OUSA Options History — September 2016

In September 2016, OUSA traded between $27.01 and $27.90. ATM implied volatility averaged 11.6%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 0.7% (HV 20d: 10.9%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.28.

Notable Days

  • 2016-09-15: Highest Volume — 384 contracts
  • 2016-09-09: Largest IV spike — 53.3% change
  • 2016-09-13: Highest IV Rank — 11.4%
  • 2016-09-13: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.42$27.01$27.90$27.66$27.48
Max Pain$26.90$26.00$28.00$28.00$27.00
ATM IV11.6%8.4%19.9%8.9%11.0%
Expected Move3.0%2.1%4.0%2.6%3.2%
HV 20d10.9%4.8%13.7%4.8%13.7%
HV 60d9.5%8.5%10.8%8.6%9.1%
IV Rank6.2%4.2%11.4%4.6%5.9%
IV Percentile34.4%6.3%80.2%11.9%34.5%
Term Structure0.2%-5.0%4.1%-0.3%-0.8%
VWIV10.1%6.8%13.5%7.9%10.1%
Skew 25d3.3%-1.4%8.0%3.7%5.8%
Skew 10d3.9%0.2%11.2%3.0%5.1%
Call IV 25d8.8%5.5%14.4%8.9%6.4%
Put IV 25d12.2%9.1%15.9%12.6%12.2%
Bid-Ask Spread %113.28104.45130.75120.96112.42
Gamma HHI0.460.400.550.420.45
Net GEX45.5K31.2K74.3K53.2K32.0K
Net DEX-367.5K-668.7K-174.3K-455.7K-285.6K
Net VEX-3.2K-3.6K-2.4K-3.4K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.230.320.290.32
Total Volume332.667285384355289
Total OI765.667725783725778

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$27.66$28.008.9%2.6%4.8%4.6%7.9%3.7%-0.3%53.2K-455.7K-3.4K0.29120.96N/AN/A27679564161
2016-09-02$27.81$28.008.4%2.4%5.1%4.2%7.3%2.6%0.9%63.8K-475.6K-3.6K0.30130.75N/AN/A27682584171
2016-09-06$27.90$26.009.4%2.1%5.3%4.9%7.1%2.6%1.9%74.3K-623.0K-3.5K0.25109.49N/AN/A27670584176
2016-09-07$27.85$26.009.0%2.1%5.3%4.7%6.8%4.7%4.1%59.8K-668.7K-3.6K0.25109.37N/AN/A27670584180
2016-09-08$27.83$26.0010.3%2.5%5.3%5.4%8.7%2.3%1.0%63.0K-515.3K-3.2K0.26111.37N/AN/A26670584180
2016-09-09$27.18$26.0015.8%3.0%9.6%8.8%10.2%1.8%3.0%42.9K-294.1K-3.2K0.30106.30N/AN/A26679585180
2016-09-12$27.54$27.0018.6%2.3%10.9%10.6%9.8%4.3%1.4%49.3K-341.2K-3.3K0.28110.68N/AN/A26675585190
2016-09-13$27.06$27.0019.9%4.0%12.4%11.4%11.7%1.6%-1.0%33.0K-250.2K-3.2K0.26110.01N/AN/A28475585196
2016-09-14$27.01$27.0013.4%3.9%12.3%7.4%13.5%-1.4%-0.3%34.6K-206.5K-3.1K0.25108.29N/AN/A30275592191
2016-09-15$27.22$27.0011.0%3.2%12.7%5.9%12.6%-0.4%0.6%35.6K-285.5K-3.1K0.23106.46N/AN/A31371592191
2016-09-16$27.12$27.0012.0%3.4%12.6%6.5%13.0%-0.5%1.0%36.7K-307.7K-3.4K0.23111.48N/AN/A31371592191
2016-09-19$27.12$27.0011.0%3.2%12.6%5.9%10.9%1.7%1.5%31.2K-174.3K-2.7K0.27115.80N/AN/A25268563188
2016-09-20$27.19$27.0011.6%3.3%12.7%6.2%11.3%2.1%0.3%33.4K-295.6K-3.1K0.27118.70N/AN/A25668565188
2016-09-21$27.40$27.0010.1%2.9%13.1%5.3%9.3%8.0%-0.5%43.1K-321.4K-2.9K0.27112.91N/AN/A25668570188
2016-09-22$27.60$27.008.4%2.4%13.3%4.2%10.5%4.9%-1.5%47.5K-404.6K-3.3K0.26116.28N/AN/A25768570188
2016-09-23$27.49$27.0012.2%3.5%13.4%6.6%9.8%4.1%-5.0%47.6K-503.8K-3.6K0.26110.83N/AN/A25768571188
2016-09-26$27.29$27.0012.3%3.5%13.6%6.7%10.8%5.4%-3.1%42.7K-365.9K-3.2K0.31111.71N/AN/A21768581188
2016-09-27$27.40$27.0010.0%2.9%13.5%5.3%9.7%5.5%0.0%42.9K-351.3K-3.1K0.31104.45N/AN/A21868581188
2016-09-28$27.44$27.0010.1%2.9%13.5%5.3%9.7%6.2%0.3%50.5K-366.0K-3.0K0.32111.35N/AN/A21870584188
2016-09-29$27.32$27.0010.1%2.9%13.5%5.3%11.0%5.2%1.5%38.2K-225.9K-2.7K0.32129.20N/AN/A21970584190
2016-09-30$27.48$27.0011.0%3.2%13.7%5.9%10.1%5.8%-0.8%32.0K-285.6K-2.4K0.32112.42N/AN/A21970588190