OTEX Options History — October 2019

In October 2019, OTEX traded between $39.42 and $40.89. ATM implied volatility averaged 26.4%, placing in the 54.1% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 9.0% (HV 20d: 17.3%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 1.05.

Notable Days

  • 2019-10-18: Highest Volume — 1,663 contracts
  • 2019-10-09: Largest IV spike — 25.6% change
  • 2019-10-31: Highest IV Rank — 79.3%
  • 2019-10-31: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.20$39.42$40.89$40.47$40.19
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV26.4%18.4%34.2%19.3%34.2%
Expected Move7.9%5.5%9.8%5.5%9.8%
HV 20d17.3%13.5%20.9%16.8%18.9%
HV 60d24.1%17.2%26.4%24.8%17.3%
IV Rank54.1%28.1%79.3%31.2%79.3%
IV Percentile73.1%21.0%96.8%40.5%96.8%
Term Structure-3.9%-9.7%5.3%5.2%-9.7%
VWIV27.2%19.3%34.1%19.3%34.1%
Skew 25d1.2%-7.3%10.7%-3.7%-7.3%
Skew 10d1.4%-12.0%17.5%-4.5%-12.0%
Call IV 25d26.2%22.1%37.0%24.0%37.0%
Put IV 25d27.4%20.3%35.8%20.3%29.7%
Bid-Ask Spread %83.8145.70103.5358.0745.70
Gamma HHI0.470.390.550.520.39
Net GEX133.6K65.5K193.3K179.3K77.6K
Net DEX-2.2M-3.1M-1.1M-2.6M-1.6M
Net VEX-13.4K-14.4K-12.1K-13.3K-14.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.009.800.000.76
Total Volume110.39121,6633164
Total OI2,490.9572,2372,8652,2372,865

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-10-01$40.47$40.0019.3%5.5%16.8%31.2%19.3%-3.7%5.2%179.3K-2.6M-13.3K0.0058.07N/AN/A301,868369
2019-10-02$39.59$40.0020.1%5.8%17.3%33.8%20.2%-2.4%5.3%163.0K-2.1M-12.9K1.3860.40N/AN/A32441,868369
2019-10-03$39.91$40.0020.0%7.2%13.5%33.6%25.1%10.7%-2.4%172.9K-2.3M-13.7K0.0089.39N/AN/A201,883413
2019-10-04$40.41$40.0018.7%7.1%14.4%29.2%0.0%3.8%-2.4%186.7K-2.6M-13.6K2.7582.41N/AN/A12331,883413
2019-10-07$40.30$40.0018.4%7.3%14.4%28.1%25.6%3.4%-3.1%178.3K-2.4M-13.5K0.3385.50N/AN/A1551,884446
2019-10-08$39.99$40.0020.3%7.5%14.0%34.4%0.0%2.2%-3.2%172.1K-2.3M-13.4K0.0086.42N/AN/A1201,890451
2019-10-09$40.43$40.0025.5%7.3%14.6%51.3%0.0%-2.8%-2.2%178.9K-2.6M-13.4K0.0089.42N/AN/A501,894451
2019-10-10$40.24$40.0025.7%7.4%14.4%51.9%25.7%-3.7%-2.5%183.1K-2.4M-13.2K0.7189.98N/AN/A751,889451
2019-10-11$40.89$40.0025.7%7.4%15.3%51.9%25.7%-0.8%-2.8%180.2K-3.0M-13.2K0.0092.97N/AN/A2501,889456
2019-10-14$40.64$40.0026.3%7.5%15.5%53.8%26.3%3.0%-3.7%193.3K-2.8M-12.7K0.5084.20N/AN/A211,894456
2019-10-15$40.70$40.0026.0%7.5%15.4%52.9%26.0%-1.4%-3.9%172.8K-3.0M-12.3K0.0087.36N/AN/A401,894457
2019-10-16$40.85$40.0026.2%7.5%15.4%53.5%26.2%-2.2%-4.1%149.8K-3.1M-12.1K0.0081.45N/AN/A6801,894457
2019-10-17$40.88$40.0025.9%7.4%15.0%52.6%25.9%-1.4%-3.5%155.6K-3.0M-12.4K1.0082.02N/AN/A16161,880457
2019-10-18$39.42$40.0032.3%9.3%19.7%73.3%32.5%0.9%-6.2%107.9K-1.6M-12.3K2.0199.27N/AN/A5521,1111,882456
2019-10-21$40.03$40.0029.3%8.4%20.6%63.5%29.3%3.8%-5.1%88.2K-1.8M-14.2K9.80103.53N/AN/A201961,901752
2019-10-22$39.44$40.0029.1%8.3%20.9%62.8%29.1%7.9%-5.0%73.6K-1.2M-14.2K0.1186.73N/AN/A911,912789
2019-10-23$39.50$40.0029.4%8.4%20.5%63.8%0.0%7.9%-6.0%65.5K-1.1M-14.2K0.1787.23N/AN/A1221,914830
2019-10-24$39.86$40.0029.3%8.4%20.9%63.6%29.3%-2.4%-5.9%72.7K-1.4M-14.4K0.0092.42N/AN/A901,926830
2019-10-25$40.03$40.0029.6%8.5%20.8%64.6%0.0%0.3%-6.0%75.3K-1.5M-14.3K0.0092.94N/AN/A301,926830
2019-10-28$40.38$40.0031.9%9.1%20.8%72.0%31.2%6.8%-7.6%81.6K-1.8M-13.8K0.1585.64N/AN/A3351,927830
2019-10-29$40.18$40.0031.6%9.1%20.6%71.1%31.6%0.6%-7.2%82.2K-1.7M-13.8K1.2094.01N/AN/A561,953830
2019-10-30$40.38$40.0032.0%9.2%19.0%72.4%0.0%4.6%-8.3%82.3K-1.8M-13.6K3.3370.50N/AN/A24801,953830
2019-10-31$40.19$40.0034.2%9.8%18.9%79.3%34.1%-7.3%-9.7%77.6K-1.6M-14.2K0.7645.70N/AN/A93711,957908