OTEX Options History — December 2019

In December 2019, OTEX traded between $42.45 and $44.55. ATM implied volatility averaged 15.4%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 1.2% (HV 20d: 14.3%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.23.

Notable Days

  • 2019-12-02: Highest Volume — 167 contracts
  • 2019-12-09: Largest IV spike — 32.5% change
  • 2019-12-10: Highest IV Rank — 31.3%
  • 2019-12-09: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.40$42.45$44.55$43.25$44.09
Max Pain$40.48$40.00$45.00$40.00$40.00
ATM IV15.4%11.5%17.8%17.7%15.7%
Expected Move4.6%3.8%5.7%5.1%4.5%
HV 20d14.3%12.1%16.4%15.8%13.2%
HV 60d16.8%16.4%17.2%16.9%16.4%
IV Rank22.1%6.9%31.3%30.9%23.1%
IV Percentile17.0%3.2%24.6%22.2%21.0%
Term Structure4.4%-1.3%12.8%-0.6%5.9%
VWIV17.5%12.7%31.2%17.9%15.9%
Skew 25d1.4%-6.0%35.0%-3.3%35.0%
Skew 10d-2.3%-12.1%36.6%-9.6%36.6%
Call IV 25d16.8%9.6%19.4%17.6%17.3%
Put IV 25d18.2%13.0%52.4%14.2%52.4%
Bid-Ask Spread %75.3150.1295.9061.6559.88
Gamma HHI0.670.560.820.690.68
Net GEX229.3K121.7K539.5K173.3K269.9K
Net DEX-2.7M-3.5M-2.1M-2.6M-3.2M
Net VEX-15.1K-16.1K-14.2K-16.1K-14.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.001.600.001.60
Total Volume34.524216716713
Total OI2,669.7142,1122,9692,6432,247

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$43.25$40.0017.7%5.1%15.8%30.9%17.9%-3.3%-0.6%173.3K-2.6M-16.1K0.0061.65N/AN/A16701,879764
2019-12-03$42.82$40.0015.1%4.3%16.4%21.0%0.0%-4.9%-0.4%178.0K-2.5M-16.0K0.0054.72N/AN/A402,038764
2019-12-04$42.74$40.0015.0%4.3%16.2%20.5%31.2%-6.0%-1.3%170.3K-2.4M-15.8K0.0350.12N/AN/A4012,038764
2019-12-05$42.75$40.0016.2%4.7%16.1%25.3%20.1%2.9%3.9%175.7K-2.3M-15.5K0.0688.41N/AN/A1712,027765
2019-12-06$42.73$40.0011.5%4.6%16.1%6.9%0.0%3.3%4.0%147.9K-2.2M-14.8K0.8088.21N/AN/A542,038766
2019-12-09$42.45$40.0015.2%5.7%16.1%21.2%19.4%2.2%3.3%121.7K-2.1M-14.2K0.0067.12N/AN/A1002,043763
2019-12-10$42.48$40.0017.8%5.6%13.7%31.3%19.5%1.8%3.9%132.8K-2.1M-14.3K0.0077.04N/AN/A1402,051763
2019-12-11$42.83$40.0016.2%4.6%14.0%25.1%16.2%3.8%4.7%171.7K-2.3M-14.7K0.0083.20N/AN/A13102,054763
2019-12-12$43.05$40.0016.2%4.7%12.1%25.3%0.0%3.1%4.1%222.2K-2.6M-15.6K0.0087.69N/AN/A202,185763
2019-12-13$43.20$40.0015.5%4.4%12.1%22.5%0.0%3.3%5.0%249.3K-2.8M-15.6K0.2391.72N/AN/A1332,183763
2019-12-16$43.75$40.0015.2%4.4%13.0%21.4%15.2%-3.7%4.6%281.4K-3.0M-15.0K0.0683.25N/AN/A1612,193766
2019-12-17$43.69$40.0015.0%4.3%13.0%20.5%15.1%4.0%5.3%299.7K-3.0M-15.1K0.2684.54N/AN/A2772,195767
2019-12-18$43.94$40.0015.3%4.4%13.1%21.6%15.3%-5.3%5.4%300.5K-3.1M-15.3K0.3689.49N/AN/A33122,203760
2019-12-19$43.62$40.0015.4%4.4%13.0%21.9%12.7%-2.4%4.9%208.8K-2.8M-14.4K1.1789.53N/AN/A672,200765
2019-12-20$44.55$40.0015.0%4.3%14.8%20.5%15.0%-1.4%5.3%539.5K-3.5M-15.2K0.0395.90N/AN/A6422,199770
2019-12-23$44.02$40.0014.9%4.3%15.6%20.3%14.9%-2.4%5.6%221.8K-3.0M-14.8K0.0068.42N/AN/A1401,707405
2019-12-24$43.65$40.0016.0%4.6%14.7%24.2%15.8%-2.6%5.5%226.5K-2.9M-15.1K0.0061.42N/AN/A1201,761405
2019-12-26$44.00$45.0015.5%4.4%14.0%22.5%0.0%-0.7%5.5%241.7K-3.0M-14.8K0.1368.37N/AN/A2331,760405
2019-12-27$44.08$45.0016.1%4.6%13.3%24.9%15.9%-2.3%5.4%248.0K-3.1M-14.9K0.0060.53N/AN/A1401,781408
2019-12-30$43.78$40.0013.1%3.8%13.3%13.4%0.0%5.8%12.8%234.0K-2.9M-14.5K0.0470.35N/AN/A5721,785408
2019-12-31$44.09$40.0015.7%4.5%13.2%23.1%0.0%35.0%5.9%269.9K-3.2M-14.9K1.6059.88N/AN/A581,837410