OUSA Options History — May 2016

In May 2016, OUSA traded between $26.30 and $26.96. ATM implied volatility averaged 10.8%, placing in the 5.7% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 1.5% (HV 20d: 9.3%). Max pain ranged from $26.00 to $27.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 3.07.

Notable Days

2016-05-13: Highest Volume — 95 contracts
2016-05-12: Largest IV spike — 25.7% change
2016-05-20: Highest IV Rank — 7.2%
2016-05-20: Largest Expected Move — 3.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.66	$26.30	$26.96	$26.71	$26.83
Max Pain	$26.86	$26.00	$27.00	$26.00	$27.00
ATM IV	10.8%	8.6%	13.2%	11.3%	10.1%
Expected Move	2.9%	2.5%	3.8%	3.2%	2.9%
HV 20d	9.3%	7.3%	11.1%	8.5%	10.4%
HV 60d	8.7%	8.3%	9.1%	9.1%	8.6%
IV Rank	5.7%	4.4%	7.2%	6.0%	5.3%
IV Percentile	13.4%	2.1%	30.3%	13.8%	11.4%
Term Structure	0.6%	-3.4%	3.8%	-0.6%	-3.4%
VWIV	11.5%	9.6%	14.2%	10.3%	11.3%
Skew 25d	2.5%	0.9%	4.0%	1.9%	0.9%
Skew 10d	3.1%	0.9%	7.4%	5.6%	2.7%
Call IV 25d	9.9%	8.7%	12.1%	8.7%	12.1%
Put IV 25d	12.4%	10.5%	14.6%	10.7%	13.0%
Bid-Ask Spread %	120.46	110.77	130.06	110.77	124.49
Gamma HHI	0.58	0.48	0.76	0.54	0.59
Net GEX	-14.4K	-28.5K	-7.6K	-12.7K	-16.1K
Net DEX	10.9K	-23.7K	45.8K	7.0K	708
Net VEX	-239	-323	-112	-205	-237
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.07	2.39	4.00	3.29	3.39
Total Volume	75.143	60	95	60	79
Total OI	105.476	90	125	90	115

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
2016-05-02	$26.71	$26.00	11.3%	3.2%	8.5%	6.0%	10.3%	1.9%	-0.6%	-12.7K	7.0K	-205	3.29	110.77	N/A	N/A	14	46	18	72
2016-05-03	$26.60	$26.00	10.8%	3.1%	8.4%	5.8%	12.9%	3.1%	-1.1%	-12.7K	11.6K	-211	2.42	111.89	N/A	N/A	19	46	18	72
2016-05-04	$26.57	$26.00	11.7%	3.3%	7.9%	6.3%	14.2%	3.9%	-2.2%	-12.6K	6.6K	-256	2.42	114.14	N/A	N/A	19	46	23	72
2016-05-05	$26.53	$27.00	11.9%	2.7%	7.3%	6.4%	11.8%	4.0%	-0.6%	-12.8K	11.6K	-261	2.42	119.12	N/A	N/A	19	46	23	72
2016-05-06	$26.65	$27.00	12.0%	2.6%	7.5%	6.5%	10.9%	2.8%	0.8%	-12.6K	7.8K	-226	2.42	118.44	N/A	N/A	19	46	23	72
2016-05-09	$26.70	$27.00	13.0%	2.6%	7.5%	7.1%	11.4%	4.0%	1.9%	-10.6K	-3.7K	-142	2.42	120.54	N/A	N/A	19	46	23	72
2016-05-10	$26.96	$27.00	11.6%	2.9%	7.8%	6.2%	12.3%	3.4%	2.1%	-7.6K	-23.7K	-112	2.42	121.59	N/A	N/A	19	46	23	72
2016-05-11	$26.78	$27.00	8.6%	2.5%	8.2%	4.4%	9.7%	1.4%	0.1%	-11.7K	-2.9K	-208	2.42	124.28	N/A	N/A	19	46	23	72
2016-05-12	$26.90	$27.00	10.9%	3.1%	8.3%	5.8%	12.5%	2.2%	3.0%	-8.4K	-17.9K	-127	2.42	119.34	N/A	N/A	19	46	23	72
2016-05-13	$26.62	$27.00	8.7%	2.5%	9.2%	4.4%	9.6%	1.8%	2.4%	-13.2K	7.7K	-219	4.00	123.40	N/A	N/A	19	76	23	72
2016-05-16	$26.83	$27.00	10.3%	3.0%	9.1%	5.5%	12.7%	3.0%	2.7%	-17.0K	-3.7K	-218	4.00	120.25	N/A	N/A	19	76	23	102
2016-05-17	$26.74	$27.00	9.8%	2.8%	9.2%	5.1%	10.6%	1.1%	1.3%	-16.1K	24.2K	-308	4.00	124.59	N/A	N/A	19	76	23	102
2016-05-18	$26.30	$27.00	11.9%	3.4%	10.7%	6.4%	11.0%	3.2%	1.4%	-27.1K	45.8K	-314	4.00	118.85	N/A	N/A	19	76	23	102
2016-05-19	$26.32	$27.00	11.5%	3.3%	10.4%	6.2%	11.7%	2.9%	3.8%	-28.5K	42.3K	-281	4.00	111.77	N/A	N/A	19	76	23	102
2016-05-20	$26.37	$27.00	13.2%	3.8%	10.4%	7.2%	12.2%	3.7%	1.5%	-11.6K	24.6K	-290	2.53	118.73	N/A	N/A	19	48	23	102
2016-05-23	$26.37	$27.00	11.1%	3.2%	10.4%	5.9%	11.4%	2.6%	1.6%	-12.9K	28.1K	-267	2.39	123.70	N/A	N/A	18	43	22	73
2016-05-24	$26.65	$27.00	10.3%	3.0%	11.1%	5.4%	12.0%	1.7%	0.4%	-13.4K	8.0K	-222	3.39	122.54	N/A	N/A	18	61	22	73
2016-05-25	$26.78	$27.00	8.7%	2.5%	11.0%	4.4%	10.5%	2.1%	-0.1%	-15.8K	25.2K	-296	3.39	122.10	N/A	N/A	18	61	22	93
2016-05-26	$26.81	$27.00	9.4%	2.7%	10.6%	4.9%	11.1%	1.6%	-0.8%	-15.2K	12.8K	-297	3.39	130.06	N/A	N/A	18	61	22	93
2016-05-27	$26.87	$27.00	9.1%	2.6%	10.6%	4.7%	11.1%	1.8%	-0.9%	-14.4K	17.3K	-323	3.39	129.09	N/A	N/A	18	61	22	93
2016-05-31	$26.83	$27.00	10.1%	2.9%	10.4%	5.3%	11.3%	0.9%	-3.4%	-16.1K	708	-237	3.39	124.49	N/A	N/A	18	61	22	93