OTEX Options History — February 2021

In February 2021, OTEX traded between $44.85 and $49.19. ATM implied volatility averaged 28.6%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 3.6% (HV 20d: 25.0%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.13.

Notable Days

  • 2021-02-16: Highest Volume — 1,292 contracts
  • 2021-02-05: Largest IV drop — 39.0% change
  • 2021-02-04: Highest IV Rank — 30.5%
  • 2021-02-01: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.03$44.85$49.19$45.93$44.85
Max Pain$47.11$45.00$50.00$45.00$50.00
ATM IV28.6%23.0%37.7%36.5%28.1%
Expected Move8.2%7.0%10.5%10.5%8.0%
HV 20d25.0%23.9%25.7%24.4%24.4%
HV 60d19.1%18.0%22.3%22.3%19.0%
IV Rank17.5%12.0%30.5%29.1%15.4%
IV Percentile37.9%13.1%76.2%72.6%36.1%
Term Structure-0.2%-6.2%2.6%-6.2%-0.6%
VWIV28.0%24.7%36.3%36.3%28.1%
Skew 25d3.1%-4.8%10.0%6.4%0.2%
Skew 10d13.4%-7.8%62.4%4.8%1.1%
Call IV 25d26.9%20.8%34.5%34.5%23.3%
Put IV 25d30.0%23.5%40.9%40.9%23.5%
Bid-Ask Spread %82.2738.0499.6092.2599.60
Gamma HHI0.540.370.760.450.37
Net GEX342.7K121.0K623.1K315.7K121.0K
Net DEX-4.8M-8.9M-916.6K-3.9M-1.0M
Net VEX-12.5K-15.0K-10.2K-11.3K-12.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.130.000.470.040.00
Total Volume238.211291,2922949
Total OI3,481.2632,3334,2093,1842,516

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-02-01$45.93$45.0036.5%10.5%24.4%29.1%36.3%6.4%-6.2%315.7K-3.9M-11.3K0.0492.25N/AN/A2812,526658
2021-02-02$46.69$45.0036.4%10.4%25.0%29.0%33.1%7.9%-5.7%349.7K-4.8M-11.1K0.0398.56N/AN/A3112,535658
2021-02-03$47.07$45.0036.2%10.4%25.0%28.8%34.6%6.0%-5.0%362.8K-5.2M-11.0K0.0878.66N/AN/A3632,529657
2021-02-04$47.38$45.0037.7%8.9%24.1%30.5%28.0%3.9%-1.6%366.2K-5.5M-11.1K0.0474.46N/AN/A1,026432,536659
2021-02-05$48.76$45.0023.0%7.0%25.7%13.1%24.7%2.5%2.2%623.1K-8.4M-13.3K0.0687.64N/AN/A398233,459693
2021-02-08$49.19$45.0023.9%7.4%25.7%14.2%26.1%1.4%2.0%615.1K-8.9M-13.2K0.0575.34N/AN/A434203,408697
2021-02-09$49.16$45.0024.7%7.4%25.0%15.2%25.8%0.5%2.4%602.3K-8.8M-13.7K0.2838.04N/AN/A87243,450718
2021-02-10$48.97$45.0026.4%7.6%25.2%17.1%27.3%0.4%1.5%590.7K-8.5M-13.4K0.0074.96N/AN/A4503,449718
2021-02-11$48.20$45.0026.4%7.6%25.7%13.4%25.9%4.0%1.6%547.1K-7.3M-12.6K0.0190.62N/AN/A28733,447718
2021-02-12$47.89$45.0025.3%7.3%24.7%12.0%25.5%1.1%2.6%447.4K-6.6M-10.5K0.1358.86N/AN/A5573,254721
2021-02-16$47.31$45.0028.0%8.0%25.1%15.3%25.9%7.2%1.8%454.2K-5.7M-10.2K0.0087.61N/AN/A1,29203,261728
2021-02-17$46.91$50.0027.6%7.9%25.1%14.8%27.0%3.3%1.3%198.2K-4.0M-15.0K0.1774.62N/AN/A137233,353797
2021-02-18$46.89$50.0027.3%7.8%24.1%14.4%27.3%2.3%-1.0%196.5K-4.0M-14.8K0.2785.40N/AN/A71193,384805
2021-02-19$46.70$50.0025.4%7.3%23.9%12.1%25.1%2.1%0.4%188.3K-3.6M-14.3K0.3388.10N/AN/A75253,391818
2021-02-22$45.58$50.0026.6%7.6%25.3%13.6%27.3%0.8%-0.6%136.4K-1.1M-12.6K0.4792.93N/AN/A40192,090243
2021-02-23$45.17$50.0027.1%7.8%25.4%14.2%28.1%10.0%-0.0%122.7K-916.6K-11.9K0.4596.54N/AN/A22102,110260
2021-02-24$45.71$50.0027.3%7.8%25.7%14.4%26.7%3.9%-0.0%141.0K-1.1M-12.1K0.0072.36N/AN/A12902,117274
2021-02-25$45.21$50.0029.0%8.3%24.8%16.5%29.1%-4.8%1.9%133.2K-1.2M-12.8K0.0596.61N/AN/A6032,231276
2021-02-26$44.85$50.0028.1%8.0%24.4%15.4%28.1%0.2%-0.6%121.0K-1.0M-12.1K0.0099.60N/AN/A4902,237279