OTEX Options History — June 2022

In June 2022, OTEX traded between $36.60 and $41.24. ATM implied volatility averaged 30.9%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 0.4% (HV 20d: 31.3%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.11.

Notable Days

  • 2022-06-13: Highest Volume — 1,577 contracts
  • 2022-06-16: Largest IV spike — 31.3% change
  • 2022-06-16: Highest IV Rank — 32.3%
  • 2022-06-16: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.81$36.60$41.24$40.55$37.72
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV30.9%25.7%36.8%29.5%25.7%
Expected Move8.7%7.4%10.5%8.5%7.4%
HV 20d31.3%28.5%40.4%40.4%29.2%
HV 60d33.4%32.5%34.1%33.9%33.9%
IV Rank24.9%18.3%32.3%23.2%18.3%
IV Percentile71.9%50.4%90.1%71.0%50.4%
Term Structure0.8%-5.2%9.5%-1.6%1.6%
VWIV28.8%19.8%37.9%29.9%26.3%
Skew 25d8.5%-3.3%48.8%48.8%12.1%
Skew 10d17.7%-0.7%94.1%94.1%16.6%
Call IV 25d29.4%22.5%36.7%34.6%30.0%
Put IV 25d37.9%31.7%83.3%83.3%42.0%
Bid-Ask Spread %85.0065.8899.5092.8079.93
Gamma HHI0.330.280.520.290.29
Net GEX26.1K-111.3K102.9K93.6K9.5K
Net DEX-50.7K-1.2M952.7K-807.8K308.9K
Net VEX-6.9K-10.1K-3.4K-9.1K-3.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.202.920.772.92
Total Volume998.1432591,5771,448259
Total OI2,971.7622,4553,3333,1902,479

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-06-01$40.55$40.0029.5%8.5%40.4%23.2%29.9%48.8%-1.6%93.6K-807.8K-9.1K0.7792.80N/AN/A8206281,7531,437
2022-06-02$41.24$40.0029.6%8.1%39.7%23.3%28.7%2.2%1.3%102.9K-1.2M-10.0K0.8389.67N/AN/A8396931,7541,451
2022-06-03$40.60$40.0030.6%8.3%33.3%24.5%28.9%4.4%2.3%72.7K-848.1K-10.1K0.8393.69N/AN/A8396931,7741,505
2022-06-06$40.91$40.0034.9%8.4%32.8%29.9%29.2%6.0%0.5%92.0K-1.0M-9.6K0.8672.63N/AN/A8307111,7741,505
2022-06-07$40.81$40.0031.4%8.4%29.9%25.5%29.3%6.9%0.1%85.7K-944.4K-9.6K0.8688.47N/AN/A8307111,7741,498
2022-06-08$40.38$40.0028.1%8.1%30.5%21.4%28.4%4.2%1.7%81.0K-763.0K-9.2K0.8490.78N/AN/A8467101,7741,498
2022-06-09$39.58$40.0029.2%8.4%29.2%22.7%29.2%2.5%-5.2%25.1K53.8K-5.7K0.8481.39N/AN/A8467101,7661,496
2022-06-10$38.67$40.0030.4%8.7%30.0%24.3%30.7%3.1%0.1%45.0K31.7K-7.2K0.8583.45N/AN/A8367111,7661,496
2022-06-13$37.49$40.0033.5%9.6%28.8%28.1%35.4%2.0%9.5%-52.2K636.7K-7.2K0.8883.26N/AN/A8407371,7621,498
2022-06-14$37.34$40.0036.4%10.4%28.9%31.8%24.6%4.9%0.3%-60.2K714.8K-7.0K0.3181.37N/AN/A8582621,7821,551
2022-06-15$38.05$40.0028.0%8.0%28.5%21.2%26.8%-3.3%-2.7%-31.2K492.3K-6.4K0.2898.12N/AN/A8582391,7811,551
2022-06-16$36.65$40.0036.8%10.5%31.4%32.3%33.2%6.5%-1.6%-111.3K952.7K-6.3K0.2083.47N/AN/A8391691,7811,549
2022-06-17$36.60$40.0034.4%9.8%30.4%29.2%21.9%8.0%-0.2%6.7K655.5K-6.2K0.2178.15N/AN/A8131681,7821,549
2022-06-21$37.12$40.0036.1%10.4%29.6%31.4%19.8%8.1%-2.5%7.0K366.8K-5.3K0.2099.50N/AN/A8061651,613842
2022-06-22$37.59$40.0028.9%8.3%30.0%22.4%28.7%5.1%0.3%5.9K314.3K-5.0K1.7485.11N/AN/A951651,627842
2022-06-23$38.36$40.0032.9%9.4%30.3%27.4%37.9%18.1%6.7%23.2K119.5K-5.5K1.4486.40N/AN/A1151661,627842
2022-06-24$39.49$40.0027.1%7.8%32.0%20.1%28.2%14.3%2.2%47.3K-205.7K-6.1K2.1367.90N/AN/A931981,652843
2022-06-27$39.34$40.0028.5%8.2%31.7%21.8%29.2%11.6%2.5%48.3K-232.0K-6.3K2.1365.88N/AN/A931981,656822
2022-06-28$38.51$40.0029.2%8.4%31.9%22.7%29.9%5.6%0.9%32.7K32.9K-5.4K2.0693.73N/AN/A931921,656822
2022-06-29$38.08$40.0027.7%8.0%29.3%20.9%28.8%8.3%1.4%24.3K267.8K-4.4K2.0589.33N/AN/A941931,656821
2022-06-30$37.72$40.0025.7%7.4%29.2%18.3%26.3%12.1%1.6%9.5K308.9K-3.4K2.9279.93N/AN/A661931,657822