OTEX Options History — September 2022

In September 2022, OTEX traded between $26.55 and $31.26. ATM implied volatility averaged 35.3%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 18.1% (HV 20d: 53.4%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.73.

Notable Days

  • 2022-09-30: Highest Volume — 1,103 contracts
  • 2022-09-30: Largest IV spike — 104.5% change
  • 2022-09-30: Highest IV Rank — 81.5%
  • 2022-09-30: Largest Expected Move — 21.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.71$26.55$31.26$30.29$26.55
Max Pain$30.48$30.00$35.00$35.00$30.00
ATM IV35.3%24.3%76.2%33.7%76.2%
Expected Move9.7%7.0%21.9%9.7%21.9%
HV 20d53.4%30.6%63.2%63.2%31.0%
HV 60d44.3%43.9%44.7%44.3%44.4%
IV Rank28.5%14.3%81.5%26.4%81.5%
IV Percentile69.8%27.0%99.6%75.0%99.6%
Term Structure0.2%-30.7%14.5%1.6%-30.7%
VWIV35.8%15.7%79.3%50.2%79.3%
Skew 25d7.7%-5.6%55.0%-5.6%55.0%
Skew 10d14.8%-6.1%71.1%-6.1%71.1%
Call IV 25d33.0%27.0%47.2%43.5%36.9%
Put IV 25d40.7%23.6%91.9%37.9%91.9%
Bid-Ask Spread %90.2273.38111.2378.5696.90
Gamma HHI0.710.440.910.510.75
Net GEX-12.5K-32.3K23.1K-6.3K23.1K
Net DEX793.6K-21.5K1.3M773.1K-21.5K
Net VEX-5.0K-7.9K-3.8K-4.2K-7.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.730.0011.600.071.65
Total Volume314.28661,103461,103
Total OI1,966.7621,5612,6191,5752,594

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$30.29$35.0033.7%9.7%63.2%26.4%50.2%-5.6%1.6%-6.3K773.1K-4.2K0.0778.56N/AN/A433955620
2022-09-02$29.71$35.0031.2%8.9%60.7%23.2%31.2%4.8%2.2%-7.7K723.2K-3.8K4.0396.84N/AN/A40161986575
2022-09-06$29.50$30.0033.6%9.3%60.2%26.4%35.4%8.0%0.2%-17.8K972.7K-4.5K1.3389.66N/AN/A1992651,019732
2022-09-07$29.49$30.0032.4%8.7%59.7%24.8%30.8%5.9%0.5%-20.7K1.0M-4.3K1.0075.78N/AN/A2242241,036752
2022-09-08$29.86$30.0040.1%8.5%57.5%34.8%29.9%39.9%2.6%-14.8K665.3K-4.7K7.6781.07N/AN/A3231,101681
2022-09-09$30.72$30.0026.6%7.9%59.3%17.2%27.7%5.2%3.2%-15.8K448.0K-4.6K0.6492.99N/AN/A42271,104684
2022-09-12$31.26$30.0035.4%8.7%59.5%28.6%30.2%2.8%-0.7%-12.9K305.4K-4.6K0.0790.23N/AN/A1511,109699
2022-09-13$30.03$30.0045.9%9.0%60.0%42.2%31.6%5.1%-1.1%-23.2K656.4K-4.4K2.0194.48N/AN/A1873761,108699
2022-09-14$29.75$30.0040.8%11.7%59.5%35.7%37.6%10.4%-7.9%-21.5K670.9K-5.6K0.57111.23N/AN/A741,110870
2022-09-15$29.35$30.0030.9%8.9%59.4%22.8%30.9%6.8%1.4%-32.3K986.8K-5.0K0.89110.48N/AN/A53471,110874
2022-09-16$28.66$30.0031.7%9.1%59.3%23.9%45.1%17.7%-0.5%-25.4K1.2M-4.6K0.7998.41N/AN/A2381871,154874
2022-09-19$29.11$30.0031.4%9.0%60.2%23.5%31.4%9.7%-0.7%-27.0K873.1K-4.8K0.0689.66N/AN/A664963792
2022-09-20$28.06$30.0030.7%8.8%60.7%22.6%36.4%1.1%-3.6%-24.1K1.1M-4.4K11.6095.27N/AN/A558948795
2022-09-21$27.84$30.0029.8%8.6%60.6%21.5%34.3%-4.1%-3.7%-28.0K1.3M-4.1K0.0094.52N/AN/A60948830
2022-09-22$27.57$30.0024.3%7.0%60.4%14.3%26.0%-3.4%5.6%-27.4K1.3M-4.0K0.4096.98N/AN/A261104952812
2022-09-23$27.12$30.0028.6%8.2%60.2%19.8%15.7%0.8%14.5%-11.5K1.2M-5.5K1.3380.83N/AN/A341,201916
2022-09-26$26.87$30.0035.5%10.2%30.6%28.8%37.8%-0.4%4.1%-10.2K1.3M-4.9K0.5488.71N/AN/A4262311,203917
2022-09-27$26.61$30.0031.6%9.0%30.6%23.7%35.3%-2.7%13.0%4.6K867.1K-5.7K0.5573.38N/AN/A4222301,459906
2022-09-28$27.52$30.0032.4%9.3%34.1%24.7%36.9%4.3%-0.8%16.1K74.1K-7.0K0.5578.37N/AN/A4222321,713906
2022-09-29$27.02$30.0037.3%10.7%33.9%31.1%37.9%-0.3%3.8%19.8K218.6K-6.3K0.5580.29N/AN/A4222321,713882
2022-09-30$26.55$30.0076.2%21.9%31.0%81.5%79.3%55.0%-30.7%23.1K-21.5K-7.9K1.6596.90N/AN/A4166871,713881