OTEX Options History — December 2020

In December 2020, OTEX traded between $44.43 and $46.04. ATM implied volatility averaged 24.7%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 9.4% (HV 20d: 15.3%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.12.

Notable Days

  • 2020-12-18: Highest Volume — 688 contracts
  • 2020-12-03: Largest IV spike — 48.0% change
  • 2020-12-03: Highest IV Rank — 25.3%
  • 2020-12-01: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.49$44.43$46.04$44.43$45.50
Max Pain$44.32$40.00$45.00$40.00$45.00
ATM IV24.7%22.2%32.9%27.8%22.4%
Expected Move7.0%6.4%8.0%8.0%6.4%
HV 20d15.3%10.4%28.0%28.0%11.9%
HV 60d24.9%24.0%26.2%26.2%24.0%
IV Rank15.3%12.4%25.3%19.3%12.4%
IV Percentile26.5%15.1%63.9%39.3%15.1%
Term Structure2.7%-7.4%5.1%-7.4%4.7%
VWIV26.7%13.5%62.9%62.9%22.8%
Skew 25d9.2%1.7%17.2%7.6%4.3%
Skew 10d13.1%-1.5%26.1%14.9%8.7%
Call IV 25d18.9%14.1%27.5%27.5%21.8%
Put IV 25d28.1%22.2%35.1%35.1%26.1%
Bid-Ask Spread %95.8737.62114.10114.10103.69
Gamma HHI0.490.440.590.440.55
Net GEX380.7K235.8K553.9K235.8K424.9K
Net DEX-4.1M-4.8M-2.8M-2.8M-4.6M
Net VEX-16.0K-18.4K-13.7K-14.1K-15.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.120.000.560.000.00
Total Volume146.682146889828
Total OI4,233.3643,6884,7764,1003,884

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$44.43$40.0027.8%8.0%28.0%19.3%62.9%7.6%-7.4%235.8K-2.8M-14.1K0.00114.10N/AN/A9802,8471,253
2020-12-02$44.73$40.0022.2%6.4%26.4%12.7%22.5%1.7%1.2%264.3K-3.0M-13.8K0.0299.54N/AN/A19832,8661,253
2020-12-03$45.19$40.0032.9%7.0%25.7%25.3%24.4%5.1%3.2%298.9K-3.5M-15.8K0.0896.19N/AN/A328262,8911,253
2020-12-04$45.80$45.0022.4%7.0%25.7%12.9%24.0%6.1%2.7%334.9K-4.1M-15.6K0.4186.33N/AN/A125512,9431,277
2020-12-07$45.99$45.0023.8%7.2%17.0%14.6%23.1%3.8%2.6%324.4K-4.1M-15.6K0.0189.31N/AN/A42152,8811,313
2020-12-08$46.04$45.0024.0%7.3%14.6%14.3%25.3%17.0%2.4%375.9K-4.3M-17.3K0.56105.23N/AN/A953,2281,315
2020-12-09$45.82$45.0024.9%7.1%15.1%15.3%24.9%17.2%2.8%372.4K-4.1M-16.4K0.00109.45N/AN/A17303,2301,320
2020-12-10$45.89$45.0025.6%7.3%13.4%16.1%0.0%12.0%2.7%375.2K-4.3M-16.7K0.2996.41N/AN/A2163,2671,320
2020-12-11$45.60$45.0025.1%7.2%12.0%15.6%0.0%15.3%2.1%370.7K-3.9M-16.3K0.02102.67N/AN/A22253,2581,316
2020-12-14$46.03$45.0024.8%7.1%10.4%15.3%13.5%10.9%3.6%370.6K-4.6M-15.2K0.0096.22N/AN/A29213,1881,317
2020-12-15$45.65$45.0024.8%7.1%11.0%15.3%24.8%10.2%3.4%429.7K-4.2M-15.6K0.0097.38N/AN/A1603,4401,317
2020-12-16$45.42$45.0024.6%7.0%11.5%15.0%46.8%14.0%3.0%457.8K-3.8M-14.7K0.07108.39N/AN/A4233,4481,317
2020-12-17$45.74$45.0024.1%6.9%11.5%14.5%24.1%11.2%3.6%440.7K-4.4M-14.8K0.2191.38N/AN/A1943,4531,320
2020-12-18$45.19$45.0024.7%7.1%12.8%15.2%25.4%14.2%2.4%553.9K-3.5M-13.7K0.01102.57N/AN/A68083,4561,320
2020-12-21$44.89$45.0025.5%7.3%12.9%16.1%25.5%10.8%3.2%348.6K-3.9M-17.5K0.0696.32N/AN/A14493,049639
2020-12-22$45.42$45.0025.3%7.3%13.1%15.9%23.9%12.0%3.3%382.3K-4.6M-18.4K0.3391.25N/AN/A30103,122647
2020-12-23$45.17$45.0023.7%6.8%13.1%14.0%23.7%3.0%4.4%376.7K-4.2M-17.7K0.1888.06N/AN/A62113,123657
2020-12-24$45.64$45.0023.7%6.8%13.4%14.0%22.2%9.5%3.9%399.4K-4.8M-18.1K0.0097.26N/AN/A1903,162668
2020-12-28$45.67$45.0024.3%7.0%12.4%14.6%24.3%7.5%4.0%407.0K-4.7M-16.9K0.0937.62N/AN/A5753,159668
2020-12-29$45.56$45.0023.9%6.9%12.1%14.2%23.9%5.6%3.6%414.6K-4.7M-16.4K0.2997.04N/AN/A1443,201669
2020-12-30$45.45$45.0022.8%6.5%12.1%12.8%22.8%4.5%5.1%416.0K-4.6M-16.1K0.03102.77N/AN/A7123,207672
2020-12-31$45.50$45.0022.4%6.4%11.9%12.4%0.0%4.3%4.7%424.9K-4.6M-15.8K0.00103.69N/AN/A2803,212672