OTEX Options History — November 2021

In November 2021, OTEX traded between $47.48 and $52.24. ATM implied volatility averaged 22.9%, placing in the 43.5% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 8.9% (HV 20d: 14.0%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 3.80.

Notable Days

  • 2021-11-10: Highest Volume — 3,918 contracts
  • 2021-11-29: Largest IV spike — 20.9% change
  • 2021-11-29: Highest IV Rank — 59.5%
  • 2021-11-29: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.81$47.48$52.24$50.34$47.48
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV22.9%19.9%26.3%25.6%25.9%
Expected Move6.5%5.7%7.6%7.3%7.4%
HV 20d14.0%10.4%21.7%12.0%21.7%
HV 60d16.6%15.6%18.9%15.6%18.9%
IV Rank43.5%31.8%59.5%31.8%57.8%
IV Percentile51.2%32.1%79.0%70.6%77.0%
Term Structure0.5%-6.5%7.7%-4.4%7.7%
VWIV22.9%16.6%39.7%24.5%29.5%
Skew 25d5.7%-2.1%18.5%2.4%1.3%
Skew 10d17.6%-4.2%64.8%5.2%64.8%
Call IV 25d20.5%12.3%28.3%28.3%28.0%
Put IV 25d26.2%19.6%43.9%30.7%29.3%
Bid-Ask Spread %83.1624.52101.7961.2494.66
Gamma HHI0.530.350.750.540.71
Net GEX171.9K-353.1K977.7K447.6K-334.9K
Net DEX79.4K-4.8M6.6M-2.0M6.6M
Net VEX-31.4K-43.2K-14.4K-15.2K-40.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.800.1126.590.871.38
Total Volume851.4761923,918311269
Total OI6,759.7624,9249,3764,9245,661

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$50.34$50.0025.6%7.3%12.0%31.8%24.5%2.4%-4.4%447.6K-2.0M-15.2K0.8761.24N/AN/A1661454,352572
2021-11-02$50.49$50.0025.8%7.4%12.0%32.0%28.9%10.6%-4.3%467.5K-2.2M-15.3K0.9292.30N/AN/A1571454,361582
2021-11-03$50.80$50.0025.6%7.3%11.7%31.8%24.0%15.0%-6.5%497.5K-2.4M-15.6K0.8789.96N/AN/A1671454,360582
2021-11-04$50.76$50.0024.3%6.4%10.4%48.1%23.2%2.1%4.7%479.1K-2.4M-14.4K0.1183.57N/AN/A1,3351454,373582
2021-11-05$51.61$50.0019.9%5.8%11.7%35.8%22.2%4.0%1.1%798.7K-4.1M-18.8K0.5986.91N/AN/A2471455,597582
2021-11-08$52.06$50.0022.4%5.8%11.3%45.5%18.8%1.7%1.4%977.7K-4.8M-19.5K0.6077.15N/AN/A2271365,614582
2021-11-09$52.08$50.0020.0%5.7%10.9%36.8%17.2%2.5%0.9%828.0K-4.2M-16.6K0.3288.08N/AN/A4311365,409581
2021-11-10$50.97$50.0023.8%6.8%13.2%50.2%23.7%13.7%-4.0%717.2K-4.2M-18.3K26.5998.24N/AN/A1423,7765,169581
2021-11-11$51.38$50.0022.0%6.3%12.1%43.9%20.0%5.0%2.8%146.5K1.1M-43.2K12.7133.70N/AN/A1421,8055,1724,034
2021-11-12$51.45$50.0021.5%6.2%11.9%42.1%17.8%3.2%2.6%84.0K506.6K-39.6K10.5689.24N/AN/A1711,8055,1744,033
2021-11-15$51.22$50.0022.8%6.5%12.1%46.8%21.7%3.8%2.2%-39.7K1.1M-39.6K9.8689.50N/AN/A1831,8055,2114,033
2021-11-16$52.05$50.0023.9%6.9%13.2%50.8%23.3%2.5%0.4%271.4K-284.7K-40.5K9.4124.52N/AN/A1901,7875,2494,033
2021-11-17$52.24$50.0022.1%6.3%13.2%44.4%19.5%2.6%3.5%123.6K-430.1K-39.4K0.4192.65N/AN/A225935,2454,037
2021-11-18$52.05$50.0021.6%6.2%13.3%42.7%16.6%9.4%-1.3%-119.1K-47.7K-39.5K0.5688.45N/AN/A1851045,2944,047
2021-11-19$52.19$50.0021.2%6.1%13.3%41.1%19.8%1.6%2.1%-119.3K-144.9K-39.5K0.5588.32N/AN/A179985,3174,059
2021-11-22$50.87$50.0021.2%6.1%16.4%41.2%21.7%-2.1%-3.0%-277.4K2.4M-39.2K0.7389.96N/AN/A111811,6713,705
2021-11-23$49.91$50.0022.2%6.4%17.6%44.8%22.5%8.1%1.0%-334.3K3.7M-41.1K0.9685.79N/AN/A1131081,6953,711
2021-11-24$49.85$50.0022.0%6.3%17.5%43.9%21.9%8.2%1.9%-353.1K3.8M-41.5K0.4189.05N/AN/A212871,7353,739
2021-11-26$48.52$50.0021.8%6.2%19.7%43.2%24.1%5.7%0.1%-309.6K4.8M-41.5K0.51101.20N/AN/A172871,8133,744
2021-11-29$48.77$50.0026.3%7.6%19.8%59.5%39.7%18.5%1.1%-341.4K4.8M-40.8K0.91101.79N/AN/A1171071,8953,769
2021-11-30$47.48$50.0025.9%7.4%21.7%57.8%29.5%1.3%7.7%-334.9K6.6M-40.4K1.3894.66N/AN/A1131561,8923,769