OTEX Options History — March 2022

In March 2022, OTEX traded between $40.75 and $43.76. ATM implied volatility averaged 32.3%, placing in the 58.6% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 4.6% (HV 20d: 27.7%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 6 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 2.64.

Notable Days

  • 2022-03-02: Highest Volume — 1,327 contracts
  • 2022-03-31: Largest IV spike — 59.9% change
  • 2022-03-04: Highest IV Rank — 100.0%
  • 2022-03-11: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.59$40.75$43.76$42.64$42.50
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV32.3%21.6%49.5%31.6%40.6%
Expected Move9.2%7.1%14.9%9.1%8.3%
HV 20d27.7%23.9%29.6%27.5%29.2%
HV 60d24.9%22.9%26.4%23.7%26.4%
IV Rank58.6%30.0%100.0%65.0%77.8%
IV Percentile84.4%41.7%100.0%93.3%98.4%
Term Structure-2.0%-22.0%6.0%5.0%-22.0%
VWIV32.2%26.5%41.1%32.8%28.9%
Skew 25d8.3%1.1%19.6%4.6%1.1%
Skew 10d18.2%6.5%42.4%38.6%11.8%
Call IV 25d29.3%21.8%39.1%31.4%31.0%
Put IV 25d37.6%27.1%51.1%36.0%32.1%
Bid-Ask Spread %95.4372.24115.9898.3280.95
Gamma HHI0.510.470.750.470.51
Net GEX-176.2K-367.3K73.7K1.8K-365.4K
Net DEX4.8M3.3M6.9M4.3M5.2M
Net VEX-23.1K-29.3K-18.6K-29.1K-18.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.640.508.528.160.83
Total Volume542.3042131,3271,310231
Total OI4,639.5653,5865,3795,2063,640

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-03-01$42.64$45.0031.6%9.1%27.5%65.0%32.8%4.6%5.0%1.8K4.3M-29.1K8.1698.32N/AN/A1431,1672,0773,129
2022-03-02$43.53$45.0030.3%8.7%29.0%61.3%30.8%17.3%-8.6%73.7K3.3M-29.3K7.29106.46N/AN/A1601,1672,0783,129
2022-03-03$43.08$45.0030.8%8.8%29.0%62.6%35.1%15.4%-7.8%61.1K3.4M-28.2K8.52115.98N/AN/A1371,1672,0783,129
2022-03-04$42.19$45.0044.0%12.6%28.5%100.0%33.8%15.3%-6.5%10.0K4.3M-27.6K8.16102.90N/AN/A1371,1182,0843,127
2022-03-07$41.99$45.0049.5%14.2%24.4%100.0%37.2%3.8%6.0%-33.5K4.9M-26.2K6.28112.07N/AN/A1781,1182,0843,126
2022-03-08$41.52$45.0035.5%12.3%23.9%65.0%41.1%6.1%-4.9%-47.1K5.1M-26.0K7.56115.78N/AN/A1461,1042,1393,123
2022-03-09$43.17$45.0033.1%9.6%27.2%58.8%35.9%4.4%-3.6%35.9K3.5M-26.8K1.10104.28N/AN/A1461602,1653,124
2022-03-10$42.71$45.0029.5%9.6%24.9%49.8%35.3%5.4%2.4%34.4K4.2M-25.9K1.10108.33N/AN/A1461602,1653,169
2022-03-11$41.90$45.0034.8%14.9%25.1%63.0%39.8%5.9%2.4%-47.3K4.8M-25.1K0.95104.53N/AN/A1771682,1653,169
2022-03-14$41.08$45.0035.0%9.9%25.0%63.6%34.1%4.0%0.1%-112.2K5.9M-23.2K0.8878.09N/AN/A1901682,1973,173
2022-03-15$40.75$45.0033.6%9.6%25.0%60.1%33.6%8.0%0.2%-225.2K6.9M-21.2K0.8772.24N/AN/A1961712,2013,162
2022-03-16$42.13$45.0033.0%9.3%28.3%58.7%32.0%5.2%-0.5%-228.0K5.9M-22.7K0.8876.95N/AN/A1961722,2203,156
2022-03-17$42.73$45.0026.6%8.0%28.8%42.5%28.4%11.8%4.7%-25.8K4.9M-22.6K0.5888.06N/AN/A1961132,2213,157
2022-03-18$43.41$45.0024.1%7.5%28.6%36.2%27.0%3.3%1.9%-341.8K5.1M-21.5K0.5081.29N/AN/A2321152,2213,158
2022-03-21$43.06$45.0021.6%7.5%28.3%30.0%27.2%7.2%2.9%-342.0K4.8M-20.3K0.7687.73N/AN/A1391055403,046
2022-03-22$43.73$45.0024.2%7.2%28.7%36.4%26.5%7.1%1.1%-346.0K4.2M-19.7K0.8589.39N/AN/A1231055473,050
2022-03-23$42.86$45.0024.9%7.2%29.6%38.3%30.1%8.0%-0.9%-363.6K5.0M-20.3K0.9695.49N/AN/A1091055663,050
2022-03-24$42.45$45.0039.2%8.0%29.3%74.1%29.1%8.1%-12.5%-367.3K5.4M-20.4K0.9197.79N/AN/A1151055693,050
2022-03-25$42.73$45.0034.1%7.4%28.8%61.2%33.4%6.7%-2.5%-360.1K5.1M-19.8K0.9797.99N/AN/A1081055783,050
2022-03-28$42.86$45.0037.5%7.5%28.7%70.0%32.5%19.6%-6.6%-354.2K5.0M-19.5K0.9793.10N/AN/A1081055793,050
2022-03-29$43.76$45.0022.8%7.1%29.1%33.0%27.4%12.2%2.1%-347.7K4.1M-18.8K0.8393.80N/AN/A1261055793,050
2022-03-30$42.79$45.0025.4%7.5%29.3%39.5%29.2%10.6%1.0%-363.1K4.9M-18.6K0.8393.34N/AN/A1261055903,050
2022-03-31$42.50$45.0040.6%8.3%29.2%77.8%28.9%1.1%-22.0%-365.4K5.2M-18.9K0.8380.95N/AN/A1261055903,050