OTEX Options History — April 2020

In April 2020, OTEX traded between $33.95 and $39.06. ATM implied volatility averaged 49.3%, placing in the 45.0% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded below realized volatility by 18.1% (HV 20d: 67.4%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.88.

Notable Days

  • 2020-04-21: Highest Volume — 456 contracts
  • 2020-04-07: Largest IV spike — 38.9% change
  • 2020-04-07: Highest IV Rank — 58.4%
  • 2020-04-23: Largest Expected Move — 16.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.74$33.95$39.06$33.95$37.97
Max Pain$39.76$35.00$40.00$35.00$40.00
ATM IV49.3%40.8%60.9%52.1%45.5%
Expected Move14.2%11.7%16.7%15.0%13.0%
HV 20d67.4%44.9%89.3%89.0%45.6%
HV 60d58.0%55.0%60.4%55.0%60.2%
IV Rank45.0%34.9%58.4%49.1%40.3%
IV Percentile90.6%85.3%94.8%93.3%86.9%
Term Structure-12.6%-29.6%1.9%1.9%-11.8%
VWIV48.4%41.0%75.7%75.7%48.0%
Skew 25d13.0%2.4%28.2%28.2%8.7%
Skew 10d26.4%-8.9%72.2%59.0%-7.7%
Call IV 25d43.7%34.4%52.3%43.3%47.2%
Put IV 25d56.7%45.6%74.1%71.5%55.9%
Bid-Ask Spread %79.5653.67100.7290.0257.82
Gamma HHI0.210.160.370.160.31
Net GEX-8.8K-50.2K22.8K4.3K-40.3K
Net DEX1.1M-85.0K2.0M1.4M1.2M
Net VEX-19.6K-22.3K-17.3K-19.4K-20.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.880.0010.211.000.03
Total Volume100.333245620182
Total OI4,854.7624,4255,1164,7995,073

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-04-01$33.95$35.0052.1%15.0%89.0%49.1%75.7%28.2%1.9%4.3K1.4M-19.4K1.0090.02N/AN/A10103,1171,682
2020-04-02$34.26$40.0056.4%16.5%89.3%54.0%41.3%23.6%-15.8%-3.9K1.6M-19.7K0.0082.39N/AN/A3703,1241,702
2020-04-03$34.03$40.0053.2%15.9%88.9%50.2%55.2%15.0%-16.5%-2.3K1.8M-18.3K1.5875.34N/AN/A19303,1571,702
2020-04-06$36.45$40.0043.8%14.5%88.2%39.5%41.7%14.9%-11.9%22.8K775.9K-21.5K0.1675.08N/AN/A5183,1661,686
2020-04-07$36.09$40.0060.9%15.3%87.4%58.4%53.0%21.7%-16.5%9.3K922.8K-20.6K3.6979.49N/AN/A16593,1871,682
2020-04-08$36.27$40.0053.0%15.2%86.3%49.1%46.7%19.1%-17.3%9.6K974.7K-19.7K2.7976.82N/AN/A24673,1951,702
2020-04-09$36.90$40.0053.1%15.2%77.2%49.3%48.6%16.4%-20.4%-8.2K1.1M-19.6K7.8074.80N/AN/A151173,2091,769
2020-04-13$36.11$40.0048.5%13.9%74.6%43.9%41.9%24.3%-8.8%-21.3K1.6M-18.1K0.0080.27N/AN/A503,2081,884
2020-04-14$37.61$40.0040.8%11.7%68.4%34.9%46.2%9.4%-6.9%-13.9K896.9K-18.7K2.3883.77N/AN/A521243,2111,884
2020-04-15$36.77$40.0051.1%14.7%69.0%47.0%50.8%18.4%-15.8%-7.3K835.9K-19.4K0.3692.02N/AN/A47173,2541,829
2020-04-16$37.88$40.0048.1%13.8%64.9%43.4%44.8%8.3%-15.7%-2.6K464.6K-21.4K0.0083.50N/AN/A3503,2611,828
2020-04-17$39.06$40.0042.1%12.1%65.1%36.4%44.3%10.5%-8.8%10.6K-85.0K-21.6K0.4290.39N/AN/A71303,2881,828
2020-04-20$38.68$40.0045.7%13.1%63.9%40.6%46.9%2.4%-10.7%6.8K280.2K-22.3K0.00100.72N/AN/A4802,7841,650
2020-04-21$36.47$40.0052.5%15.0%61.6%48.6%53.9%6.6%-12.5%-8.6K1.4M-18.7K0.0283.57N/AN/A445112,7751,650
2020-04-22$37.10$40.0048.5%13.9%55.5%43.9%48.8%6.5%-7.2%-6.9K1.2M-18.7K0.1959.22N/AN/A54102,8691,660
2020-04-23$36.96$40.0058.2%16.7%54.0%55.2%45.5%8.0%-29.6%-3.6K1.1M-19.1K1.1882.60N/AN/A17202,9181,670
2020-04-24$36.95$40.0047.7%13.7%50.2%42.9%47.9%12.9%-9.8%-18.1K1.5M-17.3K6.3389.90N/AN/A3192,9251,690
2020-04-27$37.18$40.0048.0%13.8%44.9%43.3%49.6%6.9%-19.4%-16.2K1.2M-18.3K10.2171.45N/AN/A383882,9261,709
2020-04-28$36.49$40.0045.6%13.1%44.9%40.5%45.5%4.5%-4.0%-50.2K2.0M-19.5K1.0053.67N/AN/A112,9522,095
2020-04-29$38.27$40.0041.3%11.8%47.1%35.4%41.0%5.6%-7.5%-44.1K1.2M-20.1K0.3087.97N/AN/A2062,9532,096
2020-04-30$37.97$40.0045.5%13.0%45.6%40.3%48.0%8.7%-11.8%-40.3K1.2M-20.5K0.0357.82N/AN/A17752,9712,102