OTEX Options History — October 2021

In October 2021, OTEX traded between $48.35 and $50.51. ATM implied volatility averaged 23.1%, placing in the 26.8% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 4.2% (HV 20d: 19.0%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 2.26.

Notable Days

  • 2021-10-25: Highest Volume — 397 contracts
  • 2021-10-11: Largest IV spike — 52.5% change
  • 2021-10-12: Highest IV Rank — 39.1%
  • 2021-10-15: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.64$48.35$50.51$49.05$50.39
Max Pain$50.24$50.00$55.00$55.00$50.00
ATM IV23.1%19.0%29.3%19.7%23.6%
Expected Move6.5%5.7%7.5%5.7%6.8%
HV 20d19.0%12.9%23.1%19.9%12.9%
HV 60d16.2%15.7%16.9%16.5%15.8%
IV Rank26.8%18.5%39.1%20.0%27.8%
IV Percentile48.8%25.8%83.7%30.2%53.2%
Term Structure-1.8%-6.0%2.5%2.5%-2.8%
VWIV24.5%17.7%32.6%22.1%32.6%
Skew 25d6.1%-1.0%13.5%7.2%13.5%
Skew 10d9.6%-1.7%21.6%11.1%21.6%
Call IV 25d21.7%15.5%23.6%19.1%15.5%
Put IV 25d27.8%20.4%34.9%26.3%28.9%
Bid-Ask Spread %73.1921.86101.2194.2678.28
Gamma HHI0.530.450.610.500.55
Net GEX84.5K-773.8K531.6K-146.1K449.4K
Net DEX1.0M-2.9M5.3M3.9M-2.0M
Net VEX-18.6K-22.2K-14.8K-22.2K-15.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.260.0013.670.000.88
Total Volume123.238139712290
Total OI5,764.6194,7416,6666,4334,915

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-10-01$49.05$55.0019.7%5.7%19.9%20.0%0.0%7.2%2.5%-146.1K3.9M-22.2K0.0094.26N/AN/A1204,4491,984
2021-10-04$48.46$50.0022.2%6.2%20.0%24.9%22.1%5.9%0.8%-63.2K4.5M-20.9K0.7076.91N/AN/A1074,6011,991
2021-10-05$48.62$50.0022.2%6.5%20.2%24.9%21.9%4.3%-0.6%-195.6K5.0M-18.1K0.0021.86N/AN/A504,6111,991
2021-10-06$48.35$50.0023.4%6.5%20.1%27.3%23.9%4.4%-1.4%-57.5K5.2M-19.3K1.9047.83N/AN/A21404,6031,992
2021-10-07$49.19$50.0019.7%6.5%21.6%19.9%26.9%3.3%-0.2%-269.8K4.1M-21.5K13.0038.61N/AN/A2264,6031,992
2021-10-08$49.24$50.0019.0%6.3%21.5%18.5%0.0%2.2%-1.0%-362.2K4.0M-20.9K13.6787.81N/AN/A3414,6032,032
2021-10-11$48.87$50.0028.9%6.7%21.1%38.3%0.0%8.8%-1.7%-202.5K4.8M-18.7K0.0093.34N/AN/A014,6042,058
2021-10-12$48.62$50.0029.3%6.5%21.0%39.1%22.7%4.4%-0.4%-186.5K5.3M-17.0K0.1045.60N/AN/A2124,6042,058
2021-10-13$49.37$50.0022.2%6.4%21.9%24.9%22.2%8.4%-1.2%30.5K3.2M-19.0K2.00101.21N/AN/A124,6042,059
2021-10-14$50.22$50.0023.8%6.8%23.1%28.1%27.3%3.2%-4.8%-444.1K1.5M-21.3K7.5094.43N/AN/A2154,6042,060
2021-10-15$49.99$50.0026.0%7.5%21.0%32.6%26.0%4.9%-6.0%-773.8K1.6M-21.9K0.1778.55N/AN/A614,6042,062
2021-10-18$50.06$50.0022.0%6.3%20.0%24.4%22.5%-1.0%-2.8%417.3K-2.0M-17.5K0.5093.92N/AN/A424,200541
2021-10-19$50.17$50.0021.8%6.3%20.0%24.1%21.8%4.5%-1.5%433.9K-2.1M-17.4K0.0088.05N/AN/A1104,205541
2021-10-20$50.39$50.0022.4%6.4%18.6%25.4%17.7%5.3%-1.5%468.2K-2.5M-18.5K1.1046.03N/AN/A1051154,205542
2021-10-21$50.35$50.0022.6%6.5%18.4%25.8%26.1%11.8%-2.2%461.0K-2.4M-18.3K0.5294.81N/AN/A2051074,205550
2021-10-22$50.26$50.0022.5%6.4%18.4%25.4%26.7%4.5%-0.9%449.4K-2.2M-17.2K0.5343.30N/AN/A2021074,305550
2021-10-25$50.51$50.0025.0%7.2%18.5%30.5%24.6%6.0%-4.8%531.6K-2.9M-18.1K0.3792.62N/AN/A2901074,308550
2021-10-26$50.13$50.0022.9%6.6%13.9%26.3%24.2%3.8%-2.4%414.6K-1.9M-15.6K0.6560.42N/AN/A1651074,339542
2021-10-27$49.92$50.0023.4%6.7%13.0%27.4%24.3%10.9%-2.2%383.7K-1.7M-14.8K0.6579.52N/AN/A1651074,338542
2021-10-28$50.27$50.0023.5%6.7%13.0%27.6%27.4%11.8%-3.0%435.7K-1.9M-15.8K0.9479.57N/AN/A1451364,338572
2021-10-29$50.39$50.0023.6%6.8%12.9%27.8%32.6%13.5%-2.8%449.4K-2.0M-15.7K0.8878.28N/AN/A1541364,343572