OTEX Options History — November 2019

In November 2019, OTEX traded between $40.90 and $44.42. ATM implied volatility averaged 17.5%, placing in the 27.6% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 0.4% (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 18 of 20 days. Put/call ratio averaged 0.34.

Notable Days

  • 2019-11-15: Highest Volume — 261 contracts
  • 2019-11-13: Largest IV drop — 47.3% change
  • 2019-11-12: Highest IV Rank — 68.1%
  • 2019-11-08: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.72$40.90$44.42$41.11$43.60
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV17.5%12.2%30.0%18.9%17.1%
Expected Move4.8%3.5%5.6%5.4%4.9%
HV 20d17.8%13.7%21.6%20.1%16.8%
HV 60d17.5%16.8%17.8%17.5%16.8%
IV Rank27.6%9.8%68.1%30.8%28.7%
IV Percentile25.4%5.2%90.1%31.0%19.8%
Term Structure2.0%-0.8%5.4%0.3%-0.8%
VWIV16.5%13.1%19.6%18.9%13.1%
Skew 25d6.9%-2.9%38.0%-1.5%-2.9%
Skew 10d8.9%-9.2%47.6%0.3%-9.2%
Call IV 25d15.7%11.5%20.4%20.4%17.2%
Put IV 25d22.6%14.3%55.7%18.9%14.3%
Bid-Ask Spread %70.4547.6990.1887.7250.41
Gamma HHI0.570.420.790.420.69
Net GEX122.9K62.8K209.4K95.5K200.5K
Net DEX-3.4M-4.7M-2.7M-2.7M-3.0M
Net VEX-12.7K-16.4K-10.7K-13.0K-16.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.002.730.430.29
Total Volume115.132611449
Total OI2,722.652,1783,0792,9472,655

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$41.11$40.0018.9%5.4%20.1%30.8%18.9%-1.5%0.3%95.5K-2.7M-13.0K0.4387.72N/AN/A101431,993954
2019-11-04$41.27$40.0020.3%5.6%20.1%35.7%19.4%1.6%2.4%93.8K-3.0M-12.5K2.7388.63N/AN/A11302,004946
2019-11-05$41.00$40.0019.8%5.5%20.0%34.0%18.0%10.4%2.9%104.3K-2.8M-12.3K0.3786.06N/AN/A97362,005916
2019-11-06$40.90$40.0018.6%5.4%19.7%29.8%15.9%4.6%2.7%112.0K-2.8M-12.7K0.0082.48N/AN/A5302,078952
2019-11-07$41.10$40.0018.6%5.4%19.7%29.8%19.0%6.7%2.7%104.9K-3.0M-12.3K0.4690.18N/AN/A35162,069952
2019-11-08$41.48$40.0017.7%5.6%19.1%26.8%19.6%7.4%2.5%103.5K-3.3M-11.9K0.0086.02N/AN/A1502,064941
2019-11-11$42.48$40.0021.6%5.4%20.6%39.9%18.0%1.5%3.5%62.8K-4.2M-10.8K0.5387.53N/AN/A151802,057931
2019-11-12$42.62$40.0030.0%4.6%20.6%68.1%19.2%2.2%3.4%68.9K-4.3M-11.0K0.0788.81N/AN/A6852,101951
2019-11-13$43.48$40.0015.8%4.5%21.5%20.6%14.3%3.5%3.8%147.7K-4.7M-10.7K0.0061.24N/AN/A20902,095954
2019-11-14$43.40$40.0016.3%4.7%21.6%25.7%17.0%3.2%3.8%154.6K-4.5M-11.4K0.1589.50N/AN/A80122,100954
2019-11-15$43.43$40.0013.9%4.0%15.9%16.1%13.7%5.2%5.4%103.0K-4.5M-11.0K0.0076.94N/AN/A26102,125954
2019-11-18$43.52$40.0015.3%4.4%15.4%21.7%15.3%5.1%0.8%121.7K-3.2M-12.3K0.2952.01N/AN/A191551,532646
2019-11-19$43.60$40.0015.8%4.5%13.7%23.5%17.7%4.5%0.8%112.5K-3.2M-13.1K0.1547.69N/AN/A153231,522698
2019-11-20$43.24$40.0014.7%4.2%14.5%19.3%14.9%4.7%2.3%113.4K-3.1M-13.3K0.3354.68N/AN/A51171,624698
2019-11-21$43.11$40.0015.5%4.4%14.6%22.4%15.6%4.6%1.4%104.7K-3.0M-13.3K0.5052.70N/AN/A211,623699
2019-11-22$43.02$40.0012.2%3.5%14.8%9.8%13.1%3.5%0.6%104.5K-2.9M-13.6K0.0052.11N/AN/A2001,617700
2019-11-25$43.78$40.0014.9%4.3%15.5%20.2%15.0%38.0%1.2%132.2K-3.3M-13.1K0.0752.87N/AN/A171121,618700
2019-11-26$44.42$40.0015.5%4.4%15.5%22.4%15.5%36.2%0.4%209.4K-4.0M-14.6K0.1359.30N/AN/A92121,840710
2019-11-27$43.91$40.0016.6%4.8%16.6%26.7%16.6%-0.1%-0.4%207.3K-3.1M-15.1K0.3262.06N/AN/A144461,755720
2019-11-29$43.60$40.0017.1%4.9%16.8%28.7%13.1%-2.9%-0.8%200.5K-3.0M-16.4K0.2950.41N/AN/A721,891764