OTEX Options History — June 2021

In June 2021, OTEX traded between $47.55 and $51.78. ATM implied volatility averaged 17.4%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 3.1% (HV 20d: 14.3%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.68.

Notable Days

  • 2021-06-17: Highest Volume — 705 contracts
  • 2021-06-04: Largest IV drop — 31.7% change
  • 2021-06-03: Highest IV Rank — 23.6%
  • 2021-06-18: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.75$47.55$51.78$47.55$50.81
Max Pain$47.95$45.00$50.00$45.00$50.00
ATM IV17.4%14.7%21.5%16.7%17.1%
Expected Move5.0%4.2%5.4%4.8%4.9%
HV 20d14.3%10.1%22.0%21.7%13.9%
HV 60d17.4%16.3%19.9%19.9%16.9%
IV Rank15.4%10.0%23.6%14.0%14.8%
IV Percentile6.0%1.6%14.7%2.4%6.3%
Term Structure3.3%-5.9%9.8%-2.6%5.2%
VWIV17.8%14.3%21.2%19.4%17.1%
Skew 25d4.1%-12.4%21.4%0.1%15.1%
Skew 10d8.7%-17.8%42.8%1.4%42.8%
Call IV 25d17.5%10.7%29.7%17.8%15.6%
Put IV 25d21.6%16.4%36.6%18.0%30.7%
Bid-Ask Spread %71.9926.53120.2153.7526.53
Gamma HHI0.580.450.760.450.48
Net GEX1.3M629.9K2.8M629.9K917.1K
Net DEX-10.1M-14.4M-5.6M-6.1M-10.1M
Net VEX-47.8K-52.4K-39.3K-41.5K-45.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.0010.430.000.25
Total Volume188.727167051665
Total OI7,192.2276,1198,0457,4516,190

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-06-01$47.55$45.0016.7%4.8%21.7%14.0%19.4%0.1%-2.6%629.9K-6.1M-41.5K0.0053.75N/AN/A1606,662789
2021-06-02$47.74$45.0016.7%4.8%21.6%14.0%19.9%7.9%-5.9%714.8K-7.0M-42.4K10.43120.21N/AN/A141466,663789
2021-06-03$47.67$45.0021.5%5.0%21.3%23.6%21.2%3.2%2.9%711.8K-5.6M-39.3K0.0289.33N/AN/A26756,608883
2021-06-04$48.64$45.0014.7%5.2%22.0%10.0%18.2%-6.7%3.1%1.1M-8.8M-49.8K0.08104.20N/AN/A616486,746884
2021-06-07$48.70$45.0017.6%5.0%18.6%15.8%17.6%0.3%3.7%1.2M-8.5M-48.5K0.1146.03N/AN/A4556,941923
2021-06-08$48.78$45.0016.4%5.2%17.1%13.4%18.1%3.4%3.1%1.3M-8.5M-47.3K0.0086.38N/AN/A4206,925921
2021-06-09$49.26$45.0017.3%4.9%15.0%15.1%0.0%4.7%3.8%1.5M-9.7M-49.5K0.0252.40N/AN/A6116,930921
2021-06-10$49.61$45.0017.6%5.1%14.4%15.8%17.6%5.4%3.3%1.7M-11.1M-51.3K0.0290.08N/AN/A573126,926921
2021-06-11$49.67$45.0017.9%5.1%13.9%16.4%17.9%5.1%3.7%1.8M-11.8M-52.4K0.1583.82N/AN/A413607,123922
2021-06-14$49.80$50.0018.6%5.3%13.1%17.6%16.2%6.1%3.3%2.0M-11.8M-52.1K0.0368.47N/AN/A7727,061970
2021-06-15$50.12$50.0018.4%5.3%12.5%17.4%18.4%6.7%3.6%2.1M-13.1M-51.9K0.2275.98N/AN/A93207,038966
2021-06-16$49.82$50.0018.1%5.2%12.9%16.7%0.0%-5.4%3.9%2.1M-11.6M-50.8K0.1199.68N/AN/A93107,038957
2021-06-17$50.34$50.0017.9%5.1%10.9%16.4%17.9%-2.6%4.6%2.8M-14.4M-49.9K0.0178.37N/AN/A69876,978967
2021-06-18$49.81$50.0019.0%5.4%11.5%18.5%18.6%6.8%2.6%2.4M-9.8M-47.7K0.2991.91N/AN/A78236,410969
2021-06-21$50.00$50.0017.9%5.1%10.1%16.4%17.9%1.6%3.5%806.4K-8.9M-47.3K0.9158.80N/AN/A11105,678443
2021-06-22$50.56$50.0017.5%5.0%10.4%15.5%17.0%21.4%3.6%881.3K-9.7M-46.4K0.8847.30N/AN/A34305,686433
2021-06-23$50.43$50.0017.1%4.9%10.7%14.7%19.0%-12.4%4.2%872.4K-9.6M-46.5K0.5772.87N/AN/A150865,696458
2021-06-24$50.65$50.0016.7%4.8%10.7%14.0%15.6%17.4%4.4%898.6K-10.0M-47.3K0.0063.71N/AN/A5105,728478
2021-06-25$51.05$50.0016.3%4.7%10.7%13.2%16.3%3.9%4.9%909.0K-10.7M-47.9K0.0052.61N/AN/A5805,732478
2021-06-28$51.78$50.0017.5%5.0%11.3%15.6%17.4%1.2%4.8%904.7K-12.6M-49.0K0.0389.33N/AN/A10835,729478
2021-06-29$51.78$50.0014.8%4.2%11.2%10.2%14.3%6.4%9.8%909.5K-12.3M-48.0K0.9231.94N/AN/A63585,712479
2021-06-30$50.81$50.0017.1%4.9%13.9%14.8%17.1%15.1%5.2%917.1K-10.1M-45.0K0.2526.53N/AN/A52135,711479