OTEX Options History — September 2024

In September 2024, OTEX traded between $31.29 and $33.63. ATM implied volatility averaged 24.4%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 4.5% (HV 20d: 19.9%). Max pain ranged from $30.00 to $32.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 2.60.

Notable Days

  • 2024-09-26: Highest Volume — 634 contracts
  • 2024-09-19: Largest IV drop — 10.9% change
  • 2024-09-09: Highest IV Rank — 33.4%
  • 2024-09-09: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.38$31.29$33.63$31.61$33.14
Max Pain$32.25$30.00$32.50$30.00$32.50
ATM IV24.4%21.5%26.1%25.7%25.7%
Expected Move7.0%6.2%7.8%7.4%7.4%
HV 20d19.9%16.3%26.2%26.2%18.0%
HV 60d26.5%25.8%27.3%27.3%26.4%
IV Rank22.8%10.1%33.4%32.3%23.0%
IV Percentile29.5%5.6%47.6%44.8%44.0%
Term Structure8.0%-0.6%12.0%-0.6%8.5%
VWIV23.9%20.9%28.7%28.7%25.7%
Skew 25d2.2%-1.9%7.2%-0.3%0.1%
Skew 10d2.0%-14.6%21.0%2.1%-11.3%
Call IV 25d23.5%20.5%28.6%28.6%22.9%
Put IV 25d25.8%19.8%28.8%28.3%23.0%
Bid-Ask Spread %79.3559.6398.8587.3860.33
Gamma HHI0.340.250.490.320.47
Net GEX140.7K47.8K236.6K83.9K224.3K
Net DEX-3.0M-4.5M-1.4M-1.7M-3.9M
Net VEX-27.7K-29.5K-25.2K-27.4K-27.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.600.0027.3627.364.20
Total Volume147.651634397234
Total OI8,891.47,02010,0519,0977,486

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-09-03$31.61$30.0025.7%7.4%26.2%32.3%28.7%-0.3%-0.6%83.9K-1.7M-27.4K27.3687.38N/AN/A143834,3764,721
2024-09-04$31.77$30.0025.0%7.2%26.2%30.4%26.7%-0.1%0.1%75.4K-1.7M-28.3K0.0659.63N/AN/A14694,3895,032
2024-09-05$31.76$32.5025.8%7.1%26.2%32.6%24.7%3.3%8.4%84.1K-2.1M-27.9K0.6770.67N/AN/A324,5205,023
2024-09-06$31.29$32.5024.7%7.2%22.9%29.7%0.0%7.2%8.1%47.8K-1.4M-29.5K0.0075.50N/AN/A104,5225,022
2024-09-09$31.74$32.5026.1%7.8%23.3%33.4%27.2%1.0%7.0%91.8K-2.0M-28.1K8.0077.58N/AN/A11884,5235,022
2024-09-10$31.96$32.5025.9%7.3%22.8%32.8%24.7%2.5%8.1%113.3K-2.6M-28.4K4.0073.25N/AN/A284,5334,986
2024-09-11$32.35$32.5025.3%7.3%19.9%31.3%0.0%2.8%7.6%141.2K-3.0M-27.5K1.0067.72N/AN/A554,5324,978
2024-09-12$32.28$32.5024.5%7.0%20.0%29.1%24.1%2.7%8.0%132.6K-2.8M-27.6K1.0886.66N/AN/A53574,5344,978
2024-09-13$32.11$32.5024.1%6.9%17.7%18.6%23.6%3.9%9.5%124.2K-2.6M-26.7K2.3478.15N/AN/A35824,5405,004
2024-09-16$32.09$32.5024.9%7.1%17.5%21.0%0.0%3.8%9.2%118.6K-2.5M-26.0K0.0082.96N/AN/A104,5695,046
2024-09-17$31.73$32.5023.6%6.8%17.4%16.9%23.6%1.7%9.9%97.4K-1.8M-25.2K0.1081.52N/AN/A425424,5705,046
2024-09-18$31.91$32.5024.1%6.9%16.3%18.3%23.2%3.1%10.3%145.1K-2.9M-28.0K0.1590.04N/AN/A3454,9235,085
2024-09-19$32.75$32.5021.5%6.2%18.4%10.1%20.9%4.5%8.3%217.9K-4.2M-28.5K0.1098.73N/AN/A7174,9295,087
2024-09-20$32.77$32.5022.3%6.4%18.0%12.7%22.3%4.0%7.1%216.2K-4.3M-28.3K0.0798.85N/AN/A2724,9645,087
2024-09-23$33.02$32.5022.9%6.6%16.3%14.3%22.0%2.8%12.0%150.8K-3.6M-27.1K0.7185.48N/AN/A14104,1322,888
2024-09-24$33.54$32.5023.6%6.8%17.0%16.5%22.7%1.3%9.6%172.8K-4.3M-28.1K1.7677.98N/AN/A17304,1432,888
2024-09-25$33.05$32.5023.1%6.6%17.8%15.0%23.1%-1.9%8.6%157.4K-3.5M-27.2K0.2590.23N/AN/A2054,1542,906
2024-09-26$33.63$32.5023.2%6.6%17.4%15.4%20.9%2.5%11.1%183.0K-4.5M-27.2K0.0281.51N/AN/A621134,1482,911
2024-09-27$33.17$32.5025.4%7.3%18.3%22.3%22.1%-0.0%8.7%236.6K-4.0M-29.0K0.1262.75N/AN/A422494,7202,911
2024-09-30$33.14$32.5025.7%7.4%18.0%23.0%25.7%0.1%8.5%224.3K-3.9M-27.7K4.2060.33N/AN/A451894,5692,917