OTEX Options History — September 2019

In September 2019, OTEX traded between $39.60 and $41.58. ATM implied volatility averaged 19.0%, placing in the 30.2% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 2.3% (HV 20d: 16.7%). 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 18 of 20 days. Put/call ratio averaged 0.66.

Notable Days

  • 2019-09-13: Highest Volume — 103 contracts
  • 2019-09-09: Largest IV spike — 45.6% change
  • 2019-09-09: Highest IV Rank — 39.6%
  • 2019-09-10: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.92$39.60$41.58$39.60$40.84
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV19.0%14.2%21.9%18.4%19.8%
Expected Move5.5%5.2%5.9%5.3%5.7%
HV 20d16.7%14.3%18.3%14.3%16.9%
HV 60d24.8%24.0%25.1%24.0%24.7%
IV Rank30.2%14.6%39.6%28.2%32.8%
IV Percentile38.6%13.5%59.9%29.0%46.8%
Term Structure3.9%-0.7%5.3%-0.4%4.3%
VWIV18.7%13.3%19.8%18.4%19.8%
Skew 25d2.9%-1.8%8.2%1.7%-1.8%
Skew 10d5.6%-1.3%12.3%1.8%-0.0%
Call IV 25d17.2%11.5%22.4%19.6%22.4%
Put IV 25d20.1%18.2%21.6%21.3%20.6%
Bid-Ask Spread %76.0953.4097.2573.6155.58
Gamma HHI0.490.450.510.510.50
Net GEX177.0K139.6K196.8K139.6K178.2K
Net DEX-3.1M-3.6M-2.2M-2.2M-2.9M
Net VEX-14.6K-15.7K-13.5K-14.1K-13.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.0010.000.210.20
Total Volume33.3511037624
Total OI2,254.652,1172,3342,1172,232

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$39.60$40.0018.4%5.3%14.3%28.2%18.4%1.7%-0.4%139.6K-2.2M-14.1K0.2173.61N/AN/A63131,776341
2019-09-04$40.36$40.0019.0%5.5%15.5%30.2%19.0%-0.7%-0.7%167.4K-2.8M-15.0K0.3363.82N/AN/A67221,838335
2019-09-05$41.58$40.0014.2%5.2%18.1%14.6%18.2%6.3%4.4%175.9K-3.6M-15.6K0.6095.41N/AN/A25151,897357
2019-09-06$41.54$40.0015.0%5.4%17.6%17.4%18.6%7.4%3.8%175.8K-3.6M-15.7K0.1088.40N/AN/A3131,900361
2019-09-09$41.32$40.0021.9%5.7%17.7%39.6%0.0%8.2%3.9%182.0K-3.5M-15.4K0.3888.56N/AN/A42161,923361
2019-09-10$40.84$40.0021.9%5.9%18.3%39.5%0.0%1.9%3.1%181.4K-3.1M-15.2K10.0086.57N/AN/A1101,897369
2019-09-11$41.03$40.0019.7%5.6%18.3%32.4%19.7%7.2%3.6%183.9K-3.2M-15.1K0.0087.89N/AN/A2601,896369
2019-09-12$41.27$40.0019.8%5.7%16.2%32.7%19.8%7.7%4.2%181.0K-3.4M-15.1K0.0081.23N/AN/A3501,896369
2019-09-13$40.90$40.0019.4%5.5%16.8%31.4%0.0%7.5%4.5%195.7K-3.2M-15.0K0.0072.99N/AN/A10301,926369
2019-09-16$40.84$40.0019.3%5.5%16.5%31.1%19.3%2.9%4.5%196.8K-3.2M-14.6K0.0881.13N/AN/A2521,918369
2019-09-17$41.00$40.0019.5%5.6%16.4%32.0%13.3%4.6%4.3%174.4K-3.3M-14.5K0.2482.26N/AN/A2151,928370
2019-09-18$40.84$40.0019.5%5.6%16.5%31.9%19.5%2.5%4.9%187.5K-3.2M-14.3K0.1090.93N/AN/A2021,946374
2019-09-19$41.22$40.0018.6%5.3%16.5%29.0%18.6%1.2%4.7%176.4K-3.6M-14.2K0.0097.25N/AN/A1301,956374
2019-09-20$41.24$40.0018.8%5.4%16.6%29.5%18.8%1.1%5.1%172.2K-3.5M-14.4K0.1696.24N/AN/A3251,960374
2019-09-23$41.07$40.0018.8%5.4%15.7%29.5%18.8%-0.1%5.3%171.9K-3.0M-14.0K0.1956.33N/AN/A1631,840361
2019-09-24$40.60$40.0019.2%5.5%16.3%30.7%0.0%0.9%4.0%173.5K-2.7M-13.9K0.0053.40N/AN/A011,862364
2019-09-25$41.00$40.0018.8%5.4%16.5%29.4%0.0%1.1%5.2%177.1K-3.0M-13.9K0.0055.09N/AN/A201,862365
2019-09-26$40.84$40.0019.3%5.5%16.5%31.3%19.3%-0.8%4.2%176.2K-2.9M-13.8K0.0056.42N/AN/A1401,864365
2019-09-27$40.50$40.0019.2%5.5%16.8%31.0%19.2%-1.5%4.6%173.6K-2.7M-13.6K0.0058.70N/AN/A1001,864365
2019-09-30$40.84$40.0019.8%5.7%16.9%32.8%19.8%-1.8%4.3%178.2K-2.9M-13.5K0.2055.58N/AN/A2041,867365