OTEX Options History — January 2020

In January 2020, OTEX traded between $44.22 and $47.11. ATM implied volatility averaged 22.8%, placing in the 50.6% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 9.6% (HV 20d: 13.2%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.27.

Notable Days

  • 2020-01-30: Highest Volume — 347 contracts
  • 2020-01-31: Largest IV drop — 36.2% change
  • 2020-01-30: Highest IV Rank — 83.4%
  • 2020-01-30: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.90$44.22$47.11$44.32$44.97
Max Pain$35.71$35.00$40.00$40.00$40.00
ATM IV22.8%15.4%31.3%15.4%20.0%
Expected Move7.0%4.4%9.0%4.4%5.7%
HV 20d13.2%11.4%16.9%12.6%16.9%
HV 60d15.0%13.8%16.4%16.4%15.2%
IV Rank50.6%21.9%83.4%21.9%40.4%
IV Percentile63.5%19.0%96.8%19.0%61.9%
Term Structure-1.8%-6.3%6.5%6.5%0.8%
VWIV24.4%15.4%29.6%15.4%20.6%
Skew 25d5.9%-4.8%35.8%35.8%-4.8%
Skew 10d8.4%-7.5%41.5%41.5%-7.5%
Call IV 25d23.5%18.6%29.2%18.6%23.9%
Put IV 25d29.4%19.1%57.3%54.4%19.1%
Bid-Ask Spread %67.8816.2581.8368.4416.25
Gamma HHI0.560.380.730.700.55
Net GEX255.9K182.6K377.0K289.6K264.0K
Net DEX-4.5M-6.0M-3.3M-3.3M-3.5M
Net VEX-16.8K-19.1K-14.8K-15.0K-18.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.270.002.330.170.49
Total Volume112134714256
Total OI2,568.6192,2563,2702,2563,270

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$44.32$40.0015.4%4.4%12.6%21.9%15.4%35.8%6.5%289.6K-3.3M-15.0K0.1768.44N/AN/A1221,841415
2020-01-03$44.22$40.0016.5%4.7%12.6%26.2%16.5%35.8%5.9%278.8K-3.3M-14.8K0.3170.53N/AN/A2681,852413
2020-01-06$44.42$35.0016.1%6.4%12.6%24.9%22.4%2.6%-1.0%317.3K-3.4M-14.9K0.1568.74N/AN/A2031,856417
2020-01-07$44.74$35.0017.2%6.6%12.7%29.0%0.0%3.1%-1.3%330.8K-3.7M-14.9K0.0070.65N/AN/A011,862414
2020-01-08$45.01$35.0016.7%6.6%12.3%26.9%23.2%4.1%-1.6%350.1K-4.1M-15.1K2.3372.31N/AN/A15351,862414
2020-01-09$45.91$35.0018.5%6.8%13.7%33.9%24.5%5.3%-1.9%295.5K-4.7M-15.3K0.0772.10N/AN/A10071,853449
2020-01-10$45.78$35.0017.0%6.6%13.8%28.2%23.1%3.1%-1.3%329.2K-4.8M-15.0K0.0078.81N/AN/A7201,880456
2020-01-13$45.93$35.0020.6%6.7%13.7%42.3%23.2%3.9%-2.0%322.9K-5.0M-14.8K0.0053.70N/AN/A6101,924456
2020-01-14$45.69$35.0019.6%6.9%14.1%38.3%23.3%-1.7%-2.3%377.0K-4.9M-15.3K0.6554.64N/AN/A31201,943456
2020-01-15$46.45$35.0024.2%6.9%14.5%56.0%24.0%3.8%-1.9%206.8K-5.6M-14.8K0.5863.40N/AN/A2041191,941473
2020-01-16$46.74$35.0024.3%7.0%14.4%56.3%23.1%2.8%-2.0%188.4K-5.9M-17.7K0.0279.37N/AN/A10822,057575
2020-01-17$46.91$35.0025.1%7.2%14.4%59.3%24.4%2.5%-3.1%182.6K-6.0M-17.7K0.0477.63N/AN/A5422,080575
2020-01-21$46.68$35.0026.0%7.4%14.2%62.8%25.8%3.8%-2.6%191.6K-4.6M-17.6K0.0174.53N/AN/A33031,811543
2020-01-22$46.82$35.0026.9%7.7%12.6%66.3%26.1%1.2%-3.3%206.4K-4.8M-18.7K0.0971.87N/AN/A293252,101543
2020-01-23$46.41$35.0027.0%7.7%12.1%66.9%27.8%4.1%-3.8%205.4K-4.4M-18.9K0.0665.19N/AN/A3222,271568
2020-01-24$46.33$35.0028.0%8.0%11.5%70.8%28.0%4.6%-4.4%201.6K-4.4M-18.8K0.0073.05N/AN/A2202,271570
2020-01-27$46.55$35.0029.4%8.4%11.4%76.2%28.6%5.4%-4.3%201.3K-4.4M-18.6K0.0681.33N/AN/A1712,263570
2020-01-28$47.11$35.0028.6%8.2%11.8%72.8%28.7%2.9%-3.3%202.4K-4.9M-18.6K0.0081.83N/AN/A602,266570
2020-01-29$46.65$35.0030.2%8.7%12.2%79.2%28.9%0.9%-5.4%210.6K-4.7M-18.8K0.2379.33N/AN/A94222,315570
2020-01-30$46.30$35.0031.3%9.0%12.7%83.4%29.6%4.7%-6.3%222.4K-4.5M-19.1K0.1651.82N/AN/A300472,399576
2020-01-31$44.97$40.0020.0%5.7%16.9%40.4%20.6%-4.8%0.8%264.0K-3.5M-18.6K0.4916.25N/AN/A172842,639631