OTEX Options History — March 2020

In March 2020, OTEX traded between $29.26 and $43.42. ATM implied volatility averaged 62.8%, placing in the 81.1% IV rank vs the trailing year. The 30-day expected move averaged 17.6%. IV traded above realized volatility by 2.7% (HV 20d: 60.2%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 2.75.

Notable Days

  • 2020-03-23: Highest Volume — 450 contracts
  • 2020-03-09: Largest IV spike — 58.9% change
  • 2020-03-03: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 27.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.97$29.26$43.42$42.40$34.99
Max Pain$39.55$35.00$45.00$45.00$35.00
ATM IV62.8%28.6%96.2%41.3%54.4%
Expected Move17.6%8.2%27.6%11.8%15.6%
HV 20d60.2%28.1%89.7%29.0%89.7%
HV 60d38.9%20.6%54.8%20.6%54.8%
IV Rank81.1%51.6%100.0%93.0%51.6%
IV Percentile98.0%89.7%100.0%99.6%94.0%
Term Structure-4.3%-12.0%1.9%-5.8%1.9%
VWIV63.4%32.9%91.0%32.9%53.1%
Skew 25d16.4%7.3%36.6%8.0%16.6%
Skew 10d38.0%10.4%113.5%21.9%23.5%
Call IV 25d56.0%27.3%84.4%33.0%51.0%
Put IV 25d72.4%37.6%108.5%41.0%67.6%
Bid-Ask Spread %81.5862.7291.1477.9881.03
Gamma HHI0.240.150.410.300.17
Net GEX51.5K-19.6K215.3K115.6K6.8K
Net DEX573.5K-2.3M2.4M-1.2M1.4M
Net VEX-20.8K-27.4K-12.4K-23.4K-19.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.750.0029.000.020.36
Total Volume118.045645036530
Total OI4,3703,4924,7813,4924,781

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-03-02$42.40$45.0041.3%11.8%29.0%93.0%32.9%8.0%-5.8%115.6K-1.2M-23.4K0.0277.98N/AN/A35872,640852
2020-03-03$42.34$45.0044.6%12.8%28.1%100.0%0.0%9.4%-7.9%147.6K-1.4M-24.9K0.0481.73N/AN/A13862,967883
2020-03-04$43.42$45.0028.6%8.2%28.6%54.1%40.0%10.4%0.7%215.3K-2.3M-27.4K1.0087.02N/AN/A443,081889
2020-03-05$42.86$40.0034.2%9.5%28.7%70.3%0.0%7.3%-1.4%182.5K-2.1M-27.4K0.0084.09N/AN/A603,086889
2020-03-06$41.48$40.0040.4%12.9%29.3%87.9%49.0%13.5%-5.7%129.9K-1.2M-25.8K2.9783.66N/AN/A1023033,090889
2020-03-09$38.03$40.0064.1%13.2%40.9%100.0%0.0%13.1%-5.8%56.3K-25.2K-25.6K0.0383.47N/AN/A3313,2481,084
2020-03-10$39.22$40.0065.8%14.4%43.2%100.0%50.3%13.5%-0.2%82.1K-185.4K-25.4K0.0577.55N/AN/A4423,2791,085
2020-03-11$37.60$40.0052.9%15.2%44.4%77.1%0.0%11.1%-3.1%57.8K388.2K-23.2K6.3374.27N/AN/A3193,3061,087
2020-03-12$33.84$40.0066.0%18.9%54.7%100.0%0.0%36.6%1.6%25.4K1.2M-18.5K0.2484.03N/AN/A2153,3041,089
2020-03-13$36.02$40.0069.0%19.8%61.5%100.0%69.6%12.4%-5.0%36.2K881.2K-20.2K0.1086.22N/AN/A4043,2991,077
2020-03-16$33.04$40.0085.4%24.5%65.9%100.0%82.5%22.1%-11.8%31.2K800.3K-19.6K0.6676.32N/AN/A38253,3311,080
2020-03-17$33.62$40.0079.3%22.7%66.8%92.0%81.1%14.6%-10.9%30.5K1.1M-18.0K2.7062.72N/AN/A531433,3571,072
2020-03-18$31.60$40.0096.2%27.6%68.4%100.0%91.0%24.1%-6.9%16.2K1.1M-19.0K1.1081.80N/AN/A21233,4051,160
2020-03-19$32.42$40.0089.1%25.6%70.2%91.8%0.0%15.7%-12.0%13.8K1.4M-17.6K10.1091.14N/AN/A212123,4181,180
2020-03-20$31.47$40.0081.2%23.3%70.3%82.6%77.4%20.5%-6.6%1732.0M-16.1K0.1284.38N/AN/A90113,4191,318
2020-03-23$29.26$40.0075.2%21.6%72.8%75.7%73.9%22.4%-3.6%-6.5K2.2M-12.4K29.0088.94N/AN/A154352,8301,271
2020-03-24$31.79$40.0069.3%19.9%81.6%68.9%60.4%23.2%-3.6%-19.6K2.4M-14.9K0.0981.37N/AN/A217202,8291,651
2020-03-25$33.19$35.0057.5%16.5%84.1%55.3%59.5%18.8%-0.3%-2.8K1.8M-19.1K0.5677.41N/AN/A36203,0091,670
2020-03-26$35.22$35.0060.6%17.4%87.5%58.9%57.9%18.8%-2.7%8.9K1.3M-21.5K0.0076.64N/AN/A5403,0411,670
2020-03-27$33.26$35.0065.5%18.8%89.0%64.5%72.3%12.8%-4.6%2531.8M-19.0K0.0889.92N/AN/A2523,0771,672
2020-03-30$34.20$35.0061.7%17.7%88.9%60.1%0.0%16.9%-1.5%6.0K1.5M-20.0K5.0083.07N/AN/A153,1011,674
2020-03-31$34.99$35.0054.4%15.6%89.7%51.6%53.1%16.6%1.9%6.8K1.4M-19.2K0.3681.03N/AN/A2283,1071,674