OTEX Options History — March 2021

In March 2021, OTEX traded between $44.48 and $49.50. ATM implied volatility averaged 23.9%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 0.5% (HV 20d: 24.3%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 3.08.

Notable Days

  • 2021-03-19: Highest Volume — 853 contracts
  • 2021-03-30: Largest IV spike — 84.4% change
  • 2021-03-30: Highest IV Rank — 34.8%
  • 2021-03-30: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.37$44.48$49.50$45.73$47.84
Max Pain$47.83$45.00$50.00$50.00$50.00
ATM IV23.9%17.2%31.7%25.7%20.5%
Expected Move6.8%4.9%9.1%7.4%5.9%
HV 20d24.3%19.0%27.5%22.4%25.1%
HV 60d21.9%19.4%23.3%19.4%23.3%
IV Rank11.7%3.1%34.8%12.4%10.8%
IV Percentile17.9%1.2%63.5%23.8%4.4%
Term Structure2.3%-11.8%5.7%0.1%1.6%
VWIV24.5%18.4%34.5%26.4%21.5%
Skew 25d4.1%-8.8%39.3%-1.8%-8.8%
Skew 10d15.6%-6.6%106.1%-2.6%24.1%
Call IV 25d23.4%17.3%31.5%27.4%23.6%
Put IV 25d27.6%13.5%66.2%25.6%14.8%
Bid-Ask Spread %89.1433.19102.9295.2878.66
Gamma HHI0.540.350.810.400.45
Net GEX281.5K106.2K789.1K140.0K241.2K
Net DEX-2.6M-4.6M-938.0K-1.3M-2.9M
Net VEX-17.0K-22.6K-11.4K-13.0K-22.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.080.0048.500.085.63
Total Volume133.435785326126
Total OI2,909.3912,5333,4982,5503,498

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-03-01$45.73$50.0025.7%7.4%22.4%12.4%26.4%-1.8%0.1%140.0K-1.3M-13.0K0.0895.28N/AN/A2422,271279
2021-03-02$46.06$50.0025.9%7.4%20.8%12.7%27.4%39.3%-0.3%157.1K-1.5M-12.8K0.0094.55N/AN/A1302,254279
2021-03-03$45.49$50.0027.1%7.8%20.3%14.1%34.5%-4.4%0.3%131.0K-1.1M-11.4K0.0098.80N/AN/A702,262279
2021-03-04$44.48$45.0030.5%8.0%21.3%18.4%28.0%25.7%1.8%112.6K-938.0K-11.4K0.25100.91N/AN/A60152,268279
2021-03-05$45.26$45.0025.6%7.9%22.2%12.3%27.3%4.3%5.7%106.2K-1.1M-11.6K0.3597.68N/AN/A2382,293294
2021-03-08$45.24$45.0031.3%7.5%19.0%19.4%26.1%3.5%3.1%131.3K-1.1M-11.6K2.7791.75N/AN/A13362,304294
2021-03-09$46.61$45.0022.2%7.8%22.1%8.1%25.2%4.5%2.8%180.1K-1.7M-13.4K0.0088.98N/AN/A2102,308328
2021-03-10$46.51$45.0026.5%7.6%22.1%13.5%26.5%8.1%2.5%171.7K-1.6M-12.5K1.00102.92N/AN/A94942,319328
2021-03-11$47.99$45.0024.5%7.0%25.2%10.9%0.0%3.0%2.6%305.6K-2.7M-15.6K0.1292.27N/AN/A4252,401371
2021-03-12$47.58$45.0024.2%6.9%24.7%10.6%24.2%2.4%2.5%254.8K-2.3M-15.1K0.8589.21N/AN/A1571332,409371
2021-03-15$48.64$45.0024.0%6.9%25.9%10.3%23.9%5.3%3.6%401.6K-3.1M-17.2K0.0599.34N/AN/A265142,441499
2021-03-16$49.46$45.0023.7%6.8%26.0%10.0%24.3%2.2%2.8%657.1K-4.3M-19.5K0.0092.33N/AN/A12402,608508
2021-03-17$48.88$45.0023.3%6.7%26.2%9.5%23.3%5.6%2.2%478.8K-3.4M-17.7K0.0795.95N/AN/A7152,552508
2021-03-18$48.39$50.0023.5%6.8%26.5%9.8%23.3%-4.7%3.9%200.1K-2.6M-17.1K0.2892.61N/AN/A57162,568513
2021-03-19$49.50$50.0022.0%6.3%27.5%8.6%22.1%7.1%4.4%789.1K-3.4M-17.6K0.0190.72N/AN/A842112,601526
2021-03-22$49.23$50.0020.4%5.9%25.8%7.3%20.5%5.7%4.8%324.2K-4.6M-22.0K0.0084.60N/AN/A19902,497373
2021-03-23$48.49$50.0019.8%5.7%26.2%7.0%0.0%-4.3%5.5%321.9K-4.1M-22.3K0.5999.81N/AN/A39232,673373
2021-03-24$47.73$50.0017.6%5.0%26.9%3.6%21.1%-7.2%4.1%279.2K-3.3M-21.4K1.3392.28N/AN/A682,711395
2021-03-25$47.66$50.0020.6%5.9%26.5%9.9%20.4%3.9%4.8%278.9K-3.3M-21.4K0.0092.33N/AN/A0192,711403
2021-03-26$47.73$50.0021.0%6.0%26.2%10.8%25.5%-0.0%-0.1%287.9K-3.4M-21.3K1.42102.30N/AN/A861222,711423
2021-03-29$47.67$50.0017.2%4.9%25.5%3.1%18.4%4.3%5.4%277.0K-3.2M-21.5K4.4343.80N/AN/A351552,709519
2021-03-30$47.45$50.0031.7%9.1%25.6%34.8%21.5%1.3%-11.8%246.8K-2.7M-21.4K48.5033.19N/AN/A2972,732673
2021-03-31$47.84$50.0020.5%5.9%25.1%10.8%0.0%-8.8%1.6%241.2K-2.9M-22.6K5.6378.66N/AN/A191072,730768