OTEX Options History — May 2021

In May 2021, OTEX traded between $45.40 and $47.96. ATM implied volatility averaged 21.6%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 1.7% (HV 20d: 19.9%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.82.

Notable Days

  • 2021-05-10: Highest Volume — 1,415 contracts
  • 2021-05-10: Largest IV spike — 113.2% change
  • 2021-05-04: Highest IV Rank — 35.3%
  • 2021-05-04: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.42$45.40$47.96$47.53$47.05
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV21.6%9.7%30.2%28.2%14.1%
Expected Move6.3%4.0%8.7%8.1%4.0%
HV 20d19.9%13.6%23.0%13.8%21.6%
HV 60d20.7%19.4%21.4%20.2%20.1%
IV Rank22.5%0.0%35.3%31.0%8.8%
IV Percentile19.2%0.0%63.5%52.8%0.8%
Term Structure1.1%-7.5%10.6%-6.1%10.6%
VWIV22.5%16.8%29.4%29.4%16.8%
Skew 25d5.9%-2.1%24.4%0.7%0.1%
Skew 10d29.5%-3.8%72.3%72.3%17.7%
Call IV 25d22.5%17.5%29.4%28.6%17.6%
Put IV 25d28.5%17.8%47.8%29.3%17.8%
Bid-Ask Spread %79.3624.95104.2993.34104.29
Gamma HHI0.370.340.420.390.41
Net GEX340.6K48.3K616.9K594.0K507.6K
Net DEX-4.3M-6.4M-2.7M-6.4M-5.3M
Net VEX-43.7K-54.3K-35.8K-54.3K-40.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.008.318.310.50
Total Volume169.151,41512130
Total OI8,540.47,4179,5548,0807,457

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-05-03$47.53$45.0028.2%8.1%13.8%31.0%29.4%0.7%-6.1%594.0K-6.4M-54.3K8.3193.34N/AN/A131086,7741,306
2021-05-04$47.19$45.0030.2%8.7%13.9%35.3%29.4%0.7%-7.5%501.5K-5.5M-51.5K0.0490.23N/AN/A16966,7861,401
2021-05-05$46.76$45.0028.5%8.2%14.2%31.5%28.2%1.9%-5.2%428.5K-4.7M-50.9K2.2642.88N/AN/A571296,7601,407
2021-05-06$46.35$45.0029.8%7.0%13.6%34.5%24.1%2.5%-0.8%323.9K-3.3M-45.9K0.0086.01N/AN/A12506,7981,534
2021-05-07$47.96$45.009.7%5.1%18.9%0.0%19.4%2.6%4.5%616.9K-6.3M-47.5K0.5095.00N/AN/A32166,7591,540
2021-05-10$47.07$45.0020.7%6.3%19.7%21.9%24.6%0.6%3.7%411.2K-4.7M-46.2K0.03101.57N/AN/A1,375406,7711,534
2021-05-11$46.09$45.0019.5%6.4%20.7%19.6%22.2%1.7%1.3%97.4K-3.6M-42.7K0.6771.84N/AN/A141947,7221,565
2021-05-12$45.72$45.0023.9%6.8%20.8%28.3%23.9%0.9%1.8%240.7K-3.0M-43.3K0.0284.29N/AN/A9827,7891,539
2021-05-13$45.40$45.0023.9%6.9%20.2%28.3%23.9%1.7%1.4%138.0K-2.7M-44.6K0.2731.80N/AN/A183497,8651,541
2021-05-14$46.17$45.0022.2%6.4%21.6%25.0%18.3%0.3%2.3%223.7K-4.4M-46.3K0.3582.33N/AN/A43157,9261,583
2021-05-17$45.86$45.0022.3%6.4%21.4%25.2%22.5%10.1%2.3%136.4K-3.5M-41.1K0.0675.98N/AN/A3327,9371,592
2021-05-18$46.28$45.0022.3%6.4%21.7%25.1%21.9%-1.2%-1.6%255.8K-4.5M-43.5K0.0439.85N/AN/A232107,9621,592
2021-05-19$45.57$45.0022.1%6.3%22.0%24.7%22.2%24.4%2.2%48.3K-3.8M-46.8K2.4693.47N/AN/A26647,9191,593
2021-05-20$46.28$45.0021.7%6.2%23.0%24.0%21.7%22.1%-0.2%368.4K-4.6M-39.8K0.1583.83N/AN/A108167,3821,635
2021-05-21$45.78$45.0020.2%5.8%21.9%20.9%20.4%21.8%0.6%346.0K-4.2M-38.5K0.0099.88N/AN/A2107,4211,644
2021-05-24$45.92$45.0019.0%5.4%22.0%18.5%21.3%24.4%0.9%322.0K-3.3M-35.8K0.0298.36N/AN/A5416,639778
2021-05-25$46.23$45.0019.6%5.6%21.9%19.7%20.8%5.4%0.5%376.0K-3.9M-38.0K0.0324.95N/AN/A3216,661779
2021-05-26$46.52$45.0018.6%5.3%22.0%17.7%18.7%-2.1%1.6%411.2K-4.3M-37.6K0.2594.86N/AN/A416,680779
2021-05-27$46.77$45.0014.7%4.2%22.1%10.0%20.8%-0.1%9.5%464.2K-4.8M-39.2K0.4192.40N/AN/A37156,680778
2021-05-28$47.05$45.0014.1%4.0%21.6%8.8%16.8%0.1%10.6%507.6K-5.3M-40.6K0.50104.29N/AN/A20106,668789