OTEX Options History — November 2022

In November 2022, OTEX traded between $26.84 and $29.87. ATM implied volatility averaged 31.5%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 4.5% (HV 20d: 36.0%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.15.

Notable Days

  • 2022-11-09: Highest Volume — 752 contracts
  • 2022-11-29: Largest IV spike — 39.9% change
  • 2022-11-03: Highest IV Rank — 39.8%
  • 2022-11-02: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.83$26.84$29.87$29.37$29.41
Max Pain$25.95$25.00$30.00$25.00$30.00
ATM IV31.5%23.1%44.0%37.5%27.3%
Expected Move8.8%6.6%12.0%10.8%7.8%
HV 20d36.0%31.8%38.2%31.8%36.4%
HV 60d41.7%33.9%46.4%44.8%33.9%
IV Rank23.6%12.7%39.8%31.4%18.2%
IV Percentile48.1%9.9%92.9%81.7%27.4%
Term Structure-0.7%-9.0%11.9%-4.8%0.2%
VWIV33.1%25.4%52.8%36.5%27.4%
Skew 25d26.5%-1.2%111.3%3.8%111.3%
Skew 10d42.4%1.3%150.9%3.8%150.9%
Call IV 25d30.4%25.1%42.3%42.3%27.6%
Put IV 25d56.9%30.4%142.3%46.1%138.9%
Bid-Ask Spread %80.6028.66107.2277.8991.19
Gamma HHI0.490.400.590.590.54
Net GEX7.1K-19.6K33.4K19.0K30.1K
Net DEX-234.9K-1.0M401.7K-1.0M-415.4K
Net VEX-7.0K-9.3K-4.6K-5.8K-9.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.009.000.470.00
Total Volume340.381675244112
Total OI2,280.811,7072,7672,4791,949

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-11-01$29.37$25.0037.5%10.8%31.8%31.4%36.5%3.8%-4.8%19.0K-1.0M-5.8K0.4777.89N/AN/A2991421,4561,023
2022-11-02$28.55$25.0042.0%12.0%33.5%37.2%48.1%11.4%-8.5%5.1K-314.1K-5.6K0.9679.95N/AN/A1841771,3081,023
2022-11-03$27.87$25.0044.0%9.8%33.2%39.8%37.7%-0.7%-6.1%-5.1K31.8K-5.6K1.4187.78N/AN/A1001411,2511,058
2022-11-04$26.84$25.0037.7%8.7%34.1%31.7%33.5%-1.2%11.9%-14.1K370.6K-4.9K1.8788.31N/AN/A781461,2551,061
2022-11-07$27.56$25.0038.9%10.8%35.2%33.2%52.8%22.3%-0.7%-7.5K93.2K-5.1K0.92100.57N/AN/A1691561,2661,073
2022-11-08$27.43$25.0033.6%9.5%33.3%26.3%35.6%5.0%2.8%-15.0K348.7K-4.6K0.8180.69N/AN/A2331891,1921,084
2022-11-09$27.65$25.0026.4%7.6%33.1%17.0%31.6%1.9%2.0%-19.6K401.7K-4.9K0.5074.33N/AN/A5002521,1801,086
2022-11-10$29.08$25.0027.7%7.9%37.1%18.6%36.0%8.2%4.1%22.7K-378.9K-7.1K0.8396.91N/AN/A2482061,4641,200
2022-11-11$29.87$25.0028.8%8.3%37.6%20.2%28.9%9.2%0.8%33.4K-831.2K-7.5K0.5087.02N/AN/A3951981,4981,233
2022-11-14$29.20$25.0030.5%8.7%37.7%22.3%32.4%7.9%0.2%-9.1K-342.9K-6.9K0.4170.00N/AN/A3921611,3521,235
2022-11-15$29.52$25.0032.7%9.4%37.1%25.2%32.7%6.9%-2.1%-11.9K-477.2K-7.2K0.6061.60N/AN/A3071851,3681,253
2022-11-16$29.57$25.0032.4%9.3%36.8%24.8%32.4%7.2%-3.1%-13.2K-457.6K-7.4K1.0660.35N/AN/A1561661,4041,288
2022-11-17$28.97$25.0030.8%8.8%37.8%22.7%30.8%6.1%-2.1%-2.1K-53.7K-7.4K1.1189.81N/AN/A1451611,3981,310
2022-11-18$29.01$25.0025.6%7.3%36.8%16.0%26.4%82.9%0.3%9.1K-79.8K-7.6K0.42107.22N/AN/A3881621,4481,319
2022-11-21$28.39$25.0027.2%7.8%37.7%18.0%27.5%49.2%-0.9%8.3K-3.8K-7.9K0.2282.36N/AN/A31568864843
2022-11-22$28.98$25.0023.1%6.6%37.7%12.7%25.6%7.6%1.1%14.1K-204.1K-8.2K0.2999.35N/AN/A23970877843
2022-11-23$29.68$25.0025.4%7.3%38.1%15.7%25.4%23.3%0.8%23.5K-462.6K-8.5K0.2951.71N/AN/A27378914848
2022-11-25$29.82$30.0026.8%7.7%38.2%17.5%27.1%24.6%-1.9%28.3K-519.7K-8.9K9.0028.66N/AN/A218971884
2022-11-28$29.63$30.0026.0%7.5%37.0%16.5%0.0%63.4%0.2%26.4K-389.7K-8.8K0.4896.48N/AN/A2110973902
2022-11-29$29.05$30.0036.4%10.4%36.3%30.0%0.0%107.0%-9.0%26.1K-246.1K-8.8K2.0080.51N/AN/A241,030913
2022-11-30$29.41$30.0027.3%7.8%36.4%18.2%27.4%111.3%0.2%30.1K-415.4K-9.3K0.0091.19N/AN/A1201,032917