OTEX Options History — January 2021

In January 2021, OTEX traded between $44.24 and $47.53. ATM implied volatility averaged 27.9%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 12.6% (HV 20d: 15.3%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.11.

Notable Days

  • 2021-01-14: Highest Volume — 611 contracts
  • 2021-01-13: Largest IV spike — 26.6% change
  • 2021-01-29: Highest IV Rank — 27.5%
  • 2021-01-29: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.80$44.24$47.53$45.36$44.82
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV27.9%19.7%35.1%26.8%35.1%
Expected Move8.5%7.7%10.1%8.2%10.1%
HV 20d15.3%10.6%22.7%11.4%22.7%
HV 60d23.8%21.7%24.8%24.0%22.9%
IV Rank19.0%9.2%27.5%17.6%27.5%
IV Percentile39.7%5.2%71.4%34.1%71.4%
Term Structure-1.8%-4.6%0.1%-0.7%-4.6%
VWIV28.6%26.5%35.1%28.3%35.1%
Skew 25d4.7%0.4%7.6%4.7%7.6%
Skew 10d9.2%-9.1%24.8%9.1%11.6%
Call IV 25d27.9%25.3%34.0%27.1%34.0%
Put IV 25d32.6%28.7%41.6%31.9%41.6%
Bid-Ask Spread %87.0473.6195.5991.2295.59
Gamma HHI0.540.440.740.560.45
Net GEX382.4K259.6K650.9K408.9K264.1K
Net DEX-4.3M-6.5M-2.4M-4.3M-2.8M
Net VEX-12.7K-14.8K-11.1K-14.8K-11.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.110.000.440.000.19
Total Volume101.57956116838
Total OI3,528.0532,7214,0233,8763,170

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-01-04$45.36$45.0026.8%8.2%11.4%17.6%28.3%4.7%-0.7%408.9K-4.3M-14.8K0.0091.22N/AN/A6803,204672
2021-01-05$45.67$45.0025.5%8.2%10.6%16.1%27.1%6.0%0.1%439.3K-4.9M-14.7K0.1193.77N/AN/A2733,260672
2021-01-06$44.90$45.0023.4%7.9%12.0%13.7%26.6%3.7%-0.5%437.2K-3.8M-14.1K0.0192.66N/AN/A9413,268675
2021-01-07$44.75$45.0020.9%7.7%12.0%10.6%26.7%4.7%0.1%472.4K-3.6M-13.8K0.3890.39N/AN/A34133,282675
2021-01-08$44.80$45.0019.7%7.9%12.0%9.2%27.5%4.3%-0.9%504.1K-3.5M-13.6K0.1487.20N/AN/A713,284688
2021-01-11$44.24$45.0023.1%8.0%12.6%13.2%27.8%3.9%-0.6%444.3K-2.4M-12.0K0.0078.74N/AN/A1003,285689
2021-01-12$44.43$45.0022.5%7.9%12.7%12.5%27.4%5.0%-0.7%527.5K-2.7M-12.3K0.4486.98N/AN/A34153,293689
2021-01-13$45.25$45.0028.5%8.2%14.0%19.7%0.0%6.1%-0.4%650.9K-4.3M-12.4K0.0090.49N/AN/A053,315703
2021-01-14$46.34$45.0029.0%8.3%16.2%20.3%28.7%3.9%-1.4%282.9K-6.5M-11.7K0.0879.35N/AN/A568433,315708
2021-01-15$46.17$45.0028.5%8.2%16.1%19.6%28.1%4.2%-1.6%259.6K-5.2M-11.7K0.0279.66N/AN/A13223,078727
2021-01-19$46.60$45.0029.7%8.5%16.3%21.1%27.0%4.8%-1.3%278.6K-4.3M-11.2K0.0192.62N/AN/A9112,091630
2021-01-20$47.53$45.0026.9%7.7%16.8%17.8%26.5%0.4%-1.5%299.8K-5.2M-11.1K0.0092.29N/AN/A47122,154631
2021-01-21$47.06$45.0029.3%8.4%17.1%20.6%28.4%3.2%-2.3%343.2K-5.1M-13.2K0.1474.64N/AN/A95132,459632
2021-01-22$46.85$45.0029.7%8.5%16.9%21.1%29.2%4.3%-2.0%347.5K-5.0M-13.1K0.0585.29N/AN/A6432,504644
2021-01-25$46.49$45.0031.4%9.0%17.0%23.0%29.1%5.0%-3.1%338.9K-4.4M-12.1K0.0573.61N/AN/A2112,506644
2021-01-26$46.75$45.0032.2%9.2%16.8%24.0%30.2%5.5%-3.2%341.1K-4.8M-12.7K0.0887.37N/AN/A1212,515644
2021-01-27$45.75$45.0034.4%9.9%18.6%26.7%32.7%6.4%-4.5%301.5K-3.9M-12.5K0.1690.23N/AN/A3762,514645
2021-01-28$46.35$45.0034.0%9.7%19.1%26.2%0.0%6.0%-4.4%324.2K-4.4M-12.5K0.1391.64N/AN/A1522,518650
2021-01-29$44.82$45.0035.1%10.1%22.7%27.5%35.1%7.6%-4.6%264.1K-2.8M-11.2K0.1995.59N/AN/A3262,518652