OTEX Options History — October 2020

In October 2020, OTEX traded between $36.69 and $42.79. ATM implied volatility averaged 33.5%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 14.5% (HV 20d: 19.0%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.41.

Notable Days

  • 2020-10-26: Highest Volume — 245 contracts
  • 2020-10-02: Largest IV spike — 57.5% change
  • 2020-10-28: Highest IV Rank — 35.9%
  • 2020-10-28: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.01$36.69$42.79$42.62$36.69
Max Pain$40.45$40.00$45.00$45.00$40.00
ATM IV33.5%18.8%41.9%18.8%41.1%
Expected Move9.9%5.4%12.0%5.4%11.8%
HV 20d19.0%15.0%27.4%27.4%22.9%
HV 60d22.3%21.3%23.7%22.5%23.7%
IV Rank26.0%8.6%35.9%8.6%35.0%
IV Percentile66.8%20.6%83.7%20.6%82.1%
Term Structure-2.5%-8.0%7.4%7.4%-0.4%
VWIV33.3%28.5%44.6%28.7%38.1%
Skew 25d5.9%-1.3%12.3%1.6%5.4%
Skew 10d4.6%-20.7%39.6%34.9%15.7%
Call IV 25d32.0%16.1%42.2%25.2%38.4%
Put IV 25d37.9%26.8%49.4%26.8%43.8%
Bid-Ask Spread %94.6485.94101.2799.5995.78
Gamma HHI0.380.350.410.360.41
Net GEX22.3K-89.7K144.3K74.9K-89.7K
Net DEX696.7K-684.3K3.3M-121.9K3.3M
Net VEX-15.8K-20.3K-8.6K-20.3K-8.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.001.331.310.07
Total Volume80.86432453729
Total OI4,539.6364,0185,0714,6184,409

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-10-01$42.62$45.0018.8%5.4%27.4%8.6%28.7%1.6%7.4%74.9K-121.9K-20.3K1.3199.59N/AN/A16212,7241,894
2020-10-02$42.09$45.0029.6%8.5%21.4%21.4%0.0%12.3%4.5%49.3K130.8K-19.9K0.0196.20N/AN/A10712,7321,895
2020-10-05$42.35$40.0030.6%10.6%20.6%22.6%29.9%3.2%-4.9%77.3K-209.4K-19.8K0.0594.66N/AN/A17092,8051,896
2020-10-06$41.56$40.0030.1%9.9%19.4%21.9%30.9%6.3%-0.6%10.1K570.7K-18.8K0.4092.15N/AN/A42172,8601,898
2020-10-07$41.77$40.0035.0%9.9%18.3%27.7%30.9%1.3%-2.0%40.8K283.1K-19.2K0.8891.13N/AN/A25222,8881,905
2020-10-08$41.76$40.0021.9%9.7%16.9%12.3%33.9%7.3%-2.2%7.2K459.0K-17.9K0.8189.47N/AN/A90732,8981,910
2020-10-09$42.28$40.0027.1%9.7%17.3%18.4%31.0%2.9%-1.9%62.2K-33.8K-18.3K0.0692.50N/AN/A3322,9831,934
2020-10-12$42.79$40.0030.3%8.7%17.6%22.2%30.3%-1.3%-2.0%144.3K-684.3K-18.3K0.4495.79N/AN/A41182,9941,934
2020-10-13$42.22$40.0038.8%9.6%18.2%32.2%28.5%6.2%-2.7%55.6K71.7K-16.8K0.0685.94N/AN/A3523,0091,926
2020-10-14$41.64$40.0033.3%9.6%18.5%25.8%30.5%7.2%-3.0%39.2K470.8K-16.1K0.5091.25N/AN/A52263,0251,923
2020-10-15$41.58$40.0034.4%9.9%18.4%27.1%31.5%7.0%-4.6%4.5K717.1K-16.4K0.3293.67N/AN/A164533,0471,949
2020-10-16$41.89$40.0034.3%9.8%18.6%26.9%29.2%8.9%-3.5%65.1K230.0K-16.8K0.9795.77N/AN/A39383,0901,981
2020-10-19$41.70$40.0034.1%9.8%18.3%26.7%34.6%7.8%-1.2%58.5K-130.3K-15.7K1.3399.50N/AN/A682,4931,525
2020-10-20$41.41$40.0035.3%10.1%17.2%28.1%32.9%7.5%-4.5%38.5K196.0K-15.2K0.6289.64N/AN/A29182,4971,527
2020-10-21$41.09$40.0036.1%10.3%16.3%29.0%36.3%6.2%-4.8%26.5K472.4K-15.0K0.00101.27N/AN/A032,5141,540
2020-10-22$40.75$40.0032.6%9.3%16.3%24.9%32.2%7.3%-2.3%-2.3K827.3K-13.8K0.0097.43N/AN/A7902,5141,543
2020-10-23$40.81$40.0034.0%9.7%15.0%26.6%32.6%6.6%-3.4%295826.4K-13.8K0.4193.83N/AN/A100412,5221,543
2020-10-26$39.52$40.0037.3%10.7%17.7%30.5%35.9%5.8%-4.9%-39.7K1.6M-12.4K0.0596.31N/AN/A234112,5731,546
2020-10-27$39.70$40.0038.2%10.9%17.9%31.5%34.9%7.4%-5.6%-23.2K1.5M-12.5K0.0097.34N/AN/A2802,7681,549
2020-10-28$38.22$40.0041.9%12.0%21.8%35.9%44.6%7.1%-4.7%-42.1K2.2M-11.9K0.2396.83N/AN/A43102,7761,549
2020-10-29$37.84$40.0041.6%11.9%21.2%35.5%42.6%5.1%-8.0%-66.7K2.7M-10.4K0.0096.14N/AN/A4402,7881,596
2020-10-30$36.69$40.0041.1%11.8%22.9%35.0%38.1%5.4%-0.4%-89.7K3.3M-8.6K0.0795.78N/AN/A2722,8131,596