OTEX Options History — February 2020

In February 2020, OTEX traded between $41.18 and $47.68. ATM implied volatility averaged 22.4%, placing in the 48.1% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 1.2% (HV 20d: 21.2%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.38.

Notable Days

2020-02-21: Highest Volume — 571 contracts
2020-02-12: Largest IV spike — 73.5% change
2020-02-27: Highest IV Rank — 100.0%
2020-02-28: Largest Expected Move — 12.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.96	$41.18	$47.68	$45.72	$41.18
Max Pain	$44.21	$40.00	$45.00	$40.00	$45.00
ATM IV	22.4%	11.9%	43.7%	20.6%	43.7%
Expected Move	6.6%	4.6%	12.5%	5.9%	12.5%
HV 20d	21.2%	17.7%	27.8%	17.7%	27.8%
HV 60d	16.5%	15.4%	19.8%	15.4%	19.8%
IV Rank	48.1%	9.0%	100.0%	43.6%	100.0%
IV Percentile	62.5%	4.4%	100.0%	65.5%	100.0%
Term Structure	0.0%	-8.5%	4.2%	-0.0%	-8.5%
VWIV	21.9%	18.2%	37.5%	20.8%	37.5%
Skew 25d	3.9%	-3.0%	13.0%	-3.0%	13.0%
Skew 10d	10.9%	-3.8%	44.6%	-3.8%	31.7%
Call IV 25d	20.7%	15.2%	39.0%	23.9%	39.0%
Put IV 25d	24.6%	19.4%	51.9%	20.9%	51.9%
Bid-Ask Spread %	62.30	12.45	87.32	55.85	81.58
Gamma HHI	0.35	0.27	0.48	0.48	0.27
Net GEX	213.3K	89.2K	326.5K	274.6K	89.2K
Net DEX	-4.9M	-6.8M	-747.1K	-4.2M	-747.1K
Net VEX	-23.4K	-24.8K	-19.2K	-19.2K	-23.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.38	0.00	1.21	1.04	0.56
Total Volume	114.737	6	571	110	6
Total OI	3,750.474	3,245	4,046	3,407	3,495

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2020-02-03	$45.72	$40.00	20.6%	5.9%	17.7%	43.6%	20.8%	-3.0%	-0.0%	274.6K	-4.2M	-19.2K	1.04	55.85	N/A	N/A	54	56	2,723	684
2020-02-04	$46.72	$40.00	20.0%	5.7%	19.1%	41.0%	19.9%	-1.2%	0.6%	281.5K	-5.3M	-19.7K	0.06	15.43	N/A	N/A	388	24	2,791	676
2020-02-05	$46.36	$40.00	20.4%	5.9%	19.3%	43.0%	0.0%	5.1%	-0.5%	326.5K	-5.6M	-24.5K	0.54	12.45	N/A	N/A	26	14	3,140	698
2020-02-06	$47.19	$45.00	20.6%	6.0%	20.1%	43.4%	21.1%	2.9%	1.2%	316.6K	-6.4M	-24.8K	0.18	58.09	N/A	N/A	28	5	3,154	712
2020-02-07	$46.53	$45.00	20.1%	5.8%	19.8%	41.7%	20.4%	0.9%	1.8%	322.2K	-5.8M	-24.2K	0.35	61.40	N/A	N/A	49	17	3,153	717
2020-02-10	$46.71	$45.00	18.0%	6.1%	19.8%	33.3%	19.1%	2.0%	1.4%	320.3K	-5.9M	-24.1K	0.21	61.28	N/A	N/A	29	6	3,156	733
2020-02-11	$46.90	$45.00	11.9%	6.1%	19.8%	9.0%	21.2%	2.8%	1.1%	218.6K	-6.3M	-23.1K	1.21	76.06	N/A	N/A	48	58	3,160	738
2020-02-12	$47.50	$45.00	20.7%	5.9%	20.1%	44.0%	18.2%	3.0%	1.3%	199.6K	-6.7M	-24.1K	0.03	73.34	N/A	N/A	58	2	3,142	791
2020-02-13	$47.13	$45.00	20.7%	5.9%	19.6%	43.8%	0.0%	2.9%	1.4%	207.3K	-6.4M	-23.7K	0.00	57.69	N/A	N/A	23	0	3,155	793
2020-02-14	$47.68	$45.00	16.0%	4.6%	19.9%	25.2%	18.2%	3.0%	4.2%	209.5K	-6.8M	-24.1K	0.41	58.71	N/A	N/A	58	24	3,146	793
2020-02-18	$47.64	$45.00	17.6%	5.0%	19.9%	31.6%	19.3%	2.9%	3.3%	182.8K	-6.8M	-24.2K	0.27	69.25	N/A	N/A	75	20	3,187	816
2020-02-19	$47.45	$45.00	20.3%	5.8%	19.8%	42.2%	0.0%	3.1%	2.6%	179.4K	-6.6M	-24.1K	0.00	59.57	N/A	N/A	42	0	3,210	836
2020-02-20	$47.22	$45.00	20.9%	6.0%	19.9%	44.6%	18.3%	3.1%	2.1%	176.5K	-6.4M	-24.1K	0.00	53.98	N/A	N/A	95	0	3,204	835
2020-02-21	$46.32	$45.00	20.5%	5.9%	20.9%	43.3%	20.5%	12.0%	2.7%	164.9K	-5.6M	-23.8K	0.13	83.98	N/A	N/A	507	64	3,192	835
2020-02-24	$45.09	$45.00	24.4%	7.0%	22.9%	58.6%	24.4%	2.0%	-2.3%	170.3K	-2.6M	-24.4K	1.14	72.15	N/A	N/A	57	65	2,471	774
2020-02-25	$43.84	$45.00	25.6%	7.3%	24.7%	63.4%	26.0%	7.4%	-2.1%	137.1K	-1.7M	-23.5K	0.38	84.24	N/A	N/A	160	61	2,507	835
2020-02-26	$43.84	$45.00	25.3%	7.2%	24.1%	62.2%	22.9%	5.9%	-2.1%	165.3K	-1.8M	-23.8K	0.29	61.31	N/A	N/A	28	8	2,630	863
2020-02-27	$42.20	$45.00	37.5%	10.8%	27.0%	100.0%	37.5%	6.9%	-7.8%	110.3K	-1.1M	-22.9K	0.56	87.32	N/A	N/A	16	9	2,649	865
2020-02-28	$41.18	$45.00	43.7%	12.5%	27.8%	100.0%	0.0%	13.0%	-8.5%	89.2K	-747.1K	-23.0K	0.00	81.58	N/A	N/A	0	6	2,640	855