OUSA Options History — February 2017

In February 2017, OUSA traded between $27.53 and $28.87. ATM implied volatility averaged 11.1%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 6.3% (HV 20d: 4.8%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.94.

Notable Days

2017-02-22: Highest Volume — 137 contracts
2017-02-08: Largest IV drop — 34.2% change
2017-02-07: Highest IV Rank — 7.1%
2017-02-28: Largest Expected Move — 3.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.22	$27.53	$28.87	$27.53	$28.78
Max Pain	$26.22	$26.00	$28.00	$26.00	$26.00
ATM IV	11.1%	8.8%	13.3%	12.3%	12.4%
Expected Move	3.0%	2.5%	3.6%	3.5%	3.6%
HV 20d	4.8%	4.2%	5.1%	4.7%	4.2%
HV 60d	6.8%	6.6%	7.6%	7.6%	6.6%
IV Rank	4.6%	2.1%	7.1%	5.9%	6.1%
IV Percentile	49.4%	13.5%	78.2%	67.1%	74.6%
Term Structure	-0.9%	-3.4%	2.8%	-3.4%	-3.0%
VWIV	13.7%	9.2%	15.8%	12.4%	15.7%
Skew 25d	1.7%	-0.2%	3.0%	2.0%	0.1%
Skew 10d	3.1%	1.6%	4.5%	2.6%	3.2%
Call IV 25d	11.1%	9.4%	14.5%	12.9%	14.5%
Put IV 25d	12.8%	10.8%	14.9%	14.9%	14.6%
Bid-Ask Spread %	135.17	123.81	139.86	137.65	136.90
Gamma HHI	0.53	0.47	0.59	0.52	0.58
Net GEX	-13.7K	-16.6K	-11.4K	-13.2K	-11.4K
Net DEX	-1.5K	-66.9K	89.2K	89.2K	-46.6K
Net VEX	-928	-1.1K	-730	-1.0K	-853
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.94	0.73	1.32	0.89	1.32
Total Volume	93.263	66	137	66	137
Total OI	200.053	183	212	183	207

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2017-02-01	$27.53	$0.00	12.3%	3.5%	4.7%	5.9%	0.0%	2.0%	-3.4%	-13.2K	89.2K	-1.0K	0.89	137.65	N/A	N/A	35	31	50	133
2017-02-02	$27.62	$26.00	12.9%	2.7%	4.5%	6.6%	12.4%	2.6%	-0.3%	-13.0K	74.1K	-1.0K	0.89	131.67	N/A	N/A	35	31	59	133
2017-02-03	$27.77	$26.00	11.3%	2.6%	4.9%	4.8%	12.2%	1.8%	0.3%	-14.3K	50.6K	-986	0.89	135.54	N/A	N/A	35	31	59	133
2017-02-06	$27.71	$26.00	13.3%	2.6%	4.9%	7.0%	14.4%	1.7%	1.4%	-13.2K	62.5K	-1.1K	0.78	137.84	N/A	N/A	40	31	59	133
2017-02-07	$27.76	$26.00	13.3%	2.7%	4.7%	7.1%	14.8%	1.9%	0.3%	-12.6K	42.9K	-1.0K	0.78	137.66	N/A	N/A	40	31	65	133
2017-02-08	$27.87	$26.00	8.8%	2.5%	4.8%	2.1%	14.4%	2.5%	2.8%	-14.5K	37.6K	-1.0K	0.78	135.06	N/A	N/A	40	31	65	133
2017-02-09	$27.96	$26.00	9.9%	2.8%	4.8%	3.3%	15.2%	2.2%	-0.9%	-12.7K	15.1K	-1.0K	0.78	136.39	N/A	N/A	40	31	65	133
2017-02-10	$28.02	$26.00	9.0%	2.6%	4.8%	2.4%	15.4%	2.3%	1.8%	-13.4K	2.0K	-988	0.78	139.86	N/A	N/A	40	31	65	133
2017-02-13	$28.14	$26.00	10.3%	2.9%	5.0%	3.7%	0.0%	3.0%	-1.5%	-14.4K	-1.1K	-952	0.78	131.25	N/A	N/A	40	31	65	133
2017-02-14	$28.18	$26.00	9.5%	2.7%	5.0%	2.9%	15.8%	2.5%	-0.0%	-14.4K	-5.2K	-934	0.78	139.86	N/A	N/A	40	31	65	133
2017-02-15	$28.32	$26.00	9.8%	2.8%	5.1%	3.2%	9.2%	-0.2%	-2.0%	-13.7K	-50.1K	-730	0.84	131.91	N/A	N/A	51	43	65	133
2017-02-16	$28.35	$28.00	10.0%	2.9%	4.6%	3.4%	10.7%	2.4%	-0.4%	-16.6K	-10.1K	-853	0.84	136.19	N/A	N/A	51	43	57	145
2017-02-17	$28.44	$28.00	10.4%	3.0%	4.4%	3.9%	12.0%	2.3%	-0.9%	-16.6K	-8.1K	-886	0.73	136.42	N/A	N/A	59	43	57	145
2017-02-21	$28.66	$26.00	12.1%	3.5%	4.8%	5.8%	13.1%	-0.1%	-3.0%	-15.4K	-53.2K	-844	0.73	123.81	N/A	N/A	59	43	67	145
2017-02-22	$28.64	$26.00	11.0%	3.1%	4.9%	4.5%	13.6%	1.2%	-2.3%	-13.3K	-32.7K	-928	1.32	135.71	N/A	N/A	59	78	67	145
2017-02-23	$28.76	$26.00	11.4%	3.3%	4.9%	4.9%	13.8%	0.5%	-2.5%	-13.4K	-63.5K	-818	1.32	133.48	N/A	N/A	59	78	67	140
2017-02-24	$28.86	$26.00	10.8%	3.1%	4.6%	4.3%	15.3%	2.1%	-2.4%	-12.0K	-66.9K	-812	1.32	135.82	N/A	N/A	59	78	67	140
2017-02-27	$28.87	$26.00	11.7%	3.3%	4.6%	5.2%	15.6%	1.5%	-0.9%	-12.1K	-66.0K	-804	1.32	135.19	N/A	N/A	59	78	67	140
2017-02-28	$28.78	$26.00	12.4%	3.6%	4.2%	6.1%	15.7%	0.1%	-3.0%	-11.4K	-46.6K	-853	1.32	136.90	N/A	N/A	59	78	67	140