OTEX Options History — July 2021

In July 2021, OTEX traded between $49.22 and $51.95. ATM implied volatility averaged 22.4%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 5.3% (HV 20d: 17.1%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.17.

Notable Days

  • 2021-07-29: Highest Volume — 109 contracts
  • 2021-07-08: Largest IV spike — 81.3% change
  • 2021-07-30: Highest IV Rank — 36.1%
  • 2021-07-30: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.09$49.22$51.95$51.41$51.86
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV22.4%11.2%27.8%17.4%27.8%
Expected Move6.8%4.0%8.0%5.0%8.0%
HV 20d17.1%13.0%19.7%14.1%17.8%
HV 60d17.8%17.0%18.3%17.0%17.8%
IV Rank25.4%2.9%36.1%15.3%36.1%
IV Percentile35.1%0.4%67.5%7.9%67.5%
Term Structure-1.2%-4.8%11.4%4.8%-4.8%
VWIV22.1%10.5%28.3%17.4%28.3%
Skew 25d4.1%-7.0%9.8%4.8%4.5%
Skew 10d11.6%1.7%37.5%37.5%11.9%
Call IV 25d21.4%9.6%25.3%13.7%24.0%
Put IV 25d25.6%18.3%29.7%18.4%28.5%
Bid-Ask Spread %69.3923.86110.2760.0883.20
Gamma HHI0.490.470.580.470.49
Net GEX911.9K636.4K1.3M935.0K858.1K
Net DEX-10.2M-12.9M-6.3M-11.6M-10.7M
Net VEX-40.6K-47.9K-35.9K-46.7K-37.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.170.001.111.110.75
Total Volume28.5710109387
Total OI6,005.3815,7256,2626,2115,728

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-07-01$51.41$50.0017.4%5.0%14.1%15.3%17.4%4.8%4.8%935.0K-11.6M-46.7K1.1160.08N/AN/A18205,723488
2021-07-02$51.95$50.0014.0%4.0%13.0%8.5%10.5%9.8%11.4%912.0K-12.9M-47.9K0.00110.27N/AN/A1905,724508
2021-07-06$51.27$50.0017.0%6.5%14.2%14.6%21.8%3.2%-0.2%942.3K-11.2M-44.5K0.3247.02N/AN/A2275,724508
2021-07-07$51.81$50.0011.2%6.7%14.5%2.9%20.6%4.2%-0.1%816.9K-12.9M-45.6K0.0771.69N/AN/A4235,729501
2021-07-08$51.00$50.0020.2%7.0%15.7%21.0%0.0%3.9%-2.0%943.0K-11.0M-45.2K0.0069.97N/AN/A1505,748504
2021-07-09$51.49$50.0026.3%6.7%15.8%33.0%0.0%3.6%-1.2%947.5K-12.0M-45.3K0.0067.32N/AN/A105,748504
2021-07-12$50.94$50.0019.2%6.6%16.5%19.0%23.0%3.4%-0.9%999.7K-10.8M-42.9K0.0023.86N/AN/A6505,747504
2021-07-13$50.72$50.0020.0%6.7%16.6%20.6%0.0%3.8%-1.1%1.1M-10.2M-41.3K0.0026.13N/AN/A305,758504
2021-07-14$50.77$50.0023.0%6.6%16.4%26.5%21.9%3.8%-0.4%1.1M-10.3M-40.2K0.0073.52N/AN/A4005,758504
2021-07-15$50.48$50.0023.4%6.7%16.4%27.4%23.3%2.9%-2.7%1.2M-9.8M-39.7K0.0083.76N/AN/A905,749504
2021-07-16$50.15$50.0023.0%6.6%16.2%26.5%23.0%2.3%-1.6%1.3M-8.8M-37.6K0.0035.00N/AN/A2605,752504
2021-07-19$49.22$50.0024.5%7.0%17.1%29.4%24.5%-7.0%-2.4%636.4K-6.3M-35.9K0.1797.26N/AN/A615,283442
2021-07-20$50.56$50.0024.3%7.0%19.7%29.1%0.0%6.1%-2.7%755.8K-8.3M-37.8K0.0074.97N/AN/A005,288443
2021-07-21$50.75$50.0024.0%6.9%19.3%28.5%23.0%5.7%-2.2%784.8K-8.4M-37.3K0.5586.09N/AN/A29165,288443
2021-07-22$50.91$50.0024.1%6.9%19.3%28.8%24.1%2.7%-2.0%806.6K-9.0M-38.0K0.0099.35N/AN/A1405,294459
2021-07-23$51.38$50.0024.6%7.1%19.5%29.7%25.2%6.3%-2.5%828.7K-9.6M-38.3K0.3395.05N/AN/A625,294459
2021-07-26$50.92$50.0025.4%7.3%19.6%31.4%22.0%4.3%-3.0%800.3K-8.8M-37.3K0.0049.95N/AN/A1905,293459
2021-07-27$51.53$50.0027.1%7.8%19.4%34.7%0.0%6.1%-3.7%830.5K-9.9M-37.2K0.0034.33N/AN/A605,297458
2021-07-28$51.89$50.0027.8%8.0%19.6%36.0%21.9%7.7%-4.2%836.9K-10.7M-38.3K0.0096.77N/AN/A9505,285458
2021-07-29$51.92$50.0026.9%7.7%18.2%34.4%22.9%4.7%-3.7%868.4K-10.9M-37.7K0.0071.58N/AN/A10905,291458
2021-07-30$51.86$50.0027.8%8.0%17.8%36.1%28.3%4.5%-4.8%858.1K-10.7M-37.7K0.7583.20N/AN/A435,270458