OUSA Options History — July 2016

In July 2016, OUSA traded between $27.72 and $28.39. ATM implied volatility averaged 10.1%, placing in the 5.3% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded below realized volatility by 1.5% (HV 20d: 11.6%). Max pain ranged from $26.00 to $29.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.68.

Notable Days

2016-07-28: Highest Volume — 353 contracts
2016-07-07: Largest IV spike — 25.0% change
2016-07-07: Highest IV Rank — 7.7%
2016-07-01: Largest Expected Move — 3.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.14	$27.72	$28.39	$27.75	$28.20
Max Pain	$28.50	$26.00	$29.00	$26.00	$29.00
ATM IV	10.1%	7.8%	14.0%	10.7%	7.8%
Expected Move	2.6%	2.2%	3.1%	3.1%	2.2%
HV 20d	11.6%	6.3%	13.2%	12.6%	6.3%
HV 60d	10.1%	9.9%	10.3%	10.1%	9.9%
IV Rank	5.3%	3.9%	7.7%	5.6%	3.9%
IV Percentile	12.4%	1.2%	40.1%	14.3%	1.2%
Term Structure	0.6%	-2.7%	3.1%	-2.1%	1.3%
VWIV	8.8%	7.0%	13.8%	13.8%	7.8%
Skew 25d	0.8%	-3.6%	4.4%	-3.6%	0.2%
Skew 10d	2.1%	-0.9%	3.9%	-0.1%	1.9%
Call IV 25d	9.5%	8.3%	12.3%	12.3%	9.7%
Put IV 25d	10.4%	8.1%	13.3%	8.6%	9.9%
Bid-Ask Spread %	118.87	108.33	128.00	114.88	119.45
Gamma HHI	0.46	0.32	0.64	0.49	0.38
Net GEX	10.4K	-5.7K	26.7K	4.9K	25.3K
Net DEX	-302.5K	-499.9K	-142.8K	-142.8K	-494.1K
Net VEX	-1.2K	-2.9K	-338	-640	-2.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.68	0.33	1.07	0.86	0.40
Total Volume	211.6	103	353	175	353
Total OI	317.4	187	558	244	558

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
2016-07-01	$27.75	$26.00	10.7%	3.1%	12.6%	5.6%	13.8%	-3.6%	-2.1%	4.9K	-142.8K	-640	0.86	114.88	N/A	N/A	94	81	101	143
2016-07-05	$27.75	$28.00	11.9%	2.5%	12.6%	6.4%	8.7%	2.1%	0.5%	2.8K	-148.3K	-594	0.89	123.46	N/A	N/A	91	81	103	144
2016-07-06	$27.81	$28.00	11.2%	2.2%	12.5%	6.0%	8.1%	4.4%	3.1%	5.3K	-159.3K	-597	0.95	118.24	N/A	N/A	85	81	105	144
2016-07-07	$27.72	$28.00	14.0%	2.5%	12.6%	7.7%	9.0%	3.1%	1.7%	4.8K	-194.7K	-595	0.84	117.39	N/A	N/A	85	71	121	144
2016-07-08	$28.04	$28.00	10.8%	2.3%	13.2%	5.7%	8.1%	1.3%	2.2%	6.9K	-253.7K	-470	1.07	116.85	N/A	N/A	71	76	121	134
2016-07-11	$28.15	$28.00	12.6%	2.7%	13.1%	6.8%	9.5%	1.0%	1.3%	8.4K	-268.4K	-473	1.07	122.10	N/A	N/A	71	76	125	139
2016-07-12	$28.19	$28.00	10.3%	2.9%	12.7%	5.4%	10.2%	1.5%	1.0%	5.7K	-236.6K	-362	0.99	122.48	N/A	N/A	77	76	109	139
2016-07-13	$28.27	$28.00	9.0%	2.6%	12.7%	4.6%	9.4%	1.5%	2.4%	5.5K	-208.2K	-338	1.02	123.29	N/A	N/A	81	83	97	139
2016-07-14	$28.34	$29.00	10.4%	3.0%	12.4%	5.5%	8.8%	2.2%	0.5%	3.2K	-221.2K	-417	0.90	117.90	N/A	N/A	90	81	108	146
2016-07-15	$28.28	$29.00	9.9%	2.8%	12.4%	5.2%	9.2%	1.7%	0.8%	-5.7K	-211.4K	-531	0.88	108.33	N/A	N/A	89	78	118	161
2016-07-18	$28.28	$29.00	10.5%	3.0%	12.4%	5.6%	9.1%	0.6%	0.4%	-687	-150.3K	-691	0.84	112.76	N/A	N/A	56	47	113	74
2016-07-19	$28.23	$29.00	10.0%	2.9%	12.4%	5.2%	9.4%	1.5%	1.2%	290	-177.5K	-763	0.33	115.56	N/A	N/A	145	48	125	74
2016-07-20	$28.33	$29.00	8.7%	2.5%	12.4%	4.4%	8.4%	1.0%	1.0%	14.8K	-386.0K	-1.7K	0.40	116.06	N/A	N/A	149	60	247	75
2016-07-21	$28.21	$29.00	9.2%	2.6%	12.5%	4.8%	8.2%	0.1%	-1.1%	16.7K	-369.7K	-1.8K	0.33	125.93	N/A	N/A	182	60	258	85
2016-07-22	$28.39	$29.00	8.2%	2.3%	12.4%	4.1%	7.8%	1.1%	1.5%	17.3K	-495.1K	-1.8K	0.33	120.57	N/A	N/A	182	60	302	85
2016-07-25	$28.29	$29.00	9.5%	2.7%	10.5%	4.9%	7.4%	-2.5%	-1.8%	21.0K	-489.5K	-1.8K	0.33	112.92	N/A	N/A	182	60	302	85
2016-07-26	$28.25	$29.00	8.6%	2.5%	9.1%	4.4%	7.0%	-0.5%	-0.7%	18.6K	-474.2K	-1.9K	0.39	121.14	N/A	N/A	235	91	302	86
2016-07-27	$28.12	$29.00	9.2%	2.6%	9.0%	4.8%	7.2%	-1.0%	-2.7%	25.5K	-499.9K	-2.5K	0.39	128.00	N/A	N/A	252	99	362	118
2016-07-28	$28.10	$29.00	9.2%	2.6%	8.0%	4.8%	9.8%	1.0%	0.4%	26.7K	-469.6K	-2.9K	0.40	120.06	N/A	N/A	252	101	398	158
2016-07-29	$28.20	$29.00	7.8%	2.2%	6.3%	3.9%	7.8%	0.2%	1.3%	25.3K	-494.1K	-2.9K	0.40	119.45	N/A	N/A	252	101	398	160