OUSA Options History — June 2016

In June 2016, OUSA traded between $26.60 and $27.67. ATM implied volatility averaged 12.9%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 4.0% (HV 20d: 8.9%). Max pain ranged from $26.00 to $27.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.79.

Notable Days

2016-06-30: Highest Volume — 184 contracts
2016-06-30: Largest IV drop — 34.7% change
2016-06-27: Highest IV Rank — 10.8%
2016-06-27: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.09	$26.60	$27.67	$26.86	$27.67
Max Pain	$26.05	$26.00	$27.00	$27.00	$26.00
ATM IV	12.9%	9.7%	19.0%	9.9%	11.9%
Expected Move	3.6%	2.7%	5.4%	2.8%	3.4%
HV 20d	8.9%	5.5%	12.6%	10.2%	12.6%
HV 60d	8.7%	8.2%	10.3%	8.6%	10.3%
IV Rank	7.0%	5.0%	10.8%	5.2%	6.4%
IV Percentile	31.8%	8.2%	68.2%	10.4%	26.9%
Term Structure	17.6%	-5.3%	76.0%	-2.4%	-0.8%
VWIV	12.7%	8.5%	19.4%	12.0%	13.1%
Skew 25d	3.3%	-2.9%	11.6%	1.8%	2.1%
Skew 10d	5.5%	-4.3%	19.0%	3.0%	6.7%
Call IV 25d	10.3%	5.4%	18.0%	11.7%	8.7%
Put IV 25d	13.7%	9.8%	20.2%	13.5%	10.8%
Bid-Ask Spread %	110.25	97.16	126.12	126.12	115.21
Gamma HHI	0.51	0.37	0.66	0.57	0.37
Net GEX	-9.6K	-33.2K	7.5K	-15.7K	7.5K
Net DEX	-49.1K	-137.8K	5.5K	3.3K	-137.8K
Net VEX	-254	-384	-58	-250	-362
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.79	0.60	3.39	3.39	0.96
Total Volume	97.955	79	184	79	184
Total OI	140.091	115	183	115	183

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
2016-06-01	$26.86	$27.00	9.9%	2.8%	10.2%	5.2%	12.0%	1.8%	-2.4%	-15.7K	3.3K	-250	3.39	126.12	N/A	N/A	18	61	22	93
2016-06-02	$26.88	$26.00	10.2%	2.9%	10.2%	5.4%	11.7%	2.8%	16.6%	-15.3K	5.5K	-244	3.39	119.10	N/A	N/A	18	61	22	93
2016-06-03	$27.02	$26.00	11.3%	2.7%	10.3%	6.0%	10.3%	0.9%	1.9%	-18.4K	-24.3K	-99	3.39	115.38	N/A	N/A	18	61	22	93
2016-06-06	$27.08	$26.00	11.7%	2.7%	10.2%	6.3%	11.2%	5.4%	4.6%	-14.4K	-19.1K	-136	3.39	112.39	N/A	N/A	18	61	22	93
2016-06-07	$27.18	$26.00	11.7%	2.7%	10.3%	6.3%	10.8%	5.2%	7.4%	-15.2K	-32.7K	-100	3.39	112.02	N/A	N/A	18	61	22	93
2016-06-08	$27.26	$26.00	9.7%	2.8%	9.8%	5.0%	9.2%	11.6%	0.9%	-4.6K	-37.2K	-60	3.39	111.31	N/A	N/A	18	61	22	93
2016-06-09	$27.30	$26.00	10.0%	2.9%	9.4%	5.2%	9.5%	11.3%	0.9%	-3.8K	-38.4K	-58	3.39	103.81	N/A	N/A	18	61	22	93
2016-06-10	$27.20	$26.00	10.9%	3.1%	9.4%	5.8%	8.5%	3.9%	74.7%	-16.3K	-35.2K	-85	3.39	100.97	N/A	N/A	18	61	22	93
2016-06-13	$27.03	$26.00	13.7%	3.9%	8.9%	7.5%	11.1%	3.8%	4.9%	-13.8K	-7.5K	-173	1.42	104.67	N/A	N/A	43	61	22	93
2016-06-14	$27.01	$26.00	13.3%	3.8%	8.5%	7.2%	14.3%	4.7%	70.9%	-18.1K	-48.0K	-288	1.08	99.28	N/A	N/A	49	53	47	93
2016-06-15	$26.88	$26.00	13.2%	3.8%	8.6%	7.2%	12.2%	-2.0%	73.6%	-12.5K	-38.2K	-373	1.02	114.67	N/A	N/A	52	53	52	95
2016-06-16	$27.03	$26.00	11.9%	3.4%	6.1%	6.4%	14.4%	-2.9%	76.0%	-10.6K	-59.9K	-339	1.13	97.16	N/A	N/A	47	53	55	95
2016-06-17	$26.97	$26.00	12.4%	3.5%	6.2%	6.7%	11.1%	-1.0%	72.0%	-33.2K	-53.1K	-324	1.10	112.80	N/A	N/A	48	53	62	105
2016-06-20	$27.13	$26.00	12.9%	3.7%	6.4%	7.0%	12.9%	2.6%	-0.5%	-633	-79.0K	-349	0.60	116.73	N/A	N/A	55	33	62	85
2016-06-21	$27.22	$26.00	13.9%	4.0%	6.4%	7.7%	12.4%	1.3%	-0.8%	579	-100.7K	-353	0.60	110.03	N/A	N/A	55	33	72	85
2016-06-22	$27.18	$26.00	14.2%	4.1%	5.5%	7.8%	13.1%	1.7%	-1.2%	2.5K	-96.3K	-375	0.78	108.37	N/A	N/A	55	43	72	85
2016-06-23	$27.39	$26.00	13.3%	3.8%	5.9%	7.3%	12.6%	4.3%	1.5%	-799	-94.3K	-384	0.78	114.26	N/A	N/A	55	43	72	95
2016-06-24	$26.93	$26.00	14.7%	4.2%	8.7%	8.1%	16.0%	4.7%	-0.5%	-9.7K	-42.2K	-258	0.68	112.53	N/A	N/A	63	43	55	95
2016-06-27	$26.60	$26.00	19.0%	5.4%	9.7%	10.8%	19.4%	2.1%	-5.1%	-8.6K	-11.7K	-378	0.77	105.67	N/A	N/A	56	43	63	95
2016-06-28	$26.89	$26.00	15.0%	4.3%	10.5%	8.3%	16.2%	4.9%	-1.7%	-7.6K	-45.7K	-294	0.61	105.77	N/A	N/A	75	46	60	95
2016-06-29	$27.25	$26.00	18.3%	5.2%	11.5%	10.3%	17.4%	4.3%	-5.3%	-2.2K	-87.4K	-313	0.63	107.15	N/A	N/A	79	50	70	99
2016-06-30	$27.67	$26.00	11.9%	3.4%	12.6%	6.4%	13.1%	2.1%	-0.8%	7.5K	-137.8K	-362	0.96	115.21	N/A	N/A	94	90	80	103