OTEX Options History — March 2024

In March 2024, OTEX traded between $37.60 and $40.14. ATM implied volatility averaged 24.5%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 5.1% (HV 20d: 29.5%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.69.

Notable Days

  • 2024-03-21: Highest Volume — 358 contracts
  • 2024-03-13: Largest IV spike — 23.2% change
  • 2024-03-05: Highest IV Rank — 32.7%
  • 2024-03-06: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.84$37.60$40.14$39.25$38.94
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV24.5%20.3%28.4%25.5%23.7%
Expected Move7.2%6.5%8.7%7.3%6.8%
HV 20d29.5%25.2%35.0%32.7%27.0%
HV 60d28.3%26.6%29.4%26.6%28.4%
IV Rank23.8%14.3%32.7%26.0%22.0%
IV Percentile45.7%11.5%73.4%54.4%40.5%
Term Structure3.0%0.5%4.4%0.5%3.9%
VWIV25.1%22.8%27.6%25.5%24.2%
Skew 25d4.4%-5.8%9.7%-5.8%4.2%
Skew 10d6.2%-10.4%15.6%-10.4%6.4%
Call IV 25d24.2%18.4%28.3%28.3%23.2%
Put IV 25d28.6%22.5%30.6%22.5%27.4%
Bid-Ask Spread %60.7948.8376.3676.3653.08
Gamma HHI0.430.390.540.410.43
Net GEX242.7K170.0K398.3K196.9K265.5K
Net DEX-2.2M-3.6M-1.2M-2.5M-2.3M
Net VEX-22.8K-25.2K-21.0K-24.1K-22.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.004.310.110.67
Total Volume123.65335816010
Total OI4,287.33,8654,8754,0394,216

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-03-01$39.25$40.0025.5%7.3%32.7%26.0%25.5%-5.8%0.5%196.9K-2.5M-24.1K0.1176.36N/AN/A144163,178861
2024-03-04$39.52$40.0026.1%7.6%32.4%27.4%25.9%4.0%1.7%224.8K-3.1M-24.3K0.2162.46N/AN/A102213,276865
2024-03-05$38.02$40.0028.4%7.9%33.5%32.7%27.6%2.9%1.5%176.3K-1.6M-21.7K0.5662.32N/AN/A64363,357884
2024-03-06$37.60$40.0027.4%8.7%33.5%30.2%27.4%6.4%1.6%170.0K-1.2M-21.0K0.1071.20N/AN/A2023,495900
2024-03-07$38.56$40.0026.4%7.6%35.0%28.0%26.7%3.4%1.9%231.1K-1.9M-22.5K0.0053.97N/AN/A16603,496902
2024-03-08$38.42$40.0021.3%7.6%34.9%16.6%27.3%3.1%2.4%262.3K-1.8M-22.1K0.6861.10N/AN/A34233,649902
2024-03-11$38.64$40.0025.7%7.5%33.8%26.4%26.1%5.2%2.7%285.6K-2.0M-22.5K0.5360.65N/AN/A159843,655920
2024-03-12$38.38$40.0020.3%7.2%32.8%14.3%25.1%2.9%3.1%219.2K-1.4M-21.2K3.6057.47N/AN/A10363,674953
2024-03-13$39.20$40.0025.0%7.2%29.5%24.9%25.0%3.9%3.2%398.3K-2.5M-23.1K0.1765.59N/AN/A5293,680938
2024-03-14$38.62$40.0024.8%7.1%27.7%24.6%24.9%3.4%2.7%260.2K-1.8M-21.2K0.7667.47N/AN/A1431083,710943
2024-03-15$38.47$40.0024.4%7.0%27.3%23.7%23.0%6.2%3.3%186.5K-1.3M-21.8K4.3148.83N/AN/A261123,8311,044
2024-03-18$38.58$40.0023.8%6.8%26.8%22.2%23.8%4.1%4.0%195.8K-1.8M-21.9K0.0061.37N/AN/A20913,062803
2024-03-19$38.39$40.0023.0%6.6%25.9%20.5%23.1%4.2%3.9%206.0K-1.7M-21.5K0.0757.88N/AN/A6853,160802
2024-03-20$39.33$40.0022.8%6.5%25.3%20.1%22.8%5.3%3.6%255.7K-2.7M-23.2K0.0871.01N/AN/A10693,169804
2024-03-21$40.14$40.0024.1%6.9%25.2%23.0%24.2%9.7%3.8%273.2K-3.6M-25.2K0.0159.30N/AN/A35533,165804
2024-03-22$39.13$40.0023.5%6.7%27.0%21.5%23.5%2.6%4.2%251.7K-2.5M-23.7K0.4562.53N/AN/A168753,277829
2024-03-25$39.25$40.0025.5%7.3%27.0%26.0%25.5%7.1%3.2%251.6K-2.7M-23.7K0.0553.90N/AN/A8043,264863
2024-03-26$39.53$40.0024.5%7.0%26.6%23.9%0.0%8.8%3.9%285.7K-3.1M-24.8K0.0055.76N/AN/A033,344863
2024-03-27$38.80$40.0023.6%6.8%27.0%21.9%0.0%6.0%4.4%256.8K-2.2M-23.1K0.6753.65N/AN/A643,344864
2024-03-28$38.94$40.0023.7%6.8%27.0%22.0%24.2%4.2%3.9%265.5K-2.3M-22.8K0.6753.08N/AN/A643,350866