OTEX Options History — December 2023

In December 2023, OTEX traded between $39.87 and $42.61. ATM implied volatility averaged 23.7%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 9.0% (HV 20d: 14.7%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.33.

Notable Days

  • 2023-12-22: Highest Volume — 320 contracts
  • 2023-12-26: Largest IV spike — 32.0% change
  • 2023-12-12: Highest IV Rank — 28.8%
  • 2023-12-26: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.13$39.87$42.61$40.66$42.11
Max Pain$39.50$30.00$40.00$30.00$40.00
ATM IV23.7%19.9%26.7%23.1%25.1%
Expected Move6.6%5.7%7.5%6.6%7.2%
HV 20d14.7%12.3%23.6%23.6%14.3%
HV 60d24.6%22.3%26.7%26.6%22.3%
IV Rank22.0%13.5%28.8%20.7%25.1%
IV Percentile37.8%9.9%61.5%33.3%50.4%
Term Structure4.1%-1.0%14.9%-1.0%3.6%
VWIV21.6%14.1%26.4%23.1%20.2%
Skew 25d4.3%1.8%10.9%4.0%2.8%
Skew 10d6.5%-0.6%24.0%6.1%4.2%
Call IV 25d19.9%13.0%22.5%19.7%21.0%
Put IV 25d24.2%19.8%26.1%23.7%23.8%
Bid-Ask Spread %36.136.0985.276.0918.70
Gamma HHI0.550.460.630.520.63
Net GEX312.2K196.5K477.4K355.1K269.1K
Net DEX-4.7M-6.2M-3.8M-4.9M-4.7M
Net VEX-18.9K-20.8K-17.2K-18.4K-20.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.002.790.000.12
Total Volume83.85632013257
Total OI4,6733,9735,1074,9274,508

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-12-01$40.66$30.0023.1%6.6%23.6%20.7%23.1%4.0%-1.0%355.1K-4.9M-18.4K0.006.09N/AN/A13202,7012,226
2023-12-04$40.23$40.0023.8%6.4%17.9%22.3%0.0%4.0%3.7%347.7K-4.4M-18.9K0.0320.81N/AN/A9732,6942,226
2023-12-05$40.24$40.0024.6%6.5%15.2%24.0%0.0%4.8%3.1%364.4K-4.5M-19.5K0.0085.27N/AN/A1102,7832,229
2023-12-06$39.88$40.0023.8%6.4%15.0%22.3%21.9%3.7%4.0%373.4K-4.1M-19.1K0.0036.98N/AN/A5202,7832,229
2023-12-07$39.87$40.0024.3%6.4%14.9%23.3%0.0%3.7%3.2%388.4K-4.1M-19.2K0.0039.56N/AN/A802,8332,229
2023-12-08$39.92$40.0021.4%6.2%14.6%16.9%21.5%7.0%3.9%438.5K-4.2M-18.6K0.3675.08N/AN/A28102,8302,229
2023-12-11$40.30$40.0026.4%6.4%14.2%28.0%0.0%10.9%3.9%456.3K-4.7M-18.9K0.7147.19N/AN/A21152,8342,239
2023-12-12$40.41$40.0026.7%6.2%14.2%28.8%0.0%5.5%4.3%477.4K-5.0M-18.3K0.467.56N/AN/A39182,8422,236
2023-12-13$40.92$40.0022.1%6.3%12.3%18.5%22.0%8.1%3.5%409.2K-5.5M-17.2K0.3682.66N/AN/A28102,8132,248
2023-12-14$41.61$40.0022.8%6.5%12.3%19.9%22.9%3.3%3.4%215.3K-6.2M-18.2K0.3448.85N/AN/A53182,8352,254
2023-12-15$41.11$40.0023.3%6.7%13.6%21.0%15.3%2.0%2.9%196.5K-5.8M-17.7K0.0819.04N/AN/A169132,8412,266
2023-12-18$41.31$40.0022.3%6.4%13.6%18.9%22.3%2.2%4.0%217.6K-3.8M-18.0K0.0782.71N/AN/A12182,3031,670
2023-12-19$41.24$40.0022.8%6.5%13.6%20.0%22.8%1.9%4.1%225.7K-4.1M-18.3K0.2023.85N/AN/A512,3741,677
2023-12-20$41.18$40.0023.4%6.7%13.5%21.4%23.4%1.8%4.1%215.2K-4.1M-18.2K0.6128.24N/AN/A90552,3751,677
2023-12-21$42.12$40.0025.5%7.3%14.9%26.0%22.5%4.3%3.8%231.4K-4.7M-19.1K0.0314.28N/AN/A7722,3781,721
2023-12-22$42.06$40.0019.9%5.7%14.7%13.5%14.1%3.8%14.9%222.8K-4.5M-19.1K0.0134.36N/AN/A31642,4091,720
2023-12-26$42.40$40.0026.3%7.5%14.1%27.7%26.4%3.7%3.7%285.1K-5.0M-20.5K0.3812.36N/AN/A39152,6711,724
2023-12-27$42.61$40.0020.4%5.8%13.7%14.6%23.8%5.1%5.4%271.8K-5.3M-20.6K0.0012.40N/AN/A3702,6851,738
2023-12-28$42.36$40.0026.1%7.5%14.0%27.4%0.0%3.0%3.1%282.9K-5.1M-20.2K2.7926.66N/AN/A33922,6921,738
2023-12-29$42.11$40.0025.1%7.2%14.3%25.1%20.2%2.8%3.6%269.1K-4.7M-20.8K0.1218.70N/AN/A5162,6781,830