OTEX Options History — September 2020

In September 2020, OTEX traded between $41.23 and $47.02. ATM implied volatility averaged 29.9%, placing in the 21.8% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 2.0% (HV 20d: 27.9%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 3.36.

Notable Days

  • 2020-09-17: Highest Volume — 1,098 contracts
  • 2020-09-08: Largest IV spike — 43.9% change
  • 2020-09-08: Highest IV Rank — 34.0%
  • 2020-09-08: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.80$41.23$47.02$45.97$42.25
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV29.9%23.7%40.3%28.0%23.7%
Expected Move8.7%6.8%10.9%8.0%6.8%
HV 20d27.9%18.4%30.0%18.4%28.7%
HV 60d22.3%21.3%24.2%21.3%22.4%
IV Rank21.8%14.5%34.0%19.5%14.5%
IV Percentile58.3%31.3%81.7%52.8%31.3%
Term Structure5.0%-2.4%16.6%0.3%15.9%
VWIV29.3%22.7%35.1%27.9%29.1%
Skew 25d5.7%-2.1%14.9%14.9%8.0%
Skew 10d17.7%-22.7%74.5%34.0%44.2%
Call IV 25d27.1%20.0%31.5%28.1%22.1%
Put IV 25d32.9%26.5%43.1%43.1%30.1%
Bid-Ask Spread %91.4470.62101.3591.76100.20
Gamma HHI0.380.330.450.400.37
Net GEX130.9K22.9K325.8K247.5K59.9K
Net DEX-1.2M-5.9M587.0K-3.9M-89.3K
Net VEX-20.7K-23.3K-18.1K-20.6K-20.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.360.0020.570.001.00
Total Volume151.381181,09837028
Total OI4,331.6193,6985,0833,6984,620

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$45.97$45.0028.0%8.0%18.4%19.5%27.9%14.9%0.3%247.5K-3.9M-20.6K0.0091.76N/AN/A37002,4661,232
2020-09-02$47.02$45.0024.3%7.0%19.7%15.2%23.6%1.8%16.6%325.8K-5.9M-22.2K2.32101.35N/AN/A571322,7991,232
2020-09-03$44.66$45.0027.5%9.3%27.0%18.9%32.7%11.0%3.5%248.0K-3.3M-23.3K0.0997.94N/AN/A5652,7961,357
2020-09-04$43.75$45.0028.0%9.4%27.6%19.5%26.6%5.8%2.4%185.1K-2.1M-22.5K0.4692.80N/AN/A1362,7751,358
2020-09-08$42.58$45.0040.3%10.9%28.1%34.0%35.1%6.9%1.9%117.4K-1.3M-22.4K0.0093.17N/AN/A2202,7851,362
2020-09-09$43.34$45.0030.2%8.7%28.5%22.1%30.2%4.4%3.3%170.9K-1.7M-20.5K0.0093.54N/AN/A12802,7861,362
2020-09-10$42.47$45.0033.6%9.6%29.2%26.1%28.2%6.6%3.1%137.9K-1.2M-20.5K0.2997.59N/AN/A87252,8951,362
2020-09-11$42.14$45.0033.9%9.7%29.1%26.5%30.9%4.9%0.3%122.1K-841.1K-19.7K0.0098.35N/AN/A2402,9321,371
2020-09-14$42.47$45.0027.3%7.8%29.3%18.7%28.6%-2.1%4.7%141.4K-838.9K-18.9K0.0499.30N/AN/A8232,9521,371
2020-09-15$42.66$45.0030.2%8.7%29.3%22.1%28.6%0.6%3.4%169.9K-1.2M-19.0K0.7296.27N/AN/A18133,0331,371
2020-09-16$42.22$45.0033.8%9.7%29.4%26.3%29.3%6.1%-2.4%108.3K-670.5K-18.1K0.94100.74N/AN/A67633,0461,374
2020-09-17$42.00$45.0030.3%8.7%29.3%22.3%30.4%3.0%4.7%70.6K-320.0K-18.2K0.3594.07N/AN/A8152833,0781,511
2020-09-18$42.01$45.0030.9%8.9%28.6%22.9%30.6%5.7%5.4%127.8K-1.0M-22.3K2.1594.52N/AN/A551183,4871,596
2020-09-21$41.56$45.0031.9%9.2%28.7%24.2%31.9%5.4%1.2%95.6K-469.8K-19.8K14.8571.41N/AN/A131932,7221,374
2020-09-22$42.30$45.0029.4%8.4%29.6%21.2%32.2%5.9%6.8%100.9K-742.6K-21.3K1.8678.74N/AN/A14262,7281,567
2020-09-23$41.55$45.0029.1%8.3%30.0%20.8%28.8%2.0%4.0%64.7K271-20.3K19.1079.16N/AN/A101912,7301,591
2020-09-24$41.23$45.0030.7%8.8%28.8%22.8%22.7%7.3%3.7%22.9K587.0K-21.0K5.0088.79N/AN/A8402,7231,769
2020-09-25$41.93$45.0029.2%8.4%29.1%20.9%0.0%5.3%6.5%65.6K-127.4K-21.4K0.0082.35N/AN/A1802,7241,766
2020-09-28$42.43$45.0032.7%9.4%29.4%25.1%28.7%7.0%3.4%86.2K-539.4K-21.0K0.8070.62N/AN/A25202,7161,766
2020-09-29$42.30$45.0023.9%6.8%29.1%14.6%0.0%10.2%16.4%79.9K-343.7K-20.4K20.5797.48N/AN/A71442,7141,765
2020-09-30$42.25$45.0023.7%6.8%28.7%14.5%29.1%8.0%15.9%59.9K-89.3K-20.5K1.00100.20N/AN/A14142,7121,908