OUSA Options History — January 2016

Name: OUSA Options Analytics - January 2016
Creator: Options Analysis Suite

In January 2016, OUSA traded between $23.48 and $24.89. ATM implied volatility averaged 19.6%. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 2.6% (HV 20d: 17.1%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 1.93.

Notable Days

2016-01-14: Highest Volume — 49 contracts
2016-01-13: Largest IV drop — 30.9% change
2016-01-11: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.12	$23.48	$24.89	$24.70	$24.74
Max Pain	$24.78	$24.00	$25.00	$24.00	$25.00
ATM IV	19.6%	14.4%	27.0%	19.4%	14.4%
Expected Move	5.2%	4.1%	6.1%	4.3%	4.1%
HV 20d	17.1%	15.8%	19.6%	16.9%	19.6%
HV 60d	14.3%	13.1%	15.8%	13.2%	15.8%
Term Structure	-0.2%	-2.2%	3.2%	-0.6%	3.2%
VWIV	16.8%	13.5%	20.7%	20.4%	16.2%
Skew 25d	5.2%	-0.1%	11.2%	3.6%	4.1%
Skew 10d	5.2%	1.0%	10.2%	3.9%	3.8%
Call IV 25d	15.0%	12.2%	21.2%	14.3%	13.1%
Put IV 25d	20.2%	16.2%	24.6%	17.9%	17.2%
Bid-Ask Spread %	106.76	90.08	120.06	98.64	112.68
Gamma HHI	0.43	0.33	0.85	0.85	0.35
Net GEX	-4.3K	-7.0K	-1.2K	-2.3K	-7.0K
Net DEX	41.9K	7.4K	77.2K	7.4K	24.0K
Net VEX	-199	-284	-24	-24	-270
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.93	1.06	5.00	5.00	1.57
Total Volume	32.947	0	49	24	0
Total OI	59.263	14	81	14	79

Daily Data (19 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
2016-01-04	$24.70	$0.00	19.4%	4.3%	16.9%	0.0%	20.4%	3.6%	-0.6%	-2.3K	7.4K	-24	5.00	98.64	N/A	N/A	4	20	4	10
2016-01-05	$24.89	$24.00	18.0%	4.2%	15.8%	0.0%	17.2%	4.8%	0.6%	-3.8K	12.7K	-55	2.86	108.05	N/A	N/A	7	20	4	20
2016-01-06	$24.63	$24.00	17.0%	4.4%	16.2%	0.0%	17.3%	2.9%	0.5%	-4.1K	13.4K	-69	2.86	111.21	N/A	N/A	7	20	7	20
2016-01-07	$24.28	$24.00	22.1%	5.0%	16.8%	0.0%	17.0%	4.3%	0.3%	-2.5K	20.2K	-64	1.67	91.01	N/A	N/A	12	20	7	20
2016-01-08	$23.97	$24.00	23.9%	5.9%	17.2%	0.0%	20.7%	-0.1%	-2.1%	-1.2K	18.7K	-84	1.06	90.08	N/A	N/A	16	17	12	20
2016-01-11	$24.08	$25.00	27.0%	6.1%	17.3%	0.0%	16.8%	11.2%	-2.2%	-1.4K	17.6K	-142	1.50	114.86	N/A	N/A	16	24	20	27
2016-01-12	$24.17	$25.00	24.3%	4.8%	16.6%	0.0%	13.5%	5.8%	-0.5%	-2.6K	39.0K	-184	1.50	105.23	N/A	N/A	16	24	20	38
2016-01-13	$23.81	$25.00	16.8%	4.8%	16.9%	0.0%	15.7%	5.6%	-0.3%	-2.9K	41.9K	-174	1.44	117.33	N/A	N/A	16	23	20	38
2016-01-14	$24.12	$25.00	19.0%	5.4%	17.2%	0.0%	14.9%	10.6%	-1.3%	-3.8K	52.5K	-225	2.06	108.37	N/A	N/A	16	33	20	49
2016-01-15	$23.74	$25.00	19.8%	5.7%	16.7%	0.0%	17.2%	6.9%	-1.5%	-4.5K	77.2K	-258	1.88	102.50	N/A	N/A	16	30	20	61
2016-01-19	$23.85	$25.00	18.9%	5.4%	16.6%	0.0%	15.5%	7.5%	-0.7%	-5.7K	61.4K	-283	1.54	100.16	N/A	N/A	13	20	17	58
2016-01-20	$23.48	$25.00	21.2%	6.1%	16.6%	0.0%	15.7%	6.8%	-0.3%	-4.8K	69.5K	-278	1.54	120.06	N/A	N/A	13	20	17	58
2016-01-21	$23.66	$25.00	18.5%	5.3%	17.0%	0.0%	17.3%	5.5%	0.8%	-5.3K	69.1K	-273	1.54	104.35	N/A	N/A	13	20	17	58
2016-01-22	$24.02	$25.00	18.9%	5.4%	17.2%	0.0%	15.5%	8.9%	-1.3%	-6.2K	57.6K	-277	1.82	102.42	N/A	N/A	11	20	17	58
2016-01-25	$23.79	$25.00	18.7%	5.4%	16.6%	0.0%	16.8%	0.2%	-0.2%	-5.6K	61.4K	-277	1.82	109.57	N/A	N/A	11	20	18	58
2016-01-26	$24.14	$25.00	18.5%	5.3%	17.8%	0.0%	16.9%	4.0%	0.8%	-6.6K	51.1K	-281	1.57	109.89	N/A	N/A	14	22	18	58
2016-01-27	$24.05	$25.00	19.6%	5.6%	17.8%	0.0%	18.0%	3.0%	-0.8%	-6.0K	52.1K	-284	1.57	111.15	N/A	N/A	14	22	21	58
2016-01-28	$24.22	$25.00	17.5%	5.0%	17.7%	0.0%	16.2%	2.7%	1.9%	-6.2K	48.3K	-281	1.57	110.91	N/A	N/A	14	22	21	58
2016-01-29	$24.74	$25.00	14.4%	4.1%	19.6%	0.0%	0.0%	4.1%	3.2%	-7.0K	24.0K	-270	0.00	112.68	N/A	N/A	0	0	21	58