302,050386
2019-07-05$41.99$35.0016.9%7.0%13.1%23.4%24.8%3.1%-2.5%224.1K-5.2M-10.1K0.5073.62N/AN/A116582,057415
2019-07-08$41.91$35.0018.3%7.3%12.7%28.0%25.3%3.2%-3.3%225.1K-5.1M-10.0K0.8371.83N/AN/A48402,064455
2019-07-09$42.42$35.0014.2%7.4%13.3%14.8%24.8%2.9%-3.7%172.1K-5.8M-9.5K0.2873.01N/AN/A144402,102483
2019-07-10$42.50$35.0025.4%7.3%12.9%51.1%24.2%3.0%-2.6%173.8K-5.9M-9.6K0.0272.54N/AN/A10122,116483
2019-07-11$42.86$35.0022.0%6.3%13.0%40.0%25.1%3.9%-1.4%171.5K-6.0M-9.4K0.0572.79N/AN/A3922,113485
2019-07-12$42.45$35.0025.8%7.4%13.6%52.2%24.2%3.2%-4.0%172.4K-5.8M-9.4K0.0374.08N/AN/A11632,111485
2019-07-15$42.73$35.0023.3%6.7%13.7%44.0%23.3%3.9%-2.7%174.3K-6.1M-9.5K0.0167.99N/AN/A9312,157486
2019-07-16$42.48$35.0027.5%7.9%13.3%57.6%26.8%2.8%-5.2%189.1K-6.0M-9.8K0.0177.66N/AN/A41342,246486
2019-07-17$42.55$35.0024.6%7.0%13.0%48.2%26.9%3.4%-3.4%203.6K-6.3M-11.4K0.0175.58N/AN/A31142,455488
2019-07-18$42.68$35.0023.6%6.8%13.0%45.2%26.1%3.4%-2.6%205.1K-6.3M-11.2K0.0277.21N/AN/A23042,451488
2019-07-19$42.84$35.0024.1%6.9%12.9%46.7%26.1%3.0%-3.4%210.9K-6.5M-11.8K0.0379.75N/AN/A24372,491488
2019-07-22$43.50$35.0025.0%7.2%13.3%49.7%25.1%6.4%-4.9%207.5K-5.3M-11.4K0.0078.60N/AN/A33512,007308
2019-07-23$43.23$35.0026.2%7.5%13.4%53.4%26.2%4.3%-5.6%225.1K-5.8M-16.1K0.0169.69N/AN/A34522,257309
2019-07-24$43.69$35.0026.1%7.5%11.4%53.0%26.7%6.5%-5.3%228.9K-6.4M-16.4K0.1877.73N/AN/A412762,332310
2019-07-25$43.91$35.0027.0%7.7%11.4%56.0%29.8%7.7%-5.9%223.2K-6.5M-16.6K0.1777.20N/AN/A439762,311360
2019-07-26$44.07$35.0027.8%8.0%11.4%58.7%29.3%7.0%-6.8%225.0K-6.6M-16.3K0.2377.77N/AN/A341792,317361
2019-07-29$43.69$35.0029.5%8.5%12.2%64.3%29.5%6.7%-8.2%230.0K-6.4M-16.5K0.0076.60N/AN/A1702,347365
2019-07-30$43.19$35.0030.8%8.8%13.2%68.4%30.8%4.8%-9.1%234.0K-6.1M-16.6K0.0177.12N/AN/A11512,352365
2019-07-31$42.65$35.0030.9%8.9%13.6%68.8%33.9%3.6%-9.0%257.3K-5.7M-16.7K0.2178.67N/AN/A47102,446365