OTEX Options History — August 2019

In August 2019, OTEX traded between $37.60 and $42.59. ATM implied volatility averaged 19.9%, placing in the 33.3% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 14.8% (HV 20d: 34.7%). 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 16 of 22 days. Put/call ratio averaged 1.31.

Notable Days

  • 2019-08-02: Highest Volume — 323 contracts
  • 2019-08-02: Largest IV drop — 37.5% change
  • 2019-08-01: Highest IV Rank — 81.2%
  • 2019-08-01: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.65$37.60$42.59$42.59$39.06
Max Pain$39.55$35.00$40.00$35.00$40.00
ATM IV19.9%16.3%34.8%34.8%17.2%
Expected Move5.7%4.7%10.0%10.0%4.9%
HV 20d34.7%13.1%37.5%13.1%17.4%
HV 60d24.2%15.7%24.9%15.7%23.9%
IV Rank33.3%21.4%81.2%81.2%24.2%
IV Percentile41.8%19.0%96.0%96.0%22.2%
Term Structure0.6%-11.4%3.3%-11.4%0.3%
VWIV21.1%16.3%34.2%34.2%17.2%
Skew 25d2.1%-4.7%5.0%3.2%0.9%
Skew 10d2.7%-8.5%9.7%8.5%-0.4%
Call IV 25d20.3%16.4%33.7%33.7%17.8%
Put IV 25d22.4%14.4%36.9%36.9%18.7%
Bid-Ask Spread %75.9555.9588.7671.6665.39
Gamma HHI0.530.450.700.450.51
Net GEX129.1K72.2K255.7K255.7K122.4K
Net DEX-1.7M-5.7M-1.0M-5.7M-1.9M
Net VEX-13.3K-16.8K-12.0K-16.8K-14.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.0022.500.320.00
Total Volume81.091132328822
Total OI2,552.2731,8593,1072,8372,116

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-08-01$42.59$35.0034.8%10.0%13.1%81.2%34.2%3.2%-11.4%255.7K-5.7M-16.8K0.3271.66N/AN/A219692,464373
2019-08-02$38.82$35.0021.7%6.2%35.5%39.0%21.8%5.0%-1.9%237.5K-2.2M-13.3K0.2581.32N/AN/A259642,556431
2019-08-05$37.73$40.0022.7%6.4%36.5%42.2%21.7%3.6%1.4%155.8K-1.5M-12.2K0.2778.48N/AN/A110302,627421
2019-08-06$37.83$40.0022.1%5.8%36.1%40.3%20.3%3.1%2.2%154.5K-1.4M-12.2K0.6883.80N/AN/A73502,623433
2019-08-07$38.00$40.0020.7%6.0%36.2%35.8%25.5%3.5%2.6%160.6K-1.5M-13.5K22.5085.19N/AN/A2452,623483
2019-08-08$38.64$40.0017.3%5.6%36.7%24.8%20.1%1.1%3.1%223.7K-1.8M-13.8K0.0382.23N/AN/A11932,624483
2019-08-09$38.52$40.0020.1%5.6%36.7%33.7%31.0%2.2%2.6%203.6K-1.7M-13.6K0.2581.30N/AN/A120302,592486
2019-08-12$38.33$40.0018.8%5.9%36.4%29.5%20.6%3.7%2.7%114.6K-1.3M-13.1K0.0086.35N/AN/A702,474508
2019-08-13$38.34$40.0018.9%5.7%36.5%29.9%19.9%4.0%2.4%105.2K-1.3M-12.8K0.3488.34N/AN/A41142,469508
2019-08-14$37.60$40.0020.9%6.0%36.7%36.4%23.1%3.5%1.8%72.2K-1.0M-12.0K0.5085.60N/AN/A40202,457509
2019-08-15$37.91$40.0020.6%5.9%36.9%35.4%0.0%3.9%2.9%81.4K-1.3M-12.6K0.0084.77N/AN/A012,454455
2019-08-16$38.43$40.0019.1%5.5%37.5%30.5%16.3%3.8%3.3%76.4K-1.5M-12.7K0.6288.76N/AN/A29182,454455
2019-08-19$38.74$40.0018.6%5.3%37.0%29.0%18.6%3.9%-0.1%79.5K-1.3M-12.6K0.1255.95N/AN/A143171,543316
2019-08-20$38.67$40.0018.5%5.3%37.0%28.7%18.6%4.0%0.3%86.3K-1.4M-13.1K0.3572.91N/AN/A2071,598332
2019-08-21$38.98$40.0018.2%5.2%36.9%27.7%18.3%-3.2%0.4%92.0K-1.5M-13.5K0.0070.96N/AN/A3901,602339
2019-08-22$39.11$40.0018.2%5.2%36.8%27.6%18.2%4.8%0.1%99.3K-1.6M-14.0K0.0373.93N/AN/A7921,641339
2019-08-23$38.60$40.0019.0%5.4%36.7%30.2%0.0%-4.7%-0.1%101.3K-1.6M-13.8K0.5078.10N/AN/A211,720341
2019-08-26$38.41$40.0018.4%5.3%36.7%28.3%0.0%4.7%-0.2%97.6K-1.5M-13.2K0.0066.86N/AN/A501,722342
2019-08-27$38.66$40.0018.2%5.2%37.0%27.5%0.0%-3.3%0.5%103.2K-1.6M-13.3K0.0058.31N/AN/A3301,727342
2019-08-28$38.52$40.0018.5%5.3%36.9%28.7%18.6%-3.8%-0.6%103.3K-1.5M-13.4K0.5065.56N/AN/A211,743342
2019-08-29$38.84$40.0016.3%4.7%37.2%21.4%16.4%2.1%0.9%114.1K-1.7M-13.5K0.2365.08N/AN/A3991,741342
2019-08-30$39.06$40.0017.2%4.9%17.4%24.2%17.2%0.9%0.3%122.4K-1.9M-14.0K0.0065.39N/AN/A2201,765351