OUSA Options History — February 2016

In February 2016, OUSA traded between $24.12 and $25.31. ATM implied volatility averaged 16.6%, placing in the 8.6% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 0.0% (HV 20d: 16.6%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.78.

Notable Days

2016-02-29: Highest Volume — 76 contracts
2016-02-05: Largest IV spike — 61.1% change
2016-02-12: Highest IV Rank — 12.6%
2016-02-05: Largest Expected Move — 7.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.73	$24.12	$25.31	$24.80	$25.02
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	16.6%	12.7%	24.8%	12.7%	13.8%
Expected Move	4.7%	3.6%	7.1%	3.6%	4.0%
HV 20d	16.6%	12.6%	19.4%	19.4%	12.6%
HV 60d	16.0%	15.7%	16.3%	15.8%	16.2%
IV Rank	8.6%	6.9%	12.6%	11.5%	7.6%
IV Percentile	23.9%	5.3%	68.5%	54.8%	8.8%
Term Structure	0.8%	-1.7%	3.3%	2.7%	1.4%
VWIV	15.7%	12.3%	20.9%	17.0%	14.1%
Skew 25d	4.6%	-2.4%	9.6%	6.3%	3.2%
Skew 10d	5.7%	0.9%	11.6%	3.1%	5.3%
Call IV 25d	14.6%	9.5%	20.2%	14.4%	13.2%
Put IV 25d	19.2%	11.0%	23.3%	20.7%	16.4%
Bid-Ask Spread %	109.77	94.43	120.08	118.74	118.48
Gamma HHI	0.50	0.34	0.80	0.34	0.62
Net GEX	-5.8K	-9.2K	-732	-5.9K	-6.4K
Net DEX	23.7K	-14.8K	59.0K	23.2K	12.5K
Net VEX	-290	-354	-212	-268	-313
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.78	0.90	3.47	1.57	3.47
Total Volume	48.15	32	76	36	76
Total OI	99.3	79	113	79	113

Daily Data (20 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
2016-02-01	$24.80	$25.00	12.7%	3.6%	19.4%	0.0%	17.0%	6.3%	2.7%	-5.9K	23.2K	-268	1.57	118.74	N/A	N/A	14	22	21	58
2016-02-02	$24.46	$25.00	17.2%	4.9%	19.2%	0.0%	16.2%	9.6%	3.3%	-6.6K	35.8K	-271	2.20	108.05	N/A	N/A	10	22	21	58
2016-02-03	$24.68	$25.00	12.7%	3.6%	19.3%	0.0%	17.3%	7.2%	3.0%	-6.3K	27.0K	-261	2.20	113.90	N/A	N/A	10	22	22	58
2016-02-04	$24.65	$25.00	15.4%	4.9%	18.9%	0.0%	17.1%	7.1%	-0.4%	-5.8K	27.0K	-262	2.20	99.94	N/A	N/A	10	22	22	58
2016-02-05	$24.39	$25.00	24.8%	7.1%	18.6%	0.0%	20.9%	2.5%	-1.1%	-5.3K	35.6K	-272	1.50	118.54	N/A	N/A	20	30	22	58
2016-02-08	$24.46	$25.00	22.1%	5.2%	18.0%	0.0%	14.3%	7.2%	-0.6%	-7.5K	36.0K	-309	1.50	112.14	N/A	N/A	20	30	32	66
2016-02-09	$24.36	$25.00	21.5%	5.9%	18.0%	0.0%	18.2%	6.3%	-0.4%	-6.1K	39.2K	-324	1.60	100.24	N/A	N/A	20	32	32	66
2016-02-10	$24.30	$25.00	20.5%	5.9%	18.0%	0.0%	18.5%	5.5%	-1.6%	-7.0K	45.9K	-336	1.60	100.86	N/A	N/A	20	32	32	71
2016-02-11	$24.12	$25.00	20.2%	5.8%	17.3%	11.5%	19.7%	1.2%	-0.6%	-8.3K	59.0K	-323	1.75	94.43	N/A	N/A	20	35	32	71
2016-02-12	$24.32	$25.00	21.9%	6.3%	17.0%	12.6%	13.5%	8.8%	-1.7%	-9.2K	55.9K	-354	1.75	102.41	N/A	N/A	20	35	32	81
2016-02-16	$24.58	$25.00	12.7%	3.6%	16.2%	6.9%	12.3%	8.3%	3.0%	-7.8K	33.9K	-332	1.40	107.53	N/A	N/A	20	28	32	81
2016-02-17	$24.93	$25.00	16.3%	4.7%	16.7%	9.1%	16.2%	5.5%	-0.3%	-2.2K	-5.1K	-231	1.33	108.54	N/A	N/A	21	28	32	78
2016-02-18	$24.97	$25.00	15.0%	4.3%	15.4%	8.3%	15.3%	5.2%	0.4%	-5.8K	2.4K	-272	1.33	108.51	N/A	N/A	21	28	30	78
2016-02-19	$24.90	$25.00	14.4%	4.1%	15.4%	8.0%	14.5%	-2.4%	0.2%	-3.3K	9.9K	-274	0.90	118.95	N/A	N/A	21	19	30	78
2016-02-22	$25.17	$25.00	12.7%	3.6%	15.0%	6.9%	12.7%	0.6%	3.2%	-732	-14.8K	-212	1.83	109.08	N/A	N/A	18	33	28	59
2016-02-23	$25.00	$25.00	15.0%	4.3%	14.7%	8.3%	15.0%	-1.2%	1.3%	-6.0K	21.8K	-329	1.83	113.34	N/A	N/A	18	33	28	79
2016-02-24	$25.07	$25.00	14.1%	4.0%	14.0%	7.8%	14.1%	1.8%	0.6%	-5.0K	16.7K	-270	1.83	113.14	N/A	N/A	18	33	28	79
2016-02-25	$25.31	$25.00	14.8%	4.2%	14.1%	8.2%	12.7%	7.9%	2.8%	-5.3K	3.6K	-269	1.83	108.48	N/A	N/A	18	33	28	82
2016-02-26	$25.16	$25.00	14.5%	4.2%	14.3%	8.0%	14.4%	1.1%	1.0%	-6.1K	8.4K	-308	2.00	120.08	N/A	N/A	17	34	28	82
2016-02-29	$25.02	$25.00	13.8%	4.0%	12.6%	7.6%	14.1%	3.2%	1.4%	-6.4K	12.5K	-313	3.47	118.48	N/A	N/A	17	59	30	83