OUSA Options History — August 2016

In August 2016, OUSA traded between $27.67 and $28.09. ATM implied volatility averaged 8.4%, placing in the 4.3% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded above realized volatility by 3.1% (HV 20d: 5.3%). Max pain ranged from $28.00 to $29.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.42.

Notable Days

  • 2016-08-01: Highest Volume — 353 contracts
  • 2016-08-12: Largest IV spike — 25.5% change
  • 2016-08-09: Highest IV Rank — 5.3%
  • 2016-08-04: Largest Expected Move — 2.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.91$27.67$28.09$28.08$27.67
Max Pain$28.13$28.00$29.00$29.00$28.00
ATM IV8.4%6.9%10.1%8.1%9.2%
Expected Move2.4%2.0%2.7%2.3%2.6%
HV 20d5.3%4.5%6.8%6.5%4.8%
HV 60d9.0%8.5%10.0%9.9%8.6%
IV Rank4.3%3.3%5.3%4.1%4.8%
IV Percentile5.8%0.8%17.2%1.6%13.9%
Term Structure0.8%-0.8%3.7%-0.7%-0.1%
VWIV8.0%5.9%9.6%6.2%7.6%
Skew 25d1.6%-1.8%4.5%-1.8%4.5%
Skew 10d2.7%-0.2%6.2%-0.2%6.2%
Call IV 25d9.3%7.8%12.0%11.6%7.9%
Put IV 25d10.8%9.0%12.4%9.8%12.4%
Bid-Ask Spread %126.37112.76131.41125.94112.76
Gamma HHI0.420.370.560.400.41
Net GEX35.2K16.6K52.2K28.3K49.3K
Net DEX-462.1K-515.8K-401.9K-491.5K-440.1K
Net VEX-2.9K-3.1K-2.8K-3.0K-3.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.000.610.400.28
Total Volume273.2611353353338
Total OI606.783558672558672

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$28.08$29.008.1%2.3%6.5%4.1%6.2%-1.8%-0.7%28.3K-491.5K-3.0K0.40125.94N/AN/A252101398160
2016-08-02$27.96$29.008.0%2.3%6.7%4.0%7.8%-0.7%1.2%25.4K-451.8K-2.8K0.41122.14N/AN/A247101400160
2016-08-03$27.89$29.008.3%2.4%6.8%4.2%7.3%-0.1%-0.7%26.4K-412.5K-2.8K0.44128.79N/AN/A230101400160
2016-08-04$27.94$28.009.8%2.7%6.7%5.1%9.6%0.4%0.2%25.1K-462.9K-2.9K0.44123.24N/AN/A230101403160
2016-08-05$28.00$28.007.9%2.5%5.3%4.0%8.8%1.3%0.6%31.5K-462.9K-2.8K0.50126.96N/AN/A203101403160
2016-08-08$27.97$28.009.6%2.4%5.1%5.0%8.7%1.1%0.1%33.0K-447.2K-2.8K0.51125.57N/AN/A199101400160
2016-08-09$27.99$28.0010.1%2.3%5.0%5.3%8.5%1.2%-0.1%29.7K-477.9K-2.8K0.46124.91N/AN/A19589402160
2016-08-10$27.95$28.008.1%2.3%4.9%4.0%8.6%0.6%0.2%25.9K-485.1K-2.9K0.54127.31N/AN/A195105425166
2016-08-11$28.09$28.006.9%2.0%5.2%3.3%6.8%1.2%2.2%29.9K-456.9K-2.9K0.53126.88N/AN/A199105425183
2016-08-12$28.06$28.008.6%2.5%5.2%4.4%8.7%1.1%0.7%28.4K-467.5K-3.0K0.53128.42N/AN/A199105429183
2016-08-15$28.03$28.007.9%2.3%5.2%3.9%8.3%1.6%1.1%16.6K-515.8K-3.0K0.57127.54N/AN/A183105429183
2016-08-16$27.86$28.008.9%2.6%5.5%4.6%9.1%1.0%1.1%26.0K-433.7K-3.0K0.61126.34N/AN/A171105433183
2016-08-17$27.93$28.008.2%2.3%5.4%4.1%0.0%2.0%1.8%24.7K-416.7K-2.8K0.00131.16N/AN/A01442183
2016-08-18$27.99$28.008.7%2.5%5.3%4.4%0.0%2.5%2.5%19.4K-458.0K-2.9K0.00128.93N/AN/A200442184
2016-08-19$27.87$28.008.1%2.3%4.9%4.0%8.1%2.0%2.2%47.8K-401.9K-2.9K0.56128.77N/AN/A181102464187
2016-08-22$27.87$28.008.1%2.3%4.8%4.1%7.8%3.1%2.0%48.9K-462.0K-2.8K0.53127.35N/AN/A17995462141
2016-08-23$27.89$28.007.8%2.2%4.8%3.9%8.0%1.9%-0.2%50.9K-477.4K-2.9K0.46131.41N/AN/A20895462141
2016-08-24$27.81$28.008.4%2.4%4.7%4.2%0.0%2.2%-0.7%43.9K-480.6K-2.9K0.00128.77N/AN/A500457141
2016-08-25$27.79$28.009.0%2.6%4.7%4.6%8.4%2.2%-0.8%50.2K-491.9K-3.0K0.40129.00N/AN/A23895507141
2016-08-26$27.69$28.008.6%2.5%4.5%4.4%8.3%1.3%1.0%47.3K-476.8K-3.1K0.34121.76N/AN/A23279507141
2016-08-29$27.84$28.008.0%2.3%4.9%4.0%5.9%4.2%3.7%52.2K-490.4K-3.0K0.38129.17N/AN/A23289508145
2016-08-30$27.72$28.007.4%2.1%4.9%3.7%6.9%3.2%0.8%49.5K-467.2K-3.1K0.37123.33N/AN/A23989508156
2016-08-31$27.67$28.009.2%2.6%4.8%4.8%7.6%4.5%-0.1%49.3K-440.1K-3.0K0.28112.76N/AN/A26474516156