OTEX Options History — December 2022

In December 2022, OTEX traded between $27.66 and $29.98. ATM implied volatility averaged 30.8%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 2.1% (HV 20d: 28.8%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.58.

Notable Days

  • 2022-12-13: Highest Volume — 723 contracts
  • 2022-12-09: Largest IV spike — 63.3% change
  • 2022-12-09: Highest IV Rank — 53.8%
  • 2022-12-01: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.84$27.66$29.98$29.35$29.52
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV30.8%22.3%54.8%33.9%27.4%
Expected Move7.8%6.1%9.7%9.7%7.9%
HV 20d28.8%24.8%34.8%34.8%28.1%
HV 60d32.8%31.4%34.2%33.9%31.7%
IV Rank22.7%11.7%53.8%26.7%18.3%
IV Percentile40.0%5.2%98.8%62.7%24.6%
Term Structure1.7%-11.6%6.0%-11.6%3.7%
VWIV26.8%23.5%29.4%26.8%29.4%
Skew 25d9.3%-8.4%120.3%29.4%-2.6%
Skew 10d13.6%-6.1%164.5%43.1%-4.0%
Call IV 25d26.6%22.4%32.3%32.3%28.1%
Put IV 25d35.9%20.2%148.5%61.7%25.5%
Bid-Ask Spread %77.4344.45102.5191.3072.60
Gamma HHI0.390.320.580.580.37
Net GEX37.7K22.4K68.7K34.3K45.2K
Net DEX-439.9K-1.1M18.4K-495.9K-790.1K
Net VEX-11.5K-13.4K-8.7K-9.2K-12.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.580.0021.001.330.00
Total Volume92.0952723216
Total OI2,745.4761,9583,2211,9583,167

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-12-01$29.35$30.0033.9%9.7%34.8%26.7%0.0%29.4%-11.6%34.3K-495.9K-9.2K1.3391.30N/AN/A9121,041917
2022-12-02$29.24$30.0028.7%8.2%33.6%20.0%0.0%120.3%-2.7%34.9K-427.7K-9.3K0.7986.15N/AN/A14111,050924
2022-12-05$28.16$30.0033.0%7.7%33.6%25.5%26.8%13.8%2.2%22.4K18.4K-8.7K0.0085.12N/AN/A30411,064933
2022-12-06$27.95$30.0042.9%6.1%32.5%38.4%0.0%5.5%4.2%30.6K-96.0K-9.5K0.0075.10N/AN/A1501,363924
2022-12-07$27.66$30.0039.0%8.1%32.7%33.3%0.0%10.3%0.9%28.3K-57.3K-10.0K0.0094.08N/AN/A1301,378924
2022-12-08$27.94$30.0033.6%8.0%32.7%26.3%28.5%-8.4%-0.0%34.4K-447.0K-9.3K0.5687.34N/AN/A36201,391804
2022-12-09$28.16$30.0054.8%7.8%27.1%53.8%0.0%5.8%2.0%37.4K-513.3K-10.0K2.7875.39N/AN/A23641,426824
2022-12-12$28.82$30.0024.5%8.1%26.7%14.5%28.4%6.8%2.2%51.7K-777.7K-10.7K14.1956.17N/AN/A162271,449893
2022-12-13$29.68$30.0035.0%7.8%27.6%28.2%26.9%9.9%2.6%48.9K-891.0K-12.3K0.0460.85N/AN/A697261,4641,115
2022-12-14$29.37$30.0028.3%8.1%27.6%19.4%28.2%6.1%2.2%68.7K-912.0K-13.3K21.0099.36N/AN/A71471,9451,130
2022-12-15$28.77$30.0027.0%7.8%28.6%17.8%0.0%5.2%1.6%36.8K-379.3K-13.4K11.00102.51N/AN/A1111,9501,271
2022-12-16$28.81$30.0024.9%7.1%27.7%15.1%24.8%6.0%5.3%30.2K-238.7K-12.9K0.0097.21N/AN/A201,9511,269
2022-12-19$28.55$30.0022.3%6.4%27.8%11.7%23.5%7.2%6.0%27.9K-173.5K-12.7K0.6092.63N/AN/A20121,9041,206
2022-12-20$28.86$30.0027.9%8.0%27.0%19.0%27.9%-4.9%1.0%32.6K-264.3K-12.6K0.4565.50N/AN/A33151,8961,202
2022-12-21$29.29$30.0026.2%7.5%26.5%16.7%26.2%-2.2%2.8%39.8K-607.4K-13.0K0.0066.84N/AN/A5401,9041,196
2022-12-22$28.77$30.0028.3%8.1%25.7%19.5%0.0%-3.9%1.5%30.2K-260.9K-12.8K0.0566.08N/AN/A8341,9031,196
2022-12-23$28.95$30.0026.3%7.5%25.8%16.9%26.3%-2.3%3.0%34.3K-271.0K-12.6K0.0065.95N/AN/A1101,9791,198
2022-12-27$28.95$30.0029.1%8.4%25.7%20.5%0.0%-3.6%1.3%35.8K-369.9K-12.2K0.0044.45N/AN/A201,9811,186
2022-12-28$28.94$30.0024.7%7.1%24.8%14.8%24.5%-2.4%5.9%33.5K-216.4K-11.7K1.3363.35N/AN/A341,9831,186
2022-12-29$29.98$30.0029.4%8.4%27.5%20.9%29.4%-0.9%1.0%54.0K-1.1M-12.7K0.0378.04N/AN/A3011,9831,185
2022-12-30$29.52$30.0027.4%7.9%28.1%18.3%0.0%-2.6%3.7%45.2K-790.1K-12.3K0.0072.60N/AN/A601,9821,185