OTEX Options History — May 2020

In May 2020, OTEX traded between $37.77 and $41.51. ATM implied volatility averaged 33.5%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 2.1% (HV 20d: 35.6%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.53.

Notable Days

  • 2020-05-18: Highest Volume — 259 contracts
  • 2020-05-11: Largest IV spike — 60.7% change
  • 2020-05-11: Highest IV Rank — 46.8%
  • 2020-05-01: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.37$37.77$41.51$37.77$41.51
Max Pain$35.75$35.00$40.00$40.00$40.00
ATM IV33.5%28.2%51.0%40.5%29.9%
Expected Move8.8%8.0%11.6%11.6%8.6%
HV 20d35.6%27.6%45.8%45.8%27.6%
HV 60d60.5%60.1%61.5%60.1%60.3%
IV Rank26.2%20.0%46.8%34.5%22.0%
IV Percentile77.2%67.9%89.7%83.7%72.6%
Term Structure2.6%-0.6%12.4%12.4%0.9%
VWIV30.8%19.1%40.8%28.8%29.8%
Skew 25d7.1%-5.9%27.3%27.3%10.6%
Skew 10d11.8%-5.1%28.0%4.1%12.4%
Call IV 25d27.1%18.7%31.6%21.5%18.7%
Put IV 25d34.2%22.5%48.8%48.8%29.3%
Bid-Ask Spread %71.2631.8597.6536.7873.05
Gamma HHI0.280.220.410.370.25
Net GEX4.1K-49.8K84.9K-49.8K84.9K
Net DEX37.2K-1.5M1.6M1.6M-1.5M
Net VEX-18.2K-20.2K-17.1K-18.4K-17.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.002.720.440.05
Total Volume57.412591323
Total OI4,452.63,2645,3685,2243,453

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$37.77$40.0040.5%11.6%45.8%34.5%28.8%27.3%12.4%-49.8K1.6M-18.4K0.4436.78N/AN/A943,1242,100
2020-05-04$38.15$35.0036.7%9.2%45.6%30.0%0.0%7.2%1.5%-47.1K1.2M-19.4K0.0031.85N/AN/A103,1202,101
2020-05-05$38.77$35.0034.3%8.0%39.3%27.1%27.6%9.8%5.6%-42.7K712.9K-20.2K0.0580.31N/AN/A2113,1212,101
2020-05-06$38.70$35.0032.2%8.7%39.1%24.7%30.0%10.6%1.5%-43.9K865.3K-19.2K0.0551.89N/AN/A3823,1332,101
2020-05-07$39.02$35.0033.0%8.7%39.1%25.7%26.7%4.9%2.0%-38.7K651.9K-18.8K0.0072.11N/AN/A2003,1392,102
2020-05-08$39.62$35.0031.7%8.5%39.0%24.1%19.1%-5.9%2.3%-29.8K16.6K-19.2K2.7293.76N/AN/A471283,1512,081
2020-05-11$39.84$35.0051.0%8.7%37.9%46.8%29.9%5.8%2.2%-9.1K-180.6K-18.8K0.1182.65N/AN/A93103,1712,067
2020-05-12$39.22$35.0047.5%8.3%36.1%42.7%40.7%13.2%2.8%-17.4K271.1K-18.0K0.3797.65N/AN/A27103,2282,077
2020-05-13$38.03$35.0033.3%9.5%36.9%26.0%33.5%7.8%0.3%-30.8K1.3M-17.7K0.0381.58N/AN/A3213,2392,077
2020-05-14$37.97$35.0032.5%9.3%35.4%25.0%40.8%13.6%10.4%-17.0K1.5M-17.7K0.1583.53N/AN/A3453,2852,077
2020-05-15$38.16$35.0031.2%8.9%33.6%23.5%37.2%8.9%1.2%-15.9K1.4M-17.4K1.4769.59N/AN/A38563,2882,080
2020-05-18$40.22$35.0030.1%8.6%38.4%22.3%29.6%7.1%0.1%12.5K-706.5K-17.1K0.0084.45N/AN/A25901,6601,604
2020-05-19$39.91$35.0031.3%9.0%31.3%23.6%32.4%10.4%7.3%32.8K-849.6K-18.9K0.4884.97N/AN/A31151,8831,616
2020-05-20$39.59$35.0029.4%8.4%31.2%21.4%29.4%3.7%0.1%27.3K-565.7K-18.2K2.4180.23N/AN/A32771,9001,626
2020-05-21$39.15$35.0030.3%8.7%31.6%22.4%30.6%3.1%-0.6%22.9K-420.3K-17.1K0.0071.00N/AN/A3401,9021,554
2020-05-22$39.57$35.0029.0%8.3%31.7%20.9%28.2%8.4%0.7%35.3K-682.7K-17.4K0.4078.74N/AN/A521,9281,554
2020-05-26$40.67$35.0028.8%8.3%32.8%20.7%28.0%-1.7%1.0%66.3K-1.4M-17.9K0.7864.17N/AN/A971,9311,554
2020-05-27$40.52$35.0028.2%8.1%31.8%20.0%28.2%-2.7%0.5%66.7K-1.3M-17.6K0.0049.95N/AN/A3001,9341,558
2020-05-28$40.95$40.0029.3%8.4%27.7%21.3%35.5%-0.3%-0.1%75.3K-1.2M-17.5K1.0456.97N/AN/A23241,8741,558
2020-05-29$41.51$40.0029.9%8.6%27.6%22.0%29.8%10.6%0.9%84.9K-1.5M-17.7K0.0573.05N/AN/A2211,8831,570