OUSA Options History — March 2017

In March 2017, OUSA traded between $28.77 and $29.13. ATM implied volatility averaged 12.3%, placing in the 6.0% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 6.3% (HV 20d: 6.0%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 1.83.

Notable Days

2017-03-17: Highest Volume — 202 contracts
2017-03-15: Largest IV drop — 60.0% change
2017-03-14: Highest IV Rank — 18.4%
2017-03-01: Largest Expected Move — 3.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.92	$28.77	$29.13	$29.11	$28.89
Max Pain	$27.43	$26.00	$28.00	$26.00	$28.00
ATM IV	12.3%	8.9%	23.7%	13.3%	9.9%
Expected Move	2.9%	2.1%	3.8%	3.8%	2.8%
HV 20d	6.0%	5.0%	6.8%	5.3%	5.0%
HV 60d	5.8%	5.4%	6.5%	6.5%	5.4%
IV Rank	6.0%	2.2%	18.4%	7.0%	3.3%
IV Percentile	57.0%	14.7%	99.2%	82.5%	32.5%
Term Structure	0.8%	-3.1%	6.8%	-3.1%	-1.7%
VWIV	13.0%	10.0%	18.1%	18.0%	12.4%
Skew 25d	2.7%	0.9%	8.8%	2.7%	1.2%
Skew 10d	5.0%	2.4%	12.1%	4.9%	3.5%
Call IV 25d	11.0%	7.8%	14.6%	13.7%	12.1%
Put IV 25d	13.8%	11.4%	19.2%	16.4%	13.3%
Bid-Ask Spread %	130.53	125.89	138.48	136.34	134.97
Gamma HHI	0.49	0.35	0.58	0.57	0.46
Net GEX	-9.9K	-13.2K	-6.8K	-12.3K	-8.6K
Net DEX	-65.2K	-111.4K	-5.6K	-103.5K	-67.4K
Net VEX	-574	-723	-372	-628	-475
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.83	1.32	2.31	1.32	1.56
Total Volume	172.043	135	202	137	138
Total OI	186.13	158	207	207	185

Daily Data (23 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
2017-03-01	$29.11	$26.00	13.3%	3.8%	5.3%	7.0%	18.0%	2.7%	-3.1%	-12.3K	-103.5K	-628	1.32	136.34	N/A	N/A	59	78	67	140
2017-03-02	$29.06	$26.00	11.7%	3.3%	5.4%	5.3%	18.1%	1.4%	-2.5%	-12.6K	-103.1K	-625	1.32	137.16	N/A	N/A	59	78	67	140
2017-03-03	$28.99	$26.00	12.7%	3.6%	5.7%	6.4%	17.1%	1.1%	-1.6%	-11.7K	-91.9K	-668	2.31	138.48	N/A	N/A	59	136	67	140
2017-03-06	$28.95	$27.00	13.1%	2.9%	5.7%	6.8%	13.9%	2.4%	2.2%	-13.2K	-102.1K	-553	2.31	126.89	N/A	N/A	59	136	67	129
2017-03-07	$28.87	$27.00	13.7%	2.6%	5.8%	7.4%	14.3%	7.0%	2.9%	-10.9K	-71.7K	-705	2.23	128.30	N/A	N/A	61	136	67	129
2017-03-08	$28.82	$27.00	15.0%	2.6%	6.0%	8.9%	13.9%	4.3%	1.0%	-11.3K	-63.1K	-717	2.23	129.22	N/A	N/A	61	136	67	129
2017-03-09	$28.84	$27.00	16.0%	2.8%	5.9%	9.9%	14.4%	6.6%	2.3%	-11.4K	-65.8K	-716	2.23	125.89	N/A	N/A	61	136	67	129
2017-03-10	$28.89	$27.00	15.6%	2.6%	5.9%	9.5%	12.6%	8.8%	2.9%	-10.5K	-64.7K	-723	1.97	125.92	N/A	N/A	61	120	67	129
2017-03-13	$28.91	$27.00	19.6%	2.1%	5.9%	13.9%	11.6%	3.8%	6.8%	-12.3K	-111.4K	-524	1.97	131.31	N/A	N/A	61	120	67	129
2017-03-14	$28.87	$27.00	23.7%	2.7%	5.9%	18.4%	11.9%	2.0%	2.4%	-12.5K	-104.0K	-547	1.97	132.80	N/A	N/A	61	120	67	129
2017-03-15	$29.13	$28.00	9.5%	2.7%	6.5%	2.9%	10.0%	3.4%	3.5%	-12.0K	-79.3K	-372	1.69	128.56	N/A	N/A	71	120	46	129
2017-03-16	$28.99	$28.00	8.9%	2.6%	6.8%	2.3%	10.9%	1.2%	2.0%	-8.4K	-57.3K	-568	1.69	131.58	N/A	N/A	71	120	52	129
2017-03-17	$29.05	$28.00	10.3%	3.0%	6.8%	3.8%	10.7%	2.0%	2.3%	-8.3K	-78.4K	-449	1.49	126.34	N/A	N/A	81	121	52	129
2017-03-20	$28.98	$28.00	9.5%	2.7%	6.8%	2.9%	11.5%	1.7%	0.3%	-7.9K	-31.2K	-494	1.85	132.81	N/A	N/A	59	109	40	118
2017-03-21	$28.85	$28.00	8.9%	2.5%	6.6%	2.2%	11.8%	0.9%	0.3%	-7.2K	-15.7K	-561	1.85	129.21	N/A	N/A	59	109	40	118
2017-03-22	$28.89	$28.00	9.8%	2.8%	6.6%	3.2%	11.7%	1.9%	1.4%	-8.0K	-16.4K	-539	1.85	130.86	N/A	N/A	59	109	40	118
2017-03-23	$28.81	$28.00	9.9%	2.8%	6.5%	3.4%	12.8%	1.6%	-0.0%	-7.4K	-5.6K	-605	1.85	129.56	N/A	N/A	59	109	40	118
2017-03-24	$28.81	$28.00	10.5%	3.0%	6.4%	4.0%	12.4%	2.2%	0.5%	-7.1K	-34.0K	-656	1.69	127.70	N/A	N/A	70	118	60	128
2017-03-27	$28.77	$28.00	10.7%	3.1%	6.4%	4.2%	12.7%	2.3%	-1.5%	-9.3K	-46.4K	-559	2.19	130.87	N/A	N/A	54	118	60	128
2017-03-28	$28.91	$28.00	10.5%	3.0%	6.6%	4.0%	11.5%	1.5%	-0.7%	-6.8K	-52.1K	-576	1.50	127.45	N/A	N/A	54	81	60	128
2017-03-29	$28.87	$28.00	10.3%	3.0%	5.1%	3.8%	12.3%	1.4%	-1.5%	-9.2K	-66.7K	-471	1.50	129.76	N/A	N/A	54	81	60	125
2017-03-30	$28.89	$28.00	10.5%	3.0%	5.1%	4.0%	12.4%	1.6%	-0.2%	-8.4K	-67.5K	-477	1.50	130.22	N/A	N/A	54	81	60	125
2017-03-31	$28.89	$28.00	9.9%	2.8%	5.0%	3.3%	12.4%	1.2%	-1.7%	-8.6K	-67.4K	-475	1.56	134.97	N/A	N/A	54	84	60	125