OTEX Options History — September 2023

In September 2023, OTEX traded between $34.59 and $40.46. ATM implied volatility averaged 22.1%, placing in the 12.8% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 0.1% (HV 20d: 22.2%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.96.

Notable Days

  • 2023-09-21: Highest Volume — 564 contracts
  • 2023-09-12: Largest IV drop — 47.2% change
  • 2023-09-22: Highest IV Rank — 23.6%
  • 2023-09-22: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.66$34.59$40.46$40.46$35.09
Max Pain$37.25$35.00$40.00$40.00$35.00
ATM IV22.1%13.9%28.6%17.6%24.4%
Expected Move6.3%3.9%8.2%5.1%7.0%
HV 20d22.2%18.8%26.5%19.8%24.6%
HV 60d29.7%28.6%31.1%28.7%30.5%
IV Rank12.8%0.0%23.6%4.6%16.8%
IV Percentile24.6%0.0%63.1%0.8%36.5%
Term Structure4.4%-6.5%9.8%3.1%8.0%
VWIV23.6%17.8%45.5%17.9%24.4%
Skew 25d4.0%-9.4%10.9%-9.4%1.7%
Skew 10d6.8%-8.6%16.2%-3.3%3.0%
Call IV 25d21.2%13.4%34.2%34.2%24.3%
Put IV 25d25.2%21.8%41.7%24.8%26.0%
Bid-Ask Spread %52.1612.9998.2566.1586.18
Gamma HHI0.550.340.680.600.46
Net GEX111.9K-5.9K205.1K175.1K44.4K
Net DEX-1.6M-3.4M639.0K-3.4M-656.3K
Net VEX-23.8K-26.8K-21.3K-22.5K-26.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.006.670.010.00
Total Volume92.7505646946
Total OI4,6224,2585,3364,2985,300

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$40.46$40.0017.6%5.1%19.8%4.6%17.9%-9.4%3.1%175.1K-3.4M-22.5K0.0166.15N/AN/A6811,9772,321
2023-09-05$40.09$40.0019.6%6.6%18.8%7.9%0.0%4.2%-0.2%161.6K-2.9M-22.2K0.0026.01N/AN/A101,9512,322
2023-09-06$39.89$40.0019.9%6.0%18.9%8.3%21.0%9.4%3.4%155.5K-2.8M-22.4K0.2512.99N/AN/A411,9502,322
2023-09-07$39.16$40.0019.9%6.0%19.7%8.3%0.0%5.7%3.7%144.4K-2.3M-22.3K0.0044.29N/AN/A011,9542,304
2023-09-08$39.00$40.0018.0%5.8%19.9%5.2%0.0%6.7%4.0%145.7K-1.9M-23.5K0.0054.04N/AN/A30101,9542,305
2023-09-11$39.50$40.0026.3%3.9%19.7%18.8%0.0%8.4%9.8%205.1K-3.1M-21.3K0.0049.38N/AN/A202,1362,305
2023-09-12$39.17$40.0013.9%5.5%20.1%0.0%0.0%7.2%4.9%162.4K-2.5M-24.2K0.0016.27N/AN/A002,1362,305
2023-09-13$38.59$40.0020.2%5.8%19.4%10.1%0.0%4.8%4.2%134.5K-2.1M-22.9K3.7514.00N/AN/A4152,1362,305
2023-09-14$39.33$40.0018.3%5.2%20.3%7.0%17.8%6.8%5.2%174.1K-2.5M-23.8K0.0018.59N/AN/A8102,1352,316
2023-09-15$38.89$35.0018.2%5.2%20.1%6.9%0.0%6.8%5.5%150.3K-2.4M-24.1K6.6752.71N/AN/A3202,2022,316
2023-09-18$38.83$35.0018.4%5.3%20.1%7.3%18.4%2.2%5.6%154.7K-2.3M-23.7K0.8349.19N/AN/A12102,0862,320
2023-09-19$37.30$35.0024.9%7.1%24.9%17.7%20.0%2.7%3.5%117.6K-1.3M-23.0K0.0174.66N/AN/A18722,0982,330
2023-09-20$36.97$35.0023.6%6.8%24.7%15.5%0.0%2.4%2.8%128.8K-1.3M-22.6K0.0393.48N/AN/A3012,2652,332
2023-09-21$35.50$35.0024.3%7.0%26.4%16.6%22.4%5.0%6.4%68.0K-521.3K-22.9K2.5513.39N/AN/A1594052,2932,253
2023-09-22$35.61$35.0028.6%8.2%26.5%23.6%0.0%5.8%-6.5%28.4K-220.7K-24.6K0.0067.06N/AN/A0152,3052,644
2023-09-25$35.53$35.0025.0%7.2%25.0%17.8%24.8%4.5%4.6%22.1K38.7K-25.0K1.0063.45N/AN/A552,3052,659
2023-09-26$34.72$35.0027.5%7.9%25.8%21.9%45.5%0.3%5.0%-5.9K639.0K-25.3K0.0151.50N/AN/A41632,3022,659
2023-09-27$34.59$35.0027.3%7.8%24.6%21.5%0.0%10.9%7.4%30.8K-80.4K-26.7K0.2798.25N/AN/A44122,6742,662
2023-09-28$34.94$35.0026.2%7.5%25.0%19.7%0.0%-5.5%6.7%40.3K-505.4K-26.8K0.0091.69N/AN/A012,6822,619
2023-09-29$35.09$35.0024.4%7.0%24.6%16.8%24.4%1.7%8.0%44.4K-656.3K-26.5K0.0086.18N/AN/A4602,6822,618