OUSA Options History — September 2015

Name: OUSA Options Analytics - September 2015
Creator: Options Analysis Suite

In September 2015, OUSA traded between $22.86 and $23.84. ATM implied volatility averaged 22.0%. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 2.1% (HV 20d: 24.1%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 3.57.

Notable Days

2015-09-01: Highest Volume — 64 contracts
2015-09-17: Largest IV spike — 51.5% change
2015-09-02: Largest Expected Move — 7.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.32	$22.86	$23.84	$22.86	$23.34
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	22.0%	16.8%	26.6%	26.5%	25.3%
Expected Move	6.1%	4.8%	7.6%	7.6%	7.3%
HV 20d	24.1%	17.2%	26.9%	26.9%	17.2%
Term Structure	-1.6%	-6.8%	0.7%	-2.9%	-6.8%
VWIV	22.8%	18.7%	29.3%	20.3%	25.1%
Skew 25d	5.6%	-0.4%	10.1%	4.5%	4.6%
Skew 10d	6.6%	3.3%	8.6%	8.1%	5.6%
Call IV 25d	20.2%	16.7%	27.5%	25.5%	22.5%
Put IV 25d	25.8%	22.0%	33.0%	30.0%	27.1%
Bid-Ask Spread %	124.78	119.62	139.62	124.26	125.10
Gamma HHI	0.55	0.50	0.63	0.57	0.51
Net GEX	-1.6K	-3.3K	-221	-1.6K	-591
Net DEX	91.4K	69.2K	102.0K	91.7K	98.5K
Net VEX	-120	-174	-68	-130	-81
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.57	3.57	3.57	3.57	3.57
Total Volume	57.905	0	64	64	64
Total OI	64	64	64	64	64

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2015-09-01	$22.86	$0.00	26.5%	7.6%	0.0%	0.0%	0.0%	4.5%	-2.9%	-1.6K	91.7K	-130	3.57	124.26	N/A	N/A	14	50	14	50
2015-09-02	$23.21	$0.00	26.6%	7.6%	26.9%	0.0%	0.0%	3.6%	-2.6%	-2.0K	86.0K	-163	3.57	122.43	N/A	N/A	14	50	14	50
2015-09-03	$23.40	$25.00	25.0%	5.8%	26.5%	0.0%	20.3%	9.5%	0.7%	-2.2K	85.8K	-164	3.57	119.62	N/A	N/A	14	50	14	50
2015-09-04	$23.11	$25.00	25.1%	5.9%	25.8%	0.0%	18.7%	9.6%	-1.9%	-1.5K	93.2K	-129	3.57	120.00	N/A	N/A	14	50	14	50
2015-09-08	$23.54	$25.00	24.7%	5.0%	26.5%	0.0%	0.0%	5.7%	-1.3%	-2.5K	84.5K	-159	0.00	124.85	N/A	N/A	0	0	14	50
2015-09-09	$23.19	$25.00	20.5%	5.9%	26.1%	0.0%	23.0%	-0.4%	0.7%	-1.8K	90.3K	-133	3.57	119.88	N/A	N/A	14	50	14	50
2015-09-10	$23.24	$25.00	19.5%	5.6%	25.5%	0.0%	19.4%	10.1%	0.2%	-1.2K	94.8K	-121	3.57	121.79	N/A	N/A	14	50	14	50
2015-09-11	$23.35	$25.00	22.0%	6.3%	25.6%	0.0%	19.3%	8.0%	-4.1%	-2.0K	86.4K	-144	3.57	120.85	N/A	N/A	14	50	14	50
2015-09-14	$23.33	$25.00	19.8%	5.7%	25.6%	0.0%	19.5%	4.3%	-0.3%	-973	97.8K	-104	3.57	124.22	N/A	N/A	14	50	14	50
2015-09-15	$23.56	$25.00	17.8%	5.1%	25.9%	0.0%	0.0%	5.5%	-1.2%	-2.5K	87.2K	-135	0.00	126.05	N/A	N/A	0	0	14	50
2015-09-16	$23.76	$25.00	16.8%	4.8%	26.2%	0.0%	19.5%	5.2%	-1.2%	-3.1K	83.0K	-145	3.57	126.18	N/A	N/A	14	50	14	50
2015-09-17	$23.84	$25.00	25.5%	7.3%	26.3%	0.0%	29.3%	5.5%	-2.2%	-3.3K	69.2K	-174	3.57	139.62	N/A	N/A	14	50	14	50
2015-09-18	$23.48	$25.00	19.6%	5.6%	26.3%	0.0%	21.5%	5.7%	-2.0%	-2.1K	90.4K	-119	3.57	125.72	N/A	N/A	14	50	14	50
2015-09-21	$23.59	$25.00	18.3%	5.2%	24.9%	0.0%	21.9%	5.8%	-0.7%	-2.3K	89.7K	-115	3.57	125.91	N/A	N/A	14	50	14	50
2015-09-22	$23.21	$25.00	20.0%	5.7%	22.7%	0.0%	23.9%	5.5%	-0.8%	-1.0K	96.6K	-93	3.57	126.24	N/A	N/A	14	50	14	50
2015-09-23	$23.28	$25.00	19.8%	5.7%	22.2%	0.0%	23.6%	6.1%	-1.0%	-1.1K	97.3K	-87	3.57	127.16	N/A	N/A	14	50	14	50
2015-09-24	$23.12	$25.00	21.1%	6.0%	21.1%	0.0%	23.0%	2.1%	-1.5%	-221	101.7K	-76	3.57	124.94	N/A	N/A	14	50	14	50
2015-09-25	$23.31	$25.00	20.1%	5.8%	20.0%	0.0%	23.9%	5.3%	-0.8%	-1.1K	95.9K	-91	3.57	126.27	N/A	N/A	14	50	14	50
2015-09-28	$22.95	$25.00	24.4%	7.0%	20.7%	0.0%	27.4%	3.6%	-4.1%	-315	102.0K	-68	3.57	123.65	N/A	N/A	14	50	14	50
2015-09-29	$23.11	$25.00	24.4%	7.0%	20.9%	0.0%	28.2%	7.1%	-0.7%	-894	97.6K	-81	3.57	125.54	N/A	N/A	14	50	14	50
2015-09-30	$23.34	$25.00	25.3%	7.3%	17.2%	0.0%	25.1%	4.6%	-6.8%	-591	98.5K	-81	3.57	125.10	N/A	N/A	14	50	14	50