OTEX Options History — August 2021

In August 2021, OTEX traded between $51.62 and $54.90. ATM implied volatility averaged 18.3%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 5.3% (HV 20d: 12.9%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 2.24.

Notable Days

  • 2021-08-05: Highest Volume — 1,102 contracts
  • 2021-08-06: Largest IV drop — 51.9% change
  • 2021-08-04: Highest IV Rank — 39.2%
  • 2021-08-04: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.16$51.62$54.90$51.88$54.90
Max Pain$50.91$50.00$55.00$50.00$50.00
ATM IV18.3%13.0%29.4%28.1%14.6%
Expected Move5.2%3.7%8.4%8.1%4.2%
HV 20d12.9%9.7%17.4%17.4%10.7%
HV 60d14.7%14.0%17.7%17.7%14.0%
IV Rank17.0%6.5%39.2%36.8%9.7%
IV Percentile17.9%0.8%76.6%70.6%3.6%
Term Structure1.2%-6.6%6.5%-4.9%2.0%
VWIV18.7%12.8%27.2%26.6%14.6%
Skew 25d11.4%-3.4%65.0%2.5%65.0%
Skew 10d28.0%-6.0%106.3%12.6%95.5%
Call IV 25d18.1%13.0%26.2%26.2%20.3%
Put IV 25d29.4%13.3%85.3%28.7%85.3%
Bid-Ask Spread %75.1612.4997.1778.6091.82
Gamma HHI0.680.480.880.490.88
Net GEX816.9K505.0K985.1K854.9K985.1K
Net DEX-11.7M-14.5M-7.9M-10.6M-11.0M
Net VEX-37.6K-44.8K-32.8K-36.4K-44.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.240.0020.850.010.03
Total Volume242.273111,102161153
Total OI5,933.55,1316,4115,6926,291

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-08-02$51.88$50.0028.1%8.1%17.4%36.8%26.6%2.5%-4.9%854.9K-10.6M-36.4K0.0178.60N/AN/A15925,218474
2021-08-03$51.79$50.0027.5%7.9%16.7%35.5%27.2%14.6%-4.9%864.5K-10.3M-34.7K0.3884.50N/AN/A835,217477
2021-08-04$51.62$50.0029.4%8.4%16.4%39.2%25.9%5.3%-6.6%849.8K-10.0M-34.7K0.0271.00N/AN/A5615,195479
2021-08-05$52.15$55.0029.3%6.7%15.7%39.1%23.2%3.4%-0.2%867.0K-11.0M-34.8K0.0079.77N/AN/A1,09935,200482
2021-08-06$52.68$55.0014.1%4.9%15.7%8.7%18.1%2.9%3.3%904.4K-12.3M-34.3K0.1387.91N/AN/A139185,210482
2021-08-09$52.41$55.0017.4%5.8%15.3%15.3%20.0%2.0%1.5%949.6K-12.5M-36.1K1.6289.67N/AN/A42685,622487
2021-08-10$52.44$55.0018.6%5.6%15.1%17.8%0.0%2.6%2.4%960.7K-12.4M-35.9K1.0080.45N/AN/A16165,652482
2021-08-11$52.58$50.0016.3%4.7%15.1%13.2%15.9%2.8%4.6%625.7K-13.0M-33.1K0.0066.80N/AN/A2005,656503
2021-08-12$53.08$50.0013.0%3.7%15.1%6.5%25.2%6.3%6.5%893.5K-13.8M-35.9K0.0690.74N/AN/A1615,653519
2021-08-13$53.52$50.0017.4%5.0%14.8%15.3%18.2%-1.6%2.8%884.9K-14.5M-35.8K0.0145.55N/AN/A14715,663519
2021-08-16$53.38$50.0016.7%4.8%12.6%14.0%12.8%2.9%3.9%814.1K-14.2M-34.7K0.1012.49N/AN/A6065,661510
2021-08-17$52.93$50.0017.6%5.0%10.1%15.7%20.0%2.4%3.9%808.1K-13.6M-34.7K18.5097.17N/AN/A61115,736510
2021-08-18$52.93$50.0016.6%4.8%10.1%13.8%16.6%2.4%4.6%960.1K-13.7M-36.2K0.0077.96N/AN/A48415,785516
2021-08-19$52.63$50.0016.8%4.8%10.5%14.2%20.3%3.2%0.4%614.3K-12.9M-32.8K20.8590.55N/AN/A481,0015,790621
2021-08-20$53.34$50.0016.2%4.6%11.0%12.9%16.2%2.9%0.1%659.1K-13.4M-36.9K0.0528.24N/AN/A293155,788622
2021-08-23$53.65$50.0016.0%4.6%10.2%12.5%16.0%4.4%0.7%505.0K-7.9M-41.1K0.0663.20N/AN/A188113,8831,248
2021-08-24$53.98$50.0015.7%4.5%9.7%11.9%15.7%3.9%0.7%647.2K-8.9M-41.9K0.0162.64N/AN/A29134,1251,263
2021-08-25$54.47$50.0015.5%4.4%9.9%11.5%15.5%44.7%1.1%766.4K-10.2M-42.8K0.4477.02N/AN/A108474,2221,274
2021-08-26$54.01$50.0016.1%4.6%10.6%12.7%16.1%-3.4%0.7%738.2K-9.4M-43.0K4.9589.89N/AN/A19944,4571,276
2021-08-27$54.47$50.0013.9%4.0%10.8%8.4%13.9%45.6%2.6%897.8K-10.3M-43.3K1.1191.12N/AN/A1842054,5191,321
2021-08-30$54.62$50.0014.8%4.2%10.8%10.2%14.8%34.6%1.0%921.4K-10.6M-43.0K0.0096.52N/AN/A18704,5221,407
2021-08-31$54.90$50.0014.6%4.2%10.7%9.7%14.6%65.0%2.0%985.1K-11.0M-44.8K0.0391.82N/AN/A14944,6791,612