OTEX Options History — November 2020

In November 2020, OTEX traded between $36.36 and $44.56. ATM implied volatility averaged 29.5%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 4.6% (HV 20d: 34.2%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.55.

Notable Days

  • 2020-11-20: Highest Volume — 597 contracts
  • 2020-11-03: Largest IV spike — 40.8% change
  • 2020-11-03: Highest IV Rank — 57.1%
  • 2020-11-03: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.62$36.36$44.56$36.36$44.22
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV29.5%15.7%59.9%42.5%24.4%
Expected Move8.3%4.5%17.2%12.2%7.0%
HV 20d34.2%22.4%38.3%22.4%28.8%
HV 60d27.9%23.7%29.2%23.7%26.6%
IV Rank21.3%5.0%57.1%36.6%15.3%
IV Percentile45.0%7.5%94.0%84.1%28.2%
Term Structure-0.0%-10.6%12.3%-6.5%-0.6%
VWIV28.6%17.0%45.9%40.6%43.8%
Skew 25d5.6%-2.7%14.2%2.6%2.0%
Skew 10d18.2%-4.0%103.0%13.2%1.8%
Call IV 25d25.5%16.5%43.4%41.8%23.6%
Put IV 25d31.1%16.6%51.5%44.5%25.6%
Bid-Ask Spread %99.8582.52109.0399.62109.03
Gamma HHI0.460.350.650.410.49
Net GEX30.4K-105.2K195.1K-88.1K194.7K
Net DEX-97.8K-2.4M3.5M3.5M-2.3M
Net VEX-9.9K-12.8K-7.2K-7.8K-12.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.004.654.650.00
Total Volume199.9515597514508
Total OI4,673.13,4265,4024,4233,635

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$36.36$40.0042.5%12.2%22.4%36.6%40.6%2.6%-6.5%-88.1K3.5M-7.8K4.6599.62N/AN/A914232,8251,598
2020-11-03$37.68$40.0059.9%17.2%26.7%57.1%45.9%4.1%-10.6%-82.7K2.9M-9.3K0.34104.78N/AN/A105362,8251,598
2020-11-04$38.62$40.0040.0%11.5%28.5%33.6%45.4%10.3%-7.7%-105.2K2.4M-11.5K0.38104.73N/AN/A40152,9521,928
2020-11-05$39.03$40.0038.1%9.6%28.9%31.5%35.6%14.2%-2.8%-104.4K2.1M-11.7K0.03101.75N/AN/A27892,9601,941
2020-11-06$41.43$40.0030.9%8.4%36.3%23.0%25.6%8.1%2.0%-4.2K117.4K-11.5K0.0196.20N/AN/A23723,1801,942
2020-11-09$40.66$40.0033.1%8.2%36.5%25.5%29.3%7.4%0.2%-79.6K867.2K-10.4K0.0197.11N/AN/A23733,3091,942
2020-11-10$40.90$40.0033.0%8.1%36.4%25.4%28.4%6.0%12.3%-70.9K605.8K-10.4K0.0894.51N/AN/A2623,4611,941
2020-11-11$41.91$40.0028.6%8.2%37.2%20.2%24.2%5.3%-0.0%36.9K-270.9K-10.0K0.0093.98N/AN/A54113,4451,942
2020-11-12$41.28$40.0027.9%8.0%37.6%19.5%27.7%5.0%0.6%-94.4K335.1K-9.2K0.3893.86N/AN/A34133,1261,941
2020-11-13$42.19$40.0027.8%8.0%38.3%19.3%27.9%5.3%0.9%31.8K-439.2K-9.2K0.0082.52N/AN/A1503,1391,947
2020-11-16$42.03$40.0026.3%7.5%38.3%17.5%26.3%5.7%1.8%-18.9K-357.1K-7.9K0.28102.67N/AN/A123343,1291,936
2020-11-17$42.24$40.0027.0%7.7%38.2%18.3%22.2%4.3%1.8%159.9K-1.1M-9.6K0.0099.01N/AN/A10703,2221,921
2020-11-18$42.38$40.0027.3%7.8%38.1%18.7%22.2%4.0%0.6%27.0K-681.1K-7.2K0.33102.42N/AN/A69233,3211,921
2020-11-19$42.62$40.0026.1%7.5%37.9%17.3%27.7%5.2%-0.0%40.0K-864.0K-7.6K0.00102.97N/AN/A6303,3581,920
2020-11-20$43.05$40.0015.7%4.5%38.0%5.0%17.0%8.8%3.5%52.8K-1.0M-7.4K0.06105.54N/AN/A563343,3611,920
2020-11-23$43.50$40.0019.3%5.5%35.8%9.3%19.3%-2.7%2.4%159.1K-1.6M-10.6K0.18105.41N/AN/A73132,2351,191
2020-11-24$43.89$40.0021.3%6.1%35.8%11.6%21.3%5.2%-0.9%185.5K-1.9M-11.1K0.0399.19N/AN/A7722,2651,204
2020-11-25$43.87$40.0020.9%6.0%32.1%11.1%20.9%5.0%1.6%173.2K-1.9M-11.0K4.25100.97N/AN/A12512,2581,206
2020-11-27$44.56$40.0020.7%5.9%31.6%10.9%20.7%5.7%0.9%195.1K-2.4M-11.5K0.00100.79N/AN/A13902,2641,253
2020-11-30$44.22$40.0024.4%7.0%28.8%15.3%43.8%2.0%-0.6%194.7K-2.3M-12.8K0.00109.03N/AN/A50802,3821,253