OUSA Options History — March 2016

In March 2016, OUSA traded between $25.32 and $26.54. ATM implied volatility averaged 11.9%, placing in the 6.4% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 2.3% (HV 20d: 9.6%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 5.19.

Notable Days

2016-03-22: Highest Volume — 80 contracts
2016-03-07: Largest IV spike — 21.1% change
2016-03-02: Highest IV Rank — 8.9%
2016-03-02: Largest Expected Move — 4.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.99	$25.32	$26.54	$25.32	$26.49
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	11.9%	9.2%	15.9%	13.3%	12.1%
Expected Move	3.2%	2.6%	4.5%	3.8%	3.5%
HV 20d	9.6%	6.6%	13.2%	13.2%	6.7%
HV 60d	14.9%	13.5%	16.3%	16.3%	13.5%
IV Rank	6.4%	4.7%	8.9%	7.3%	6.5%
IV Percentile	7.6%	2.0%	30.9%	8.7%	11.3%
Term Structure	1.3%	-4.0%	4.1%	4.1%	-1.1%
VWIV	13.4%	9.0%	16.1%	14.7%	13.2%
Skew 25d	3.8%	-0.2%	8.1%	6.8%	2.5%
Skew 10d	6.8%	-1.3%	16.9%	12.5%	-1.3%
Call IV 25d	11.0%	9.3%	14.4%	13.6%	10.7%
Put IV 25d	14.8%	10.3%	20.6%	20.4%	13.2%
Bid-Ask Spread %	116.22	108.66	122.89	112.18	110.72
Gamma HHI	0.71	0.38	0.99	0.85	0.38
Net GEX	-9.7K	-13.4K	-2.5K	-9.5K	-12.5K
Net DEX	-1.7K	-28.5K	23.9K	23.9K	-3.8K
Net VEX	-240	-384	-117	-384	-228
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.19	3.47	7.00	3.47	4.20
Total Volume	71.273	66	80	76	78
Total OI	139.682	126	158	138	158

Daily Data (22 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
2016-03-01	$25.32	$25.00	13.3%	3.8%	13.2%	7.3%	14.7%	6.8%	4.1%	-9.5K	23.9K	-384	3.47	112.18	N/A	N/A	17	59	30	108
2016-03-02	$25.45	$25.00	15.9%	4.5%	12.0%	8.9%	15.9%	6.2%	-4.0%	-10.3K	10.4K	-352	5.60	115.59	N/A	N/A	10	56	30	108
2016-03-03	$25.54	$25.00	14.8%	2.8%	11.8%	8.2%	12.7%	4.6%	2.9%	-11.9K	4.4K	-316	5.60	113.42	N/A	N/A	10	56	28	110
2016-03-04	$25.62	$25.00	11.7%	2.8%	11.7%	6.3%	13.7%	4.9%	2.5%	-11.3K	-2.3K	-299	4.67	113.79	N/A	N/A	12	56	28	110
2016-03-07	$25.70	$25.00	14.2%	2.9%	10.7%	7.8%	14.3%	4.7%	3.5%	-9.9K	8.5K	-315	5.00	116.34	N/A	N/A	12	60	25	110
2016-03-08	$25.62	$25.00	13.1%	3.2%	10.9%	7.1%	15.6%	5.3%	3.5%	-10.5K	21.9K	-346	4.83	113.59	N/A	N/A	12	58	25	114
2016-03-09	$25.71	$25.00	12.8%	3.7%	10.7%	7.0%	16.1%	3.8%	0.8%	-9.9K	22.9K	-321	4.83	111.39	N/A	N/A	12	58	23	114
2016-03-10	$25.74	$25.00	13.0%	3.7%	10.5%	7.1%	14.4%	2.1%	-0.2%	-12.6K	7.5K	-265	5.27	108.66	N/A	N/A	11	58	23	114
2016-03-11	$25.98	$25.00	11.9%	3.4%	10.0%	6.4%	15.9%	5.0%	1.2%	-11.1K	-10.3K	-216	5.27	115.86	N/A	N/A	11	58	23	114
2016-03-14	$26.01	$25.00	11.6%	3.3%	9.9%	6.2%	12.2%	0.9%	1.5%	-11.6K	-24.5K	-174	5.27	119.03	N/A	N/A	11	58	25	114
2016-03-15	$25.86	$25.00	11.9%	3.4%	10.0%	6.4%	13.1%	1.5%	0.9%	-9.5K	-7.2K	-240	5.80	117.06	N/A	N/A	10	58	25	114
2016-03-16	$26.04	$25.00	11.6%	3.3%	9.2%	6.2%	12.1%	1.2%	1.4%	-10.2K	-7.2K	-190	5.80	118.49	N/A	N/A	10	58	19	114
2016-03-17	$26.27	$25.00	10.0%	2.9%	9.5%	5.2%	9.0%	7.2%	3.9%	-2.5K	-21.6K	-129	5.80	114.30	N/A	N/A	10	58	19	114
2016-03-18	$26.33	$25.00	11.4%	3.3%	9.3%	6.1%	10.3%	2.2%	2.2%	-4.5K	-28.5K	-117	5.27	117.42	N/A	N/A	11	58	20	114
2016-03-21	$26.33	$25.00	10.7%	3.1%	8.8%	5.7%	13.7%	3.6%	3.1%	-7.1K	-16.1K	-161	5.60	120.08	N/A	N/A	10	56	19	107
2016-03-22	$26.24	$25.00	9.2%	2.6%	8.4%	4.7%	14.0%	1.2%	0.9%	-7.1K	-12.6K	-172	7.00	122.28	N/A	N/A	10	70	19	107
2016-03-23	$26.20	$25.00	9.4%	2.7%	8.5%	4.9%	12.5%	-0.2%	0.3%	-10.8K	5.2K	-231	6.10	122.89	N/A	N/A	10	61	19	121
2016-03-24	$26.20	$25.00	10.2%	2.9%	8.1%	5.4%	11.2%	7.2%	1.8%	-7.3K	900	-193	6.10	118.53	N/A	N/A	10	61	19	126
2016-03-28	$26.22	$25.00	11.4%	3.3%	7.6%	6.1%	11.8%	8.1%	0.5%	-7.5K	4.3K	-193	4.20	117.67	N/A	N/A	15	63	19	128
2016-03-29	$26.46	$25.00	10.8%	3.1%	7.4%	5.8%	14.0%	2.3%	-0.2%	-13.4K	-5.1K	-219	4.20	117.67	N/A	N/A	15	63	23	135
2016-03-30	$26.54	$25.00	11.0%	3.1%	6.6%	5.8%	15.3%	3.3%	-1.5%	-12.4K	-7.4K	-218	4.20	119.89	N/A	N/A	15	63	23	135
2016-03-31	$26.49	$25.00	12.1%	3.5%	6.7%	6.5%	13.2%	2.5%	-1.1%	-12.5K	-3.8K	-228	4.20	110.72	N/A	N/A	15	63	23	135