OUSA Options History — January 2017

In January 2017, OUSA traded between $27.45 and $27.75. ATM implied volatility averaged 11.2%, placing in the 4.8% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 5.1% (HV 20d: 6.1%). Max pain ranged from $27.00 to $27.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.95.

Notable Days

  • 2017-01-09: Highest Volume — 176 contracts
  • 2017-01-04: Largest IV spike — 46.9% change
  • 2017-01-04: Highest IV Rank — 7.6%
  • 2017-01-04: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.59$27.45$27.75$27.55$27.53
Max Pain$27.00$27.00$27.00$27.00$27.00
ATM IV11.2%8.5%13.9%9.4%13.0%
Expected Move3.0%2.4%4.0%2.7%3.7%
HV 20d6.1%4.9%8.4%8.3%4.9%
HV 60d8.0%7.7%8.3%8.3%7.7%
IV Rank4.8%1.8%7.6%2.8%6.7%
IV Percentile46.7%8.3%74.2%20.2%73.4%
Term Structure-1.0%-3.6%2.6%2.0%-3.1%
VWIV15.7%15.6%15.7%15.6%15.7%
Skew 25d2.1%-2.0%7.6%7.6%2.9%
Skew 10d2.8%2.0%4.2%4.2%2.7%
Call IV 25d10.8%7.3%14.2%7.4%12.7%
Put IV 25d12.8%10.3%15.6%15.0%15.6%
Bid-Ask Spread %133.24118.33140.10118.33135.90
Gamma HHI0.510.410.690.420.52
Net GEX12.5K-14.9K42.0K28.7K-12.9K
Net DEX566-185.4K142.1K-105.5K90.8K
Net VEX-1.1K-1.4K-1.0K-1.1K-1.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.950.772.980.771.15
Total Volume125.45551769958
Total OI497.75177707655183

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$27.55$27.009.4%2.7%8.3%2.8%15.6%7.6%2.0%28.7K-105.5K-1.1K0.77118.33N/AN/A5643489166
2017-01-04$27.68$27.0013.9%4.0%8.4%7.6%15.7%1.2%-3.6%40.1K-185.4K-1.2K2.13125.39N/AN/A56119489166
2017-01-05$27.67$0.0013.5%2.7%8.4%7.2%0.0%1.9%0.7%42.0K-161.2K-1.4K2.13135.62N/AN/A56119489177
2017-01-06$27.75$0.0012.3%2.4%7.2%5.9%0.0%2.5%0.2%37.5K-163.8K-1.3K2.13131.27N/AN/A56119489177
2017-01-09$27.64$0.0013.5%2.7%7.4%7.3%0.0%1.2%-1.7%35.4K-130.6K-1.2K2.09135.18N/AN/A57119489177
2017-01-10$27.57$0.0013.2%2.6%7.0%6.9%0.0%2.0%-0.9%29.0K-78.3K-1.1K2.98134.30N/AN/A40119484177
2017-01-11$27.56$0.0010.3%2.9%6.7%3.7%0.0%1.5%-2.1%29.5K-73.2K-1.1K2.98132.06N/AN/A40119485177
2017-01-12$27.54$0.009.6%2.8%5.8%3.0%0.0%2.6%-1.0%29.1K-75.7K-1.1K2.98131.82N/AN/A40119485177
2017-01-13$27.54$0.009.8%2.8%5.2%3.3%0.0%2.2%-0.6%26.9K-49.2K-1.4K2.98135.16N/AN/A40119490217
2017-01-17$27.58$0.0010.1%2.9%5.2%3.6%0.0%2.4%-0.8%23.2K19.8K-1.2K1.28133.09N/AN/A6887475217
2017-01-18$27.58$0.0010.3%2.9%5.2%3.7%0.0%1.9%0.9%24.3K63.0K-1.2K1.28136.81N/AN/A6887453217
2017-01-19$27.45$0.0011.0%3.2%5.1%4.5%0.0%1.8%-2.2%14.7K123.4K-1.2K1.28133.51N/AN/A6887453217
2017-01-20$27.60$0.009.8%2.8%5.5%3.3%0.0%1.8%0.8%-13.3K142.1K-1.1K1.21137.17N/AN/A7287453221
2017-01-23$27.57$0.008.5%2.4%5.5%1.8%0.0%5.5%2.6%-14.0K104.6K-1.1K2.33128.93N/AN/A214944133
2017-01-24$27.59$0.0011.1%3.2%5.5%4.6%0.0%1.7%-2.2%-14.9K107.7K-1.1K2.33135.94N/AN/A214944133
2017-01-25$27.70$0.0010.1%2.9%5.6%3.5%0.0%1.1%-2.0%-14.7K90.6K-1.0K2.33132.90N/AN/A214944133
2017-01-26$27.62$0.0010.7%3.1%5.6%4.2%0.0%0.9%-1.7%-14.6K95.4K-1.1K2.33137.58N/AN/A214944133
2017-01-27$27.64$0.0011.4%3.3%4.9%5.0%0.0%-2.0%-2.4%-13.7K98.4K-1.0K1.20140.10N/AN/A253044133
2017-01-30$27.49$0.0012.8%3.7%5.2%6.5%0.0%1.1%-3.6%-12.8K98.6K-1.1K1.24133.76N/AN/A253148133
2017-01-31$27.53$0.0013.0%3.7%4.9%6.7%0.0%2.9%-3.1%-12.9K90.8K-1.0K1.15135.90N/AN/A273150133