OUSA Options History — April 2017

In April 2017, OUSA traded between $28.65 and $29.03. ATM implied volatility averaged 10.9%, placing in the 4.4% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 6.5% (HV 20d: 4.4%). Max pain ranged from $28.00 to $29.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.16.

Notable Days

2017-04-19: Highest Volume — 149 contracts
2017-04-12: Largest IV drop — 26.1% change
2017-04-11: Highest IV Rank — 8.0%
2017-04-24: Largest Expected Move — 3.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.81	$28.65	$29.03	$28.80	$28.85
Max Pain	$28.42	$28.00	$29.00	$28.00	$28.00
ATM IV	10.9%	9.3%	14.2%	11.1%	10.3%
Expected Move	3.0%	2.7%	3.3%	3.2%	3.0%
HV 20d	4.4%	3.2%	5.1%	5.1%	4.8%
HV 60d	5.3%	5.2%	5.5%	5.4%	5.5%
IV Rank	4.4%	2.6%	8.0%	4.6%	3.8%
IV Percentile	51.3%	18.7%	89.3%	57.5%	42.1%
Term Structure	-0.3%	-3.5%	1.6%	-1.2%	-1.9%
VWIV	12.3%	11.1%	13.7%	13.4%	13.5%
Skew 25d	2.0%	0.7%	3.2%	0.7%	1.1%
Skew 10d	3.6%	0.9%	4.9%	3.2%	3.5%
Call IV 25d	11.5%	9.9%	13.9%	13.4%	12.3%
Put IV 25d	13.5%	12.3%	14.8%	14.1%	13.4%
Bid-Ask Spread %	133.77	129.61	141.41	130.70	141.41
Gamma HHI	0.46	0.42	0.60	0.46	0.44
Net GEX	-7.7K	-9.4K	-5.8K	-9.2K	-6.9K
Net DEX	-43.3K	-67.3K	-20.9K	-49.7K	-20.9K
Net VEX	-399	-532	-215	-470	-324
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.16	0.27	1.59	1.59	0.35
Total Volume	117.947	47	149	140	58
Total OI	171.211	105	197	188	110

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
2017-04-03	$28.80	$28.00	11.1%	3.2%	5.1%	4.6%	13.4%	0.7%	-1.2%	-9.2K	-49.7K	-470	1.59	130.70	N/A	N/A	54	86	60	128
2017-04-04	$28.83	$28.00	11.5%	3.3%	5.0%	5.0%	13.7%	1.0%	-2.7%	-9.2K	-52.8K	-454	1.59	132.40	N/A	N/A	54	86	60	130
2017-04-05	$28.85	$28.00	10.8%	3.1%	5.0%	4.3%	13.7%	0.9%	-3.5%	-7.1K	-44.6K	-532	1.47	131.01	N/A	N/A	58	85	60	130
2017-04-06	$28.80	$29.00	11.6%	2.8%	5.0%	5.2%	11.1%	2.2%	1.4%	-8.1K	-56.4K	-480	1.47	137.06	N/A	N/A	58	85	64	132
2017-04-07	$28.84	$29.00	11.5%	2.7%	5.0%	5.1%	11.1%	2.4%	1.0%	-8.4K	-64.0K	-446	1.47	133.73	N/A	N/A	58	85	64	132
2017-04-10	$28.82	$29.00	12.3%	2.8%	5.0%	6.0%	11.1%	3.1%	1.6%	-8.4K	-63.2K	-424	1.47	134.18	N/A	N/A	58	85	64	132
2017-04-11	$28.77	$29.00	14.2%	3.0%	5.0%	8.0%	11.5%	2.5%	0.1%	-9.4K	-59.2K	-411	1.47	131.63	N/A	N/A	58	85	64	132
2017-04-12	$28.78	$29.00	10.5%	3.0%	3.7%	4.0%	11.6%	3.0%	1.1%	-8.8K	-59.1K	-415	1.47	133.82	N/A	N/A	58	85	64	132
2017-04-13	$28.70	$29.00	10.6%	3.0%	3.5%	4.1%	12.0%	2.1%	0.7%	-6.0K	-30.8K	-531	1.47	132.10	N/A	N/A	58	85	64	132
2017-04-17	$28.69	$29.00	10.8%	3.1%	3.3%	4.3%	12.7%	2.9%	0.9%	-7.4K	-23.2K	-487	1.47	134.35	N/A	N/A	58	85	60	132
2017-04-18	$28.74	$29.00	10.3%	3.0%	3.4%	3.8%	11.9%	3.2%	0.5%	-7.4K	-32.3K	-443	1.47	131.00	N/A	N/A	58	85	60	132
2017-04-19	$28.65	$28.00	10.4%	3.0%	3.2%	3.9%	12.8%	2.1%	-0.7%	-5.8K	-34.2K	-454	1.33	132.08	N/A	N/A	64	85	64	132
2017-04-20	$28.77	$28.00	9.9%	2.8%	3.5%	3.3%	11.3%	2.9%	0.9%	-8.7K	-67.3K	-302	1.19	129.61	N/A	N/A	64	76	65	132
2017-04-21	$28.67	$28.00	10.8%	3.1%	3.6%	4.3%	13.5%	1.3%	-1.9%	-6.9K	-43.0K	-396	1.43	133.00	N/A	N/A	53	76	65	132
2017-04-24	$28.92	$28.00	11.7%	3.3%	4.8%	5.3%	12.1%	2.3%	-1.4%	-6.2K	-34.2K	-215	0.27	130.17	N/A	N/A	37	10	29	76
2017-04-25	$29.03	$28.00	9.3%	2.7%	4.9%	2.6%	12.0%	1.7%	-1.2%	-7.8K	-24.3K	-282	0.27	140.25	N/A	N/A	37	10	29	76
2017-04-26	$28.98	$28.00	10.3%	2.9%	4.7%	3.7%	12.1%	1.4%	0.0%	-6.7K	-36.8K	-225	0.41	136.08	N/A	N/A	37	15	29	76
2017-04-27	$28.95	$28.00	9.7%	2.8%	4.7%	3.1%	13.1%	1.6%	0.4%	-7.3K	-26.0K	-288	0.41	136.96	N/A	N/A	37	15	29	81
2017-04-28	$28.85	$28.00	10.3%	3.0%	4.8%	3.8%	13.5%	1.1%	-1.9%	-6.9K	-20.9K	-324	0.35	141.41	N/A	N/A	43	15	29	81