OTEX Options History — February 2022

In February 2022, OTEX traded between $42.36 and $47.89. ATM implied volatility averaged 28.3%, placing in the 55.4% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 1.1% (HV 20d: 27.2%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 8.67.

Notable Days

  • 2022-02-25: Highest Volume — 3,110 contracts
  • 2022-02-24: Largest IV drop — 39.2% change
  • 2022-02-03: Highest IV Rank — 90.6%
  • 2022-02-23: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.45$42.36$47.89$47.84$43.32
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV28.3%21.8%40.2%32.0%30.6%
Expected Move7.8%6.2%10.7%9.2%8.8%
HV 20d27.2%19.6%30.7%20.6%29.2%
HV 60d23.7%21.2%24.6%21.5%23.6%
IV Rank55.4%36.0%90.6%66.2%62.1%
IV Percentile78.9%44.0%99.2%94.4%92.5%
Term Structure0.7%-10.2%7.2%-5.8%7.2%
VWIV28.1%22.5%39.1%39.1%32.3%
Skew 25d5.0%-3.4%13.3%4.7%10.4%
Skew 10d11.3%-10.5%36.7%4.3%36.7%
Call IV 25d27.4%22.5%35.3%33.3%29.9%
Put IV 25d32.4%26.8%40.3%38.0%40.3%
Bid-Ask Spread %92.7981.01100.5486.0698.19
Gamma HHI0.490.360.610.360.47
Net GEX-426.5K-744.8K30.1K-239.4K30.1K
Net DEX6.1M2.9M9.4M3.2M3.3M
Net VEX-28.8K-32.5K-24.8K-30.1K-29.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.670.5213.6412.727.78
Total Volume1,969.8423003,1102,2501,317
Total OI5,126.1583,6425,7194,9405,224

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-02-01$47.84$45.0032.0%9.2%20.6%66.2%39.1%4.7%-5.8%-239.4K3.2M-30.1K12.7286.06N/AN/A1642,0869883,952
2022-02-02$47.89$45.0033.3%9.6%20.5%70.2%34.7%2.9%-7.9%-246.8K2.9M-28.4K7.6490.86N/AN/A2732,0861,0263,951
2022-02-03$46.64$45.0040.2%8.8%19.6%90.6%30.3%6.2%-2.8%-281.2K4.4M-32.5K5.6881.01N/AN/A4212,3921,1213,951
2022-02-04$44.61$45.0032.6%8.3%25.5%67.9%29.5%4.2%-0.4%-453.8K6.5M-32.3K12.2790.16N/AN/A1832,2461,3704,243
2022-02-07$43.79$45.0028.5%6.2%25.5%55.8%22.5%7.5%5.1%-558.0K7.9M-31.5K11.5494.51N/AN/A1932,2271,3794,254
2022-02-08$44.61$45.0026.1%6.9%26.5%48.6%24.3%4.7%4.2%-605.6K6.6M-29.6K9.8682.10N/AN/A2162,1291,3824,227
2022-02-09$45.89$45.0024.3%7.0%28.1%43.4%24.2%3.9%1.7%-558.9K5.0M-29.3K9.9786.10N/AN/A2152,1431,4104,209
2022-02-10$45.10$45.0025.7%7.4%28.7%47.4%24.7%4.3%1.0%-604.1K6.0M-30.1K13.6488.65N/AN/A1542,1011,4424,209
2022-02-11$44.19$45.0024.8%7.1%28.9%44.8%24.8%1.7%2.6%-444.8K6.2M-29.9K13.1291.84N/AN/A1722,2561,4524,211
2022-02-14$44.14$45.0021.8%6.3%28.8%36.0%26.0%5.1%6.4%-584.1K7.5M-30.0K11.1296.91N/AN/A1922,1351,4634,217
2022-02-15$44.25$45.0025.4%7.3%28.9%46.7%27.6%-3.4%2.2%-665.1K7.5M-28.9K10.7994.02N/AN/A1982,1361,4684,241
2022-02-16$44.35$45.0024.3%7.0%28.8%43.4%27.0%-1.6%1.1%-744.8K7.3M-28.5K10.8099.46N/AN/A1982,1381,4784,236
2022-02-17$43.44$45.0025.9%7.4%29.3%48.1%26.1%6.3%6.8%-532.9K8.6M-27.9K0.5296.52N/AN/A1981021,4784,238
2022-02-18$42.88$45.0026.0%7.5%29.5%48.5%26.8%4.7%0.3%-328.3K9.4M-27.5K1.0693.66N/AN/A1561651,4784,241
2022-02-22$42.55$45.0029.8%8.5%29.5%59.7%30.9%5.5%-1.4%-343.8K6.5M-27.2K7.8298.61N/AN/A1421,1114753,455
2022-02-23$42.36$45.0037.4%10.7%29.3%82.3%33.2%6.2%-10.2%-307.6K6.1M-24.9K8.2997.24N/AN/A1341,1114933,150
2022-02-24$43.01$45.0022.8%6.5%30.0%38.8%23.1%13.3%3.7%-314.4K5.8M-24.8K9.5896.56N/AN/A1161,1114923,150
2022-02-25$43.67$45.0027.1%7.8%30.7%51.8%26.9%7.4%-1.3%-320.4K5.3M-24.8K0.60100.54N/AN/A1,9431,1674923,151
2022-02-28$43.32$45.0030.6%8.8%29.2%62.1%32.3%10.4%7.2%30.1K3.3M-29.4K7.7898.19N/AN/A1501,1672,0953,129