OUSA Options History — November 2016

In November 2016, OUSA traded between $26.15 and $27.07. ATM implied volatility averaged 13.0%, placing in the 27.3% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 4.5% (HV 20d: 8.5%). 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 13 of 21 days. Put/call ratio averaged 0.31.

Notable Days

  • 2016-11-22: Highest Volume — 201 contracts
  • 2016-11-09: Largest IV drop — 34.3% change
  • 2016-11-28: Highest IV Rank — 46.1%
  • 2016-11-01: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.69$26.15$27.07$26.33$26.90
Max Pain$26.75$26.00$27.00$26.00$27.00
ATM IV13.0%10.3%18.3%18.0%12.2%
Expected Move3.5%2.8%5.2%5.2%3.5%
HV 20d8.5%6.5%9.2%6.5%8.5%
HV 60d9.9%9.2%10.1%9.2%10.1%
IV Rank27.3%6.1%46.1%10.2%41.8%
IV Percentile56.4%32.5%85.7%84.5%57.5%
Term Structure-0.1%-8.0%5.4%-8.0%-1.0%
VWIV12.3%8.8%18.6%18.6%12.1%
Skew 25d2.6%0.1%6.1%0.1%1.6%
Skew 10d3.2%-0.7%8.8%-0.7%4.2%
Call IV 25d12.0%8.3%17.5%17.5%14.8%
Put IV 25d14.6%12.5%18.8%17.6%16.3%
Bid-Ask Spread %131.55116.36153.11127.29138.43
Gamma HHI0.310.260.380.300.35
Net GEX26.8K17.6K36.3K27.8K23.2K
Net DEX-55.5K-142.2K-5.5K-81.4K-69.8K
Net VEX-1.5K-2.0K-1.1K-2.0K-1.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.310.150.750.170.75
Total Volume154.9058920117089
Total OI660.19642663657663

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$26.33$26.0018.0%5.2%6.5%10.2%18.6%0.1%-8.0%27.8K-81.4K-2.0K0.17127.29N/AN/A14525523134
2016-11-02$26.32$26.0017.0%4.9%6.5%9.5%16.5%2.8%-3.1%27.6K-36.3K-1.7K0.17132.95N/AN/A14525525134
2016-11-03$26.16$0.0018.3%4.1%6.6%10.3%0.0%2.6%-0.9%27.6K-32.1K-1.8K0.19126.29N/AN/A14527525134
2016-11-04$26.15$0.0017.6%4.2%6.6%9.9%0.0%1.7%-0.2%29.1K-31.5K-1.8K0.19124.61N/AN/A14527525135
2016-11-07$26.53$0.0014.7%3.1%8.7%8.1%0.0%3.6%-2.3%31.3K-103.8K-1.9K0.19122.86N/AN/A14527525135
2016-11-08$26.80$0.0017.3%2.8%9.0%9.7%0.0%4.0%5.4%23.8K-49.5K-1.5K0.19127.97N/AN/A14527525135
2016-11-09$26.90$0.0011.4%3.3%8.9%6.1%0.0%2.1%0.7%36.3K-142.2K-2.0K0.19125.85N/AN/A14527525135
2016-11-10$26.71$0.0011.5%3.3%9.2%6.2%0.0%3.0%0.8%32.6K-113.7K-1.8K0.19116.36N/AN/A14527525135
2016-11-11$26.69$0.0010.3%3.0%9.2%34.6%0.0%3.0%1.2%27.9K-25.2K-1.4K0.18133.25N/AN/A14827525135
2016-11-14$26.58$0.0010.7%3.1%9.0%35.8%0.0%1.7%1.4%27.5K-8.6K-1.4K0.18127.72N/AN/A14827528135
2016-11-15$26.66$0.0010.5%3.0%9.1%35.3%0.0%2.0%0.6%24.0K-14.0K-1.3K0.18134.25N/AN/A14827528135
2016-11-16$26.68$0.0010.8%3.1%9.1%36.4%0.0%2.2%1.6%31.2K-18.6K-1.3K0.18133.52N/AN/A14827528135
2016-11-17$26.71$0.0011.0%3.2%8.9%37.2%0.0%1.9%0.6%28.8K-30.3K-1.3K0.16137.86N/AN/A14824528135
2016-11-18$26.69$0.0011.2%3.2%8.9%37.9%0.0%3.0%1.4%21.8K-19.6K-1.4K0.16127.87N/AN/A14824528135
2016-11-21$26.79$0.0010.6%3.0%8.9%35.5%8.8%5.4%2.2%17.6K-5.5K-1.1K0.15132.13N/AN/A16324507135
2016-11-22$26.94$27.0011.9%3.4%9.1%40.9%9.5%6.1%1.2%21.9K-59.3K-1.2K0.23127.36N/AN/A16338525135
2016-11-23$26.87$27.0011.1%3.2%9.2%37.5%10.4%1.4%0.2%25.1K-47.2K-1.3K0.72138.70N/AN/A5338525137
2016-11-25$27.03$27.0012.2%3.5%9.2%42.0%10.3%2.4%0.5%28.2K-93.2K-1.3K0.72137.33N/AN/A5338525137
2016-11-28$27.05$27.0013.3%3.8%9.1%46.1%11.9%2.6%-1.5%27.1K-84.7K-1.1K0.75136.92N/AN/A5138525137
2016-11-29$27.07$27.0012.3%3.5%9.1%42.4%12.1%2.2%-1.9%23.3K-98.1K-1.2K0.75153.11N/AN/A5138526137
2016-11-30$26.90$27.0012.2%3.5%8.5%41.8%12.1%1.6%-1.0%23.2K-69.8K-1.2K0.75138.43N/AN/A5138526137