OTEX Options History — December 2021

In December 2021, OTEX traded between $45.50 and $48.38. ATM implied volatility averaged 24.7%, placing in the 49.3% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 0.6% (HV 20d: 24.1%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 2.90.

Notable Days

  • 2021-12-15: Highest Volume — 2,349 contracts
  • 2021-12-13: Largest IV spike — 58.7% change
  • 2021-12-14: Highest IV Rank — 100.0%
  • 2021-12-03: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.19$45.50$48.38$46.85$47.65
Max Pain$45.68$45.00$50.00$50.00$45.00
ATM IV24.7%13.3%43.4%32.4%14.8%
Expected Move6.8%3.8%10.5%9.3%4.2%
HV 20d24.1%21.9%25.6%21.9%22.1%
HV 60d19.7%18.9%20.6%18.9%19.4%
IV Rank49.3%10.6%100.0%81.3%15.0%
IV Percentile56.2%1.2%100.0%96.8%6.7%
Term Structure3.8%-8.3%11.4%-3.4%6.0%
VWIV24.8%17.9%35.9%32.5%17.9%
Skew 25d5.3%2.2%11.1%11.1%4.4%
Skew 10d11.0%-7.5%64.4%64.4%4.9%
Call IV 25d22.2%13.9%36.0%28.6%15.1%
Put IV 25d27.5%19.5%44.0%39.8%19.5%
Bid-Ask Spread %80.8913.77104.6990.8793.33
Gamma HHI0.630.500.790.770.58
Net GEX-252.8K-389.3K-115.1K-335.1K-181.8K
Net DEX4.7M1.7M7.7M6.9M2.1M
Net VEX-32.7K-40.6K-25.1K-40.6K-25.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.900.4311.791.020.47
Total Volume713.4551772,349242202
Total OI4,759.4093,3875,8865,7503,413

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$46.85$50.0032.4%9.3%21.9%81.3%32.5%11.1%-3.4%-335.1K6.9M-40.6K1.0290.87N/AN/A1201221,9183,832
2021-12-02$47.19$50.0036.0%10.3%22.0%94.0%32.8%5.5%-8.3%-329.4K6.0M-40.6K0.88104.69N/AN/A113991,9183,839
2021-12-03$46.16$50.0036.7%10.5%22.9%96.5%35.9%8.0%-4.2%-330.5K7.3M-39.3K1.28102.80N/AN/A901151,9143,838
2021-12-06$47.56$45.0034.1%7.7%24.9%87.0%27.8%8.3%3.7%-354.0K6.2M-39.6K1.0687.34N/AN/A86911,9263,839
2021-12-07$48.12$45.0019.8%7.1%25.2%36.2%24.0%4.6%1.7%-389.3K5.3M-38.5K0.9265.04N/AN/A97891,9343,839
2021-12-08$48.38$45.0026.6%6.8%25.3%60.3%24.6%4.3%2.4%-371.4K5.2M-38.3K1.5586.27N/AN/A981521,9473,843
2021-12-09$47.68$45.0020.5%6.3%24.8%38.7%22.9%4.7%11.4%-329.3K6.1M-38.9K1.5485.17N/AN/A981511,9493,909
2021-12-10$47.64$45.0019.0%6.4%24.5%33.3%23.4%4.3%3.4%-345.3K6.4M-37.1K0.8192.05N/AN/A116941,9493,910
2021-12-13$46.99$45.0030.2%7.4%24.6%73.3%23.7%4.0%3.6%-289.6K7.2M-36.4K0.7832.52N/AN/A116911,9623,919
2021-12-14$46.39$45.0043.4%7.5%24.8%100.0%29.4%5.3%3.6%-332.0K7.7M-36.9K0.5977.64N/AN/A159941,9623,924
2021-12-15$46.99$45.0027.2%7.8%24.5%52.1%27.2%6.5%9.3%-356.2K6.6M-37.6K4.8088.61N/AN/A4051,9441,9613,925
2021-12-16$46.39$45.0024.7%7.1%24.4%44.6%24.5%4.9%3.5%-187.8K6.0M-29.0K5.2386.24N/AN/A3391,7722,0203,056
2021-12-17$46.21$45.0025.6%7.3%24.4%47.2%26.4%6.7%8.1%-151.4K5.4M-28.7K10.1868.38N/AN/A1751,7812,0192,925
2021-12-20$45.50$45.0025.6%7.3%24.4%47.3%25.7%6.6%2.6%-191.1K3.8M-28.3K10.8179.99N/AN/A1631,7621,1002,349
2021-12-21$46.50$45.0023.6%6.8%25.3%41.3%24.2%4.2%3.7%-173.8K3.0M-27.9K7.6782.34N/AN/A2291,7561,1002,348
2021-12-22$46.94$45.0023.1%6.6%25.2%39.7%22.8%2.5%3.8%-173.3K2.8M-27.3K11.7986.81N/AN/A1491,7561,0392,348
2021-12-23$47.41$45.0021.6%6.2%25.6%35.4%21.3%2.2%5.5%-159.2K2.4M-27.3K0.5386.78N/AN/A144771,0402,348
2021-12-27$47.93$45.0017.6%5.0%24.3%23.4%20.8%3.8%5.6%-151.8K2.0M-25.7K0.4487.62N/AN/A155681,0452,363
2021-12-28$48.22$45.0013.3%3.8%24.3%10.6%19.1%7.3%9.0%-115.1K1.7M-25.1K0.4389.44N/AN/A152651,0462,366
2021-12-29$47.66$45.0015.2%4.3%22.7%16.2%20.1%3.3%6.1%-168.3K2.2M-25.8K0.4713.77N/AN/A137651,0482,367
2021-12-30$47.87$45.0013.3%3.8%22.1%10.6%18.5%3.6%7.1%-145.5K2.0M-25.5K0.4591.91N/AN/A144651,0432,367
2021-12-31$47.65$45.0014.8%4.2%22.1%15.0%17.9%4.4%6.0%-181.8K2.1M-25.2K0.4793.33N/AN/A137651,0462,367