OTEX Options History — July 2020

In July 2020, OTEX traded between $42.12 and $45.05. ATM implied volatility averaged 30.1%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 9.3% (HV 20d: 20.8%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.63.

Notable Days

  • 2020-07-15: Highest Volume — 932 contracts
  • 2020-07-13: Largest IV spike — 218.9% change
  • 2020-07-13: Highest IV Rank — 49.9%
  • 2020-07-28: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.71$42.12$45.05$42.80$44.95
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV30.1%16.9%53.8%27.8%34.8%
Expected Move9.4%7.4%11.0%8.0%10.0%
HV 20d20.8%16.8%28.9%28.9%19.0%
HV 60d28.6%25.6%32.3%32.3%25.7%
IV Rank22.0%6.4%49.9%19.5%27.5%
IV Percentile62.9%15.5%92.5%59.1%78.2%
Term Structure-1.1%-5.8%5.7%4.3%-4.0%
VWIV31.5%17.6%39.0%27.6%34.8%
Skew 25d3.4%-6.0%20.8%5.3%-6.0%
Skew 10d8.1%-9.6%27.2%6.1%-9.6%
Call IV 25d28.7%18.1%34.6%28.0%34.6%
Put IV 25d32.2%20.8%39.6%33.3%28.7%
Bid-Ask Spread %92.5363.73104.2263.7395.48
Gamma HHI0.320.270.390.280.38
Net GEX105.2K54.6K193.5K73.2K193.5K
Net DEX-2.3M-3.6M-1.3M-1.8M-3.6M
Net VEX-17.8K-20.1K-16.0K-18.0K-19.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.006.000.000.25
Total Volume158.5912932210
Total OI3,696.5913,2874,3233,4074,323

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-07-01$42.80$40.0027.8%8.0%28.9%19.5%27.6%5.3%4.3%73.2K-1.8M-18.0K0.0063.73N/AN/A202,0031,404
2020-07-02$43.15$40.0025.8%7.4%27.2%17.2%0.0%-5.3%5.7%85.1K-1.7M-16.9K1.5874.76N/AN/A24382,0031,404
2020-07-06$43.46$40.0022.2%9.2%26.8%12.7%32.3%4.5%-4.3%119.7K-2.0M-16.9K1.4284.51N/AN/A3024302,0241,422
2020-07-07$42.88$40.0016.9%9.3%26.9%6.5%31.8%4.2%0.3%75.4K-1.7M-16.9K0.0086.66N/AN/A6402,0261,436
2020-07-08$43.18$40.0025.6%9.4%27.0%16.7%30.9%4.5%-0.6%97.7K-1.7M-16.4K0.0082.33N/AN/A22602,0641,436
2020-07-09$43.12$40.0017.3%9.2%26.6%7.0%39.0%4.0%-0.6%102.9K-2.0M-17.9K6.0086.82N/AN/A3182,2261,436
2020-07-10$42.66$40.0016.9%9.4%16.8%6.4%35.4%7.1%-0.7%70.1K-1.7M-17.7K0.0082.82N/AN/A2102,2261,443
2020-07-13$42.14$40.0053.8%10.5%17.2%49.9%26.0%20.8%-1.9%62.9K-1.3M-16.0K0.13100.40N/AN/A6282,2371,443
2020-07-14$42.12$40.0026.3%10.5%17.2%17.5%36.2%7.4%0.1%54.6K-1.4M-16.3K0.0086.22N/AN/A1702,2461,451
2020-07-15$42.97$40.0031.3%9.0%17.4%23.4%36.7%11.6%-2.6%83.9K-1.8M-17.3K0.7995.78N/AN/A5204122,2481,451
2020-07-16$42.56$40.0033.2%9.5%17.8%25.6%35.8%7.3%2.6%81.7K-1.8M-16.7K0.0098.39N/AN/A032,2631,453
2020-07-17$43.09$40.0031.5%9.0%18.3%23.7%33.5%5.8%-3.0%75.5K-1.9M-16.7K0.3794.77N/AN/A1972,2631,456
2020-07-20$44.31$40.0031.9%9.1%20.8%24.1%31.2%4.5%-2.2%93.5K-2.5M-18.0K1.1698.46N/AN/A1291502,0281,259
2020-07-21$44.75$40.0031.8%9.1%19.7%24.0%31.1%-5.3%-1.5%97.2K-2.5M-18.0K0.1497.04N/AN/A76112,1071,409
2020-07-22$45.00$40.0031.3%9.0%19.4%23.5%28.2%-4.6%0.3%105.6K-2.7M-18.4K0.0898.48N/AN/A2522,1341,420
2020-07-23$45.05$40.0032.1%9.2%17.9%24.3%29.0%4.0%-1.7%106.1K-2.7M-18.2K0.0096.31N/AN/A21002,1411,422
2020-07-24$44.43$40.0032.1%9.2%18.3%24.3%32.1%-5.3%-0.4%106.1K-2.5M-18.2K1.2298.77N/AN/A9112,3151,422
2020-07-27$44.82$40.0032.9%9.4%17.9%25.3%35.8%3.2%-3.1%110.8K-2.5M-17.6K0.00103.81N/AN/A39602,3161,433
2020-07-28$44.27$40.0038.3%11.0%18.4%31.6%38.6%-0.2%-5.8%153.8K-3.0M-20.1K0.15102.39N/AN/A1322,7051,433
2020-07-29$45.00$40.0033.3%9.5%19.1%25.7%17.6%3.9%-1.6%178.6K-3.6M-19.8K0.00103.52N/AN/A11602,7081,433
2020-07-30$44.90$40.0034.6%9.9%19.1%27.3%18.7%3.9%-3.7%186.0K-3.5M-19.9K0.00104.22N/AN/A15302,8201,433
2020-07-31$44.95$40.0034.8%10.0%19.0%27.5%34.8%-6.0%-4.0%193.5K-3.6M-19.9K0.2595.48N/AN/A822,8901,433