OTEX Options History — September 2021

In September 2021, OTEX traded between $48.86 and $55.00. ATM implied volatility averaged 18.5%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 4.2% (HV 20d: 14.2%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.89.

Notable Days

  • 2021-09-10: Highest Volume — 533 contracts
  • 2021-09-20: Largest IV spike — 26.1% change
  • 2021-09-30: Highest IV Rank — 29.9%
  • 2021-09-30: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.22$48.86$55.00$55.00$48.86
Max Pain$54.76$50.00$55.00$50.00$55.00
ATM IV18.5%13.7%24.7%13.7%24.7%
Expected Move5.4%3.9%7.1%3.9%7.1%
HV 20d14.2%9.9%19.9%10.4%19.7%
HV 60d15.1%13.9%16.9%14.0%16.8%
IV Rank17.5%8.0%29.9%8.0%29.9%
IV Percentile22.7%1.2%57.9%1.2%57.9%
Term Structure3.2%-0.6%12.4%2.5%-0.6%
VWIV19.3%13.7%23.4%13.7%23.4%
Skew 25d5.5%-1.5%56.7%56.7%-1.1%
Skew 10d10.5%-2.3%85.2%85.2%0.5%
Call IV 25d17.3%12.5%22.0%19.7%22.0%
Put IV 25d22.8%17.3%76.4%76.4%20.9%
Bid-Ask Spread %67.9510.00104.7991.64104.79
Gamma HHI0.660.470.890.880.47
Net GEX474.7K-80.9K1.1M1.1M-72.5K
Net DEX-4.1M-11.3M3.8M-11.3M3.8M
Net VEX-35.7K-45.7K-22.9K-44.3K-22.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.890.0027.000.010.07
Total Volume109.238253395179
Total OI6,310.2385,7436,4706,3156,410

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$55.00$50.0013.7%3.9%10.4%8.0%13.7%56.7%2.5%1.1M-11.3M-44.3K0.0191.64N/AN/A9414,7021,613
2021-09-02$54.90$55.0014.6%4.7%10.2%9.7%0.0%7.0%4.0%965.7K-11.3M-45.7K0.0079.17N/AN/A3504,6951,617
2021-09-03$54.86$55.0013.9%4.7%9.9%8.4%0.0%2.3%3.9%1.0M-10.8M-44.7K0.0652.87N/AN/A1614,6561,618
2021-09-07$54.36$55.0015.6%4.8%10.4%11.8%0.0%4.3%4.2%1.0M-9.3M-42.6K0.0040.17N/AN/A804,6561,618
2021-09-08$54.41$55.0016.8%4.8%10.4%14.2%0.0%5.5%4.2%977.1K-9.4M-42.5K0.9269.87N/AN/A24224,6411,617
2021-09-09$53.81$55.0017.1%4.9%11.3%14.8%17.1%5.1%4.4%853.5K-7.8M-41.3K0.0516.42N/AN/A1914,6411,617
2021-09-10$53.20$55.0017.2%4.9%11.7%15.0%18.1%6.7%3.6%665.7K-6.5M-39.5K0.01104.07N/AN/A52944,6491,640
2021-09-13$52.41$55.0016.5%4.7%12.4%13.6%0.0%4.0%12.4%483.4K-4.4M-37.2K2.5039.34N/AN/A4104,6491,642
2021-09-14$52.56$55.0017.8%5.1%12.5%16.2%17.8%2.3%3.0%498.8K-4.8M-37.0K27.0071.31N/AN/A2544,7341,645
2021-09-15$52.81$55.0018.4%5.3%12.3%17.4%19.0%3.1%3.5%592.6K-5.2M-38.3K0.8585.58N/AN/A20174,7341,655
2021-09-16$52.56$55.0016.3%4.7%12.4%13.2%18.6%2.0%3.1%517.3K-4.5M-35.9K7.4155.21N/AN/A342524,7361,707
2021-09-17$51.11$55.0017.8%5.1%15.8%16.1%17.8%-0.7%3.2%337.1K-1.6M-31.0K13.1187.16N/AN/A374854,7461,724
2021-09-20$50.19$55.0022.4%6.4%15.8%25.3%21.8%3.4%1.2%174.2K511.9K-28.9K2.3285.60N/AN/A19444,2121,531
2021-09-21$50.32$55.0020.2%5.8%15.6%20.9%20.2%2.6%2.2%-711977.2K-31.2K0.5090.83N/AN/A154774,2461,970
2021-09-22$51.36$55.0020.0%5.7%17.4%20.6%19.3%4.1%2.6%144.9K-1.4M-35.8K0.1096.08N/AN/A2024,2561,991
2021-09-23$51.66$55.0019.8%5.7%17.2%20.2%17.6%3.0%2.3%273.2K-2.3M-33.4K0.0010.00N/AN/A3804,3971,965
2021-09-24$51.76$55.0019.1%5.5%17.1%18.6%0.0%1.0%2.4%271.1K-2.3M-33.2K0.0013.08N/AN/A204,4171,966
2021-09-27$51.53$55.0022.2%6.4%16.7%25.0%22.4%4.7%0.7%294.4K-2.7M-31.7K3.0060.83N/AN/A4124,4351,966
2021-09-28$49.79$55.0022.0%6.3%19.9%24.6%21.9%1.1%1.2%-23.6K1.7M-28.2K2.5078.84N/AN/A4104,4351,966
2021-09-29$49.08$55.0021.4%6.1%19.9%23.3%21.4%-1.5%2.1%-80.9K3.3M-23.9K0.2294.18N/AN/A49114,4361,964
2021-09-30$48.86$55.0024.7%7.1%19.7%29.9%23.4%-1.1%-0.6%-72.5K3.8M-22.9K0.07104.79N/AN/A167124,4361,974