OUSA Options History — December 2016

In December 2016, OUSA traded between $26.63 and $27.84. ATM implied volatility averaged 17.2%, placing in the 36.5% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 8.4% (HV 20d: 8.7%). Max pain ranged from $27.00 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 0.76.

Notable Days

  • 2016-12-09: Highest Volume — 152 contracts
  • 2016-12-29: Largest IV spike — 691.2% change
  • 2016-12-29: Highest IV Rank — 100.0%
  • 2016-12-29: Largest Expected Move — 28.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.43$26.63$27.84$26.63$27.43
Max Pain$27.00$27.00$27.00$27.00$27.00
ATM IV17.2%7.6%98.5%13.4%12.6%
Expected Move4.2%2.2%28.2%3.8%3.6%
HV 20d8.7%7.7%9.4%9.4%8.3%
HV 60d8.7%8.2%10.3%10.3%8.2%
IV Rank36.5%3.7%100.0%46.6%6.3%
IV Percentile55.5%0.8%100.0%68.7%63.5%
Term Structure18.1%-4.1%77.0%-2.0%-2.1%
VWIV50.8%12.7%94.7%13.0%74.4%
Skew 25d3.4%-1.1%10.1%0.9%0.2%
Skew 10d7.7%-0.1%17.8%3.1%-0.1%
Call IV 25d12.0%8.6%15.9%14.9%13.0%
Put IV 25d15.3%11.7%19.2%15.8%13.2%
Bid-Ask Spread %174.83120.38197.92135.28171.45
Gamma HHI0.460.270.630.310.42
Net GEX37.5K19.3K57.6K19.3K30.0K
Net DEX-238.6K-402.5K-28.5K-28.5K-112.1K
Net VEX-1.7K-2.1K-1.1K-1.1K-1.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.650.920.750.77
Total Volume110.81841528999
Total OI658.238650693665655

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$26.63$27.0013.4%3.8%9.4%46.6%13.0%0.9%-2.0%19.3K-28.5K-1.1K0.75135.28N/AN/A5138528137
2016-12-02$26.75$27.0013.5%3.9%9.1%46.9%13.5%-0.1%-3.1%21.8K-34.9K-1.1K0.75136.15N/AN/A5138528137
2016-12-05$26.79$27.0014.6%2.8%9.1%51.2%12.7%3.7%14.7%39.9K-114.8K-1.5K0.65120.38N/AN/A5133528137
2016-12-06$26.86$27.0015.4%2.5%7.7%54.4%23.1%1.4%11.5%32.7K-87.3K-1.2K0.65174.05N/AN/A5133528127
2016-12-07$27.22$27.0011.4%2.6%8.3%38.9%26.1%3.8%5.8%32.3K-160.3K-1.1K0.65171.94N/AN/A5133528127
2016-12-08$27.23$27.0014.5%3.0%8.2%38.1%40.9%3.7%-1.4%45.6K-253.7K-1.6K0.65178.99N/AN/A5133528127
2016-12-09$27.44$27.0019.8%2.9%8.0%63.9%43.5%4.4%10.0%45.8K-300.2K-1.6K0.83180.42N/AN/A8369528127
2016-12-12$27.60$27.0022.6%3.3%8.2%78.0%36.4%6.5%72.0%51.3K-305.1K-2.0K0.83175.51N/AN/A8369527166
2016-12-13$27.84$27.0024.5%3.2%8.2%87.4%41.0%2.7%69.6%57.6K-376.8K-2.1K0.83175.88N/AN/A8369522166
2016-12-14$27.63$27.009.1%2.6%8.9%11.1%35.5%5.3%74.3%43.2K-178.7K-1.7K0.84169.18N/AN/A8269496166
2016-12-15$27.66$27.009.6%2.7%8.9%13.5%38.9%2.6%71.6%38.9K-210.2K-1.7K0.83175.34N/AN/A8268486166
2016-12-16$27.64$27.007.6%2.2%9.0%3.7%46.8%5.8%77.0%39.5K-350.0K-2.1K0.83182.46N/AN/A8268486164
2016-12-19$27.77$27.009.7%2.8%9.0%14.1%94.7%7.1%-1.5%45.8K-336.9K-2.0K0.92191.16N/AN/A6459487164
2016-12-20$27.81$27.009.9%2.8%8.9%15.0%72.6%3.7%-1.7%37.8K-396.0K-2.1K0.71197.92N/AN/A5640487163
2016-12-21$27.75$27.009.6%2.8%8.9%13.6%77.9%4.1%-1.2%32.9K-402.5K-2.1K0.71197.92N/AN/A5640487163
2016-12-22$27.71$27.0010.1%2.9%8.9%16.2%79.3%4.2%-0.3%32.5K-391.2K-2.1K0.71194.37N/AN/A5640487163
2016-12-23$27.62$27.0010.2%2.9%8.9%16.4%79.5%10.1%-1.9%33.1K-360.7K-2.1K0.75188.36N/AN/A5642487163
2016-12-27$27.67$27.0011.6%3.3%8.9%23.6%73.1%-0.4%-2.3%41.5K-201.2K-1.3K0.75188.89N/AN/A5642487165
2016-12-28$27.47$27.0012.4%3.6%9.4%27.7%83.2%1.7%-3.5%36.8K-280.3K-1.8K0.77188.57N/AN/A5643487165
2016-12-29$27.56$27.0098.5%28.2%9.0%100.0%60.5%-1.1%-4.1%30.3K-129.2K-1.2K0.74177.29N/AN/A5843487166
2016-12-30$27.43$27.0012.6%3.6%8.3%6.3%74.4%0.2%-2.1%30.0K-112.1K-1.2K0.77171.45N/AN/A5643489166