OTEX Options History — August 2020

In August 2020, OTEX traded between $43.51 and $46.18. ATM implied volatility averaged 28.0%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 9.9% (HV 20d: 18.1%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.75.

Notable Days

  • 2020-08-06: Highest Volume — 769 contracts
  • 2020-08-07: Largest IV drop — 22.1% change
  • 2020-08-05: Highest IV Rank — 33.5%
  • 2020-08-05: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.74$43.51$46.18$45.38$45.51
Max Pain$44.29$40.00$45.00$40.00$45.00
ATM IV28.0%21.9%39.8%37.0%27.0%
Expected Move8.0%6.3%11.4%10.6%7.7%
HV 20d18.1%16.3%20.9%19.1%18.1%
HV 60d23.4%21.3%25.7%25.7%21.3%
IV Rank19.5%12.3%33.5%30.1%18.4%
IV Percentile53.6%39.7%81.7%79.4%51.6%
Term Structure1.5%-7.9%5.2%-4.2%-0.6%
VWIV27.6%17.6%38.8%36.3%27.2%
Skew 25d11.6%1.4%67.7%3.9%67.7%
Skew 10d21.9%-5.0%122.8%6.6%122.8%
Call IV 25d25.2%19.3%39.5%36.4%27.8%
Put IV 25d36.8%25.6%95.4%40.3%95.4%
Bid-Ask Spread %89.5970.40108.0893.6194.75
Gamma HHI0.380.330.470.370.42
Net GEX205.3K154.8K283.2K203.9K238.3K
Net DEX-3.0M-4.6M-1.7M-4.0M-3.3M
Net VEX-21.3K-25.6K-19.2K-19.6K-20.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.0012.720.080.00
Total Volume163.3811476913038
Total OI4,874.4763,5345,7694,3233,682

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$45.38$40.0037.0%10.6%19.1%30.1%36.3%3.9%-4.2%203.9K-4.0M-19.6K0.0893.61N/AN/A120102,8901,433
2020-08-04$45.31$40.0037.1%10.6%18.2%30.3%37.7%1.4%-5.8%226.0K-4.1M-19.6K12.7293.21N/AN/A253182,9881,443
2020-08-05$45.81$40.0039.8%11.4%18.4%33.5%38.8%6.7%-7.9%215.3K-4.1M-23.2K0.5292.24N/AN/A29152,9971,758
2020-08-06$46.18$45.0039.6%10.0%18.4%33.2%27.6%7.3%1.8%224.8K-4.6M-23.1K0.1892.68N/AN/A6491203,0071,763
2020-08-07$45.73$45.0030.8%8.8%18.3%22.8%28.5%6.8%1.3%255.1K-4.4M-25.6K0.0192.13N/AN/A62843,5951,881
2020-08-10$44.68$45.0028.7%8.2%19.9%20.3%0.0%6.7%3.3%209.8K-3.3M-23.6K0.2586.19N/AN/A106263,7111,881
2020-08-11$44.00$45.0028.6%8.0%20.9%20.2%27.5%6.0%3.8%166.2K-2.4M-23.8K0.4484.29N/AN/A45203,7621,883
2020-08-12$43.57$45.0026.8%7.7%20.2%18.1%26.8%9.4%3.8%159.2K-2.0M-22.9K0.0087.55N/AN/A6203,7431,894
2020-08-13$43.82$45.0027.6%7.9%19.9%19.1%17.6%6.5%2.6%186.2K-2.3M-22.6K0.0888.74N/AN/A175143,7471,894
2020-08-14$43.51$45.0026.4%7.6%19.7%17.6%29.7%5.9%4.0%159.9K-1.8M-21.7K0.1182.43N/AN/A1823,8191,904
2020-08-17$43.56$45.0025.1%7.2%16.8%16.2%0.0%40.4%4.2%154.8K-1.7M-20.4K0.0094.03N/AN/A21403,8191,950
2020-08-18$43.77$45.0023.8%6.8%16.5%14.6%29.1%4.2%4.9%172.8K-1.9M-19.2K0.0080.76N/AN/A5703,7471,950
2020-08-19$43.97$45.0021.9%6.3%16.5%12.3%33.5%24.3%5.2%186.5K-2.1M-19.9K0.30108.08N/AN/A37113,7961,950
2020-08-20$44.66$45.0023.9%6.8%17.5%14.6%23.9%6.8%1.3%283.2K-2.7M-20.7K0.0095.85N/AN/A4603,7761,950
2020-08-21$44.46$45.0023.2%6.7%16.8%13.9%23.2%6.4%0.9%177.1K-2.2M-20.2K0.2192.15N/AN/A141303,7941,950
2020-08-24$44.09$45.0022.7%6.5%16.8%13.3%22.7%3.7%2.4%168.4K-2.2M-20.0K0.1785.90N/AN/A59102,3771,157
2020-08-25$44.32$45.0023.0%6.6%16.3%13.6%23.0%7.4%1.7%181.0K-2.2M-19.8K0.0094.20N/AN/A1402,3941,167
2020-08-26$45.19$45.0022.8%6.5%16.8%13.4%21.0%7.3%4.3%238.5K-3.1M-19.9K0.0070.40N/AN/A6102,4001,167
2020-08-27$45.82$45.0025.3%7.2%17.4%16.3%24.9%9.3%2.6%255.1K-3.7M-20.5K0.6384.11N/AN/A104652,4461,167
2020-08-28$46.15$45.0026.9%7.7%17.5%18.2%25.7%4.5%1.5%249.2K-4.0M-21.6K0.0088.13N/AN/A15802,5001,232
2020-08-31$45.51$45.0027.0%7.7%18.1%18.4%27.2%67.7%-0.6%238.3K-3.3M-20.3K0.0094.75N/AN/A3802,4501,232