OUSA Options History — April 2016

In April 2016, OUSA traded between $26.43 and $26.93. ATM implied volatility averaged 11.8%, placing in the 6.3% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 4.2% (HV 20d: 7.6%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 3.78.

Notable Days

2016-04-05: Highest Volume — 88 contracts
2016-04-13: Largest IV drop — 62.1% change
2016-04-12: Highest IV Rank — 12.8%
2016-04-05: Largest Expected Move — 3.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.64	$26.43	$26.93	$26.60	$26.54
Max Pain	$25.95	$25.00	$26.00	$25.00	$26.00
ATM IV	11.8%	8.4%	22.2%	10.7%	10.6%
Expected Move	2.8%	2.3%	3.7%	3.1%	3.0%
HV 20d	7.6%	6.7%	8.3%	6.7%	8.2%
HV 60d	11.3%	9.1%	13.5%	13.5%	9.1%
IV Rank	6.3%	4.3%	12.8%	5.6%	5.6%
IV Percentile	16.7%	1.8%	77.8%	4.4%	10.0%
Term Structure	0.5%	-2.0%	3.6%	-2.0%	-0.5%
VWIV	11.0%	8.1%	14.4%	13.5%	8.5%
Skew 25d	1.9%	-1.7%	5.7%	-0.9%	-1.4%
Skew 10d	4.2%	1.0%	7.7%	1.0%	5.6%
Call IV 25d	9.1%	7.5%	10.1%	10.1%	9.7%
Put IV 25d	11.0%	7.7%	15.3%	9.3%	8.3%
Bid-Ask Spread %	114.17	107.66	124.41	110.91	112.41
Gamma HHI	0.56	0.38	0.95	0.48	0.62
Net GEX	-11.2K	-15.2K	-5.4K	-11.4K	-13.3K
Net DEX	3.2K	-23.9K	21.7K	-23.9K	21.7K
Net VEX	-201	-266	-72	-108	-258
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.78	2.36	4.73	3.94	3.29
Total Volume	68.143	37	88	79	60
Total OI	123.619	65	166	158	90

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
2016-04-01	$26.60	$25.00	10.7%	3.1%	6.7%	5.6%	13.5%	-0.9%	-2.0%	-11.4K	-23.9K	-108	3.94	110.91	N/A	N/A	16	63	23	135
2016-04-04	$26.57	$26.00	11.9%	2.4%	6.8%	6.4%	10.2%	2.6%	0.2%	-11.8K	-14.4K	-197	3.94	112.34	N/A	N/A	16	63	24	135
2016-04-05	$26.43	$26.00	13.5%	3.7%	7.2%	7.4%	12.8%	3.3%	0.7%	-12.1K	-2.5K	-220	4.18	114.98	N/A	N/A	17	71	24	135
2016-04-06	$26.65	$26.00	14.3%	2.3%	7.4%	7.9%	12.7%	3.8%	1.3%	-13.6K	-9.1K	-126	4.73	115.47	N/A	N/A	15	71	20	145
2016-04-07	$26.44	$26.00	15.1%	3.0%	8.2%	8.4%	11.1%	3.2%	3.6%	-15.2K	14.9K	-245	4.73	115.07	N/A	N/A	15	71	20	145
2016-04-08	$26.49	$26.00	15.8%	3.5%	8.2%	8.8%	12.4%	3.3%	1.6%	-13.1K	12.1K	-253	4.73	112.62	N/A	N/A	15	71	21	145
2016-04-11	$26.48	$26.00	19.8%	3.6%	7.6%	11.3%	12.8%	3.4%	1.7%	-13.1K	11.3K	-241	4.73	111.48	N/A	N/A	15	71	21	145
2016-04-12	$26.68	$26.00	22.2%	2.3%	8.0%	12.8%	14.4%	5.7%	1.9%	-12.0K	6.6K	-227	4.40	109.98	N/A	N/A	15	66	21	145
2016-04-13	$26.71	$26.00	8.4%	2.4%	7.5%	4.3%	9.8%	1.9%	2.0%	-12.8K	550	-216	4.20	124.22	N/A	N/A	15	63	21	145
2016-04-14	$26.72	$26.00	8.6%	2.5%	7.3%	4.4%	8.1%	-1.3%	1.9%	-12.5K	-2.6K	-207	4.20	124.41	N/A	N/A	15	63	21	145
2016-04-15	$26.66	$26.00	8.7%	2.5%	6.8%	4.4%	10.2%	1.7%	1.1%	-8.1K	3.2K	-206	4.20	117.59	N/A	N/A	15	63	20	145
2016-04-18	$26.88	$26.00	10.0%	2.9%	7.3%	5.3%	11.7%	4.4%	2.7%	-5.5K	-14.8K	-85	2.36	112.21	N/A	N/A	11	26	13	52
2016-04-19	$26.93	$26.00	9.8%	2.8%	7.3%	5.1%	12.3%	3.2%	-0.0%	-5.4K	-21.4K	-72	2.36	116.84	N/A	N/A	11	26	13	52
2016-04-20	$26.81	$26.00	8.8%	2.5%	7.4%	4.5%	9.1%	-0.7%	-0.6%	-6.9K	1.4K	-186	2.36	107.66	N/A	N/A	11	26	13	52
2016-04-21	$26.59	$26.00	9.8%	2.8%	8.1%	5.1%	9.8%	0.7%	0.4%	-7.8K	10.1K	-204	3.54	111.88	N/A	N/A	13	46	13	52
2016-04-22	$26.62	$26.00	9.6%	2.8%	8.0%	5.0%	8.6%	-0.5%	-0.8%	-12.9K	19.9K	-258	3.54	117.17	N/A	N/A	13	46	17	72
2016-04-25	$26.59	$26.00	9.7%	2.8%	8.1%	5.0%	11.3%	2.8%	-0.5%	-13.0K	20.9K	-255	3.54	112.63	N/A	N/A	13	46	17	72
2016-04-26	$26.62	$26.00	9.4%	2.7%	7.4%	4.9%	10.8%	1.1%	-1.0%	-12.9K	17.9K	-249	3.54	114.40	N/A	N/A	13	46	17	72
2016-04-27	$26.80	$26.00	10.8%	3.1%	7.7%	5.7%	12.0%	5.3%	-1.2%	-9.9K	-5.5K	-141	3.54	113.09	N/A	N/A	13	46	17	72
2016-04-28	$26.58	$26.00	9.5%	2.7%	8.3%	4.9%	8.9%	-1.7%	-1.9%	-12.4K	20.5K	-266	3.29	110.17	N/A	N/A	14	46	17	72
2016-04-29	$26.54	$26.00	10.6%	3.0%	8.2%	5.6%	8.5%	-1.4%	-0.5%	-13.3K	21.7K	-258	3.29	112.41	N/A	N/A	14	46	18	72