OUSA Options History — October 2016

In October 2016, OUSA traded between $26.55 and $27.33. ATM implied volatility averaged 10.8%, placing in the 5.7% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 1.9% (HV 20d: 8.9%). Max pain ranged from $26.00 to $27.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.28.

Notable Days

  • 2016-10-03: Highest Volume — 289 contracts
  • 2016-10-10: Largest IV spike — 27.6% change
  • 2016-10-28: Highest IV Rank — 8.7%
  • 2016-10-28: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.90$26.55$27.33$27.33$26.61
Max Pain$26.14$26.00$27.00$27.00$26.00
ATM IV10.8%8.5%15.6%10.1%13.7%
Expected Move3.1%2.4%4.5%2.9%3.9%
HV 20d8.9%6.1%13.9%13.7%6.1%
HV 60d9.0%8.8%9.1%8.8%9.0%
IV Rank5.7%4.3%8.7%5.3%7.5%
IV Percentile33.7%7.9%77.0%26.2%63.5%
Term Structure-0.5%-3.3%2.9%-1.1%-2.7%
VWIV11.6%6.8%13.4%10.6%12.8%
Skew 25d1.6%-0.3%4.3%4.3%3.1%
Skew 10d2.9%-0.2%7.0%7.0%3.9%
Call IV 25d10.7%8.0%14.2%8.0%14.0%
Put IV 25d12.3%9.7%17.1%12.3%17.1%
Bid-Ask Spread %123.84113.43138.05114.56133.51
Gamma HHI0.420.280.550.490.37
Net GEX27.8K15.5K39.5K39.5K24.4K
Net DEX-146.5K-288.4K-33.5K-288.4K-37.2K
Net VEX-2.2K-2.9K-1.5K-2.9K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.150.340.320.15
Total Volume259.524209289289210
Total OI740.619628779778657

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$27.33$27.0010.1%2.9%13.7%5.3%10.6%4.3%-1.1%39.5K-288.4K-2.9K0.32114.56N/AN/A21970588190
2016-10-04$27.10$27.0011.0%3.2%13.8%5.9%11.2%1.2%-2.6%34.1K-175.8K-2.5K0.32113.43N/AN/A21970588190
2016-10-05$27.11$27.009.9%2.8%13.8%5.2%11.4%3.0%0.3%26.9K-145.5K-2.3K0.32117.22N/AN/A21970588190
2016-10-06$27.13$26.009.8%2.9%13.9%5.1%11.3%0.3%-1.3%34.0K-227.9K-2.8K0.31115.89N/AN/A21968588190
2016-10-07$27.11$26.008.8%2.7%11.1%4.5%11.4%0.1%0.5%32.4K-187.2K-2.4K0.31117.65N/AN/A21968588188
2016-10-10$27.14$26.0011.3%3.1%9.9%6.0%12.4%2.0%0.6%34.1K-226.9K-2.6K0.33122.74N/AN/A20968588188
2016-10-11$26.87$26.0013.1%3.2%8.4%7.2%11.0%0.1%-0.1%27.3K-173.1K-2.5K0.33118.04N/AN/A21269588188
2016-10-12$26.99$26.009.7%2.8%8.6%5.0%11.0%1.7%0.7%23.8K-124.3K-2.0K0.33122.59N/AN/A21269593185
2016-10-13$27.03$26.009.4%2.7%8.1%4.9%11.2%-0.3%-0.9%24.5K-116.5K-1.9K0.34117.03N/AN/A20569593185
2016-10-14$27.02$26.0011.5%3.3%8.0%6.2%13.1%1.6%0.1%29.8K-212.4K-2.4K0.34121.62N/AN/A20569594185
2016-10-17$26.84$26.0010.6%3.0%8.3%5.6%12.8%0.7%-0.0%23.3K-233.9K-2.7K0.34122.09N/AN/A20569594185
2016-10-18$26.89$26.0011.6%3.3%8.3%6.2%12.2%1.0%-0.7%24.5K-200.6K-2.4K0.34122.07N/AN/A20569594185
2016-10-19$26.84$26.0010.2%2.9%7.7%5.4%12.1%0.7%-0.4%15.5K-64.9K-1.7K0.34122.61N/AN/A20569594185
2016-10-20$26.72$26.008.8%2.5%7.2%4.5%12.1%1.4%0.6%23.3K-169.3K-2.2K0.34122.98N/AN/A20569594182
2016-10-21$26.69$26.008.5%2.4%7.1%4.3%11.8%1.9%1.0%18.2K-33.5K-1.5K0.32124.32N/AN/A20565594182
2016-10-24$26.80$26.008.7%2.5%7.0%4.4%6.8%3.8%2.9%24.4K-89.9K-1.8K0.15137.77N/AN/A18227499129
2016-10-25$26.78$26.0010.7%3.1%6.8%5.7%10.7%1.5%0.0%27.1K-70.6K-1.6K0.15138.05N/AN/A18227519129
2016-10-26$26.73$26.0011.3%3.2%6.7%6.1%11.3%2.3%-1.8%33.9K-125.5K-2.2K0.15130.19N/AN/A18227523129
2016-10-27$26.62$26.0012.9%3.7%6.7%7.0%13.4%0.3%-3.2%31.2K-62.7K-1.7K0.15131.89N/AN/A18227523129
2016-10-28$26.55$26.0015.6%4.5%6.1%8.7%13.3%2.6%-3.3%31.9K-110.5K-1.9K0.15134.34N/AN/A18228523129
2016-10-31$26.61$26.0013.7%3.9%6.1%7.5%12.8%3.1%-2.7%24.4K-37.2K-1.5K0.15133.51N/AN/A18228523134