OUSA Options History — May 2017

In May 2017, OUSA traded between $28.77 and $29.47. ATM implied volatility averaged 10.6%, placing in the 4.1% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 5.6% (HV 20d: 5.0%). Max pain ranged from $28.00 to $29.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.51.

Notable Days

2017-05-30: Highest Volume — 73 contracts
2017-05-03: Largest IV spike — 39.8% change
2017-05-31: Highest IV Rank — 7.0%
2017-05-31: Largest Expected Move — 3.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.03	$28.77	$29.47	$28.89	$29.47
Max Pain	$28.67	$28.00	$29.00	$28.00	$29.00
ATM IV	10.6%	8.5%	13.2%	11.2%	13.2%
Expected Move	2.9%	2.4%	3.8%	3.2%	3.8%
HV 20d	5.0%	4.7%	5.6%	4.9%	5.2%
HV 60d	5.3%	5.0%	5.5%	5.5%	5.0%
IV Rank	4.1%	1.8%	7.0%	4.7%	7.0%
IV Percentile	45.9%	7.5%	81.7%	57.9%	81.7%
Term Structure	-0.5%	-2.8%	2.1%	-1.1%	-2.8%
VWIV	10.4%	5.4%	13.7%	13.7%	12.9%
Skew 25d	2.2%	0.4%	3.6%	1.5%	2.9%
Skew 10d	2.6%	0.7%	3.9%	3.9%	2.3%
Call IV 25d	10.7%	9.0%	13.6%	13.1%	11.9%
Put IV 25d	12.9%	10.7%	15.4%	14.6%	14.8%
Bid-Ask Spread %	136.60	128.33	142.21	140.79	138.22
Gamma HHI	0.43	0.31	0.78	0.34	0.32
Net GEX	2.2K	-5.2K	47.4K	-4.2K	-3.8K
Net DEX	-52.4K	-68.0K	-29.6K	-29.6K	-34.0K
Net VEX	-309	-434	-147	-370	-430
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.51	0.30	1.35	0.35	1.35
Total Volume	59.682	52	73	58	73
Total OI	129.318	109	159	118	159

Daily Data (22 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
2017-05-01	$28.89	$28.00	11.2%	3.2%	4.9%	4.7%	13.7%	1.5%	-1.1%	-4.2K	-29.6K	-370	0.35	140.79	N/A	N/A	43	15	37	81
2017-05-02	$28.87	$28.00	8.5%	2.4%	4.7%	1.8%	8.3%	3.6%	1.9%	-4.0K	-31.8K	-366	0.36	141.29	N/A	N/A	42	15	37	81
2017-05-03	$28.84	$28.00	11.8%	3.4%	4.7%	5.4%	12.3%	1.8%	-2.5%	-348	-36.8K	-434	0.36	137.34	N/A	N/A	42	15	48	81
2017-05-04	$28.86	$0.00	11.2%	2.6%	4.7%	4.7%	0.0%	2.1%	-0.8%	24	-41.1K	-416	0.36	136.06	N/A	N/A	42	15	48	81
2017-05-05	$28.98	$0.00	11.6%	2.6%	4.9%	5.2%	0.0%	2.1%	1.3%	195	-64.7K	-258	0.36	135.59	N/A	N/A	42	15	48	81
2017-05-08	$29.00	$0.00	13.1%	2.8%	4.9%	6.8%	0.0%	2.0%	0.7%	1.3K	-64.8K	-261	0.37	137.37	N/A	N/A	41	15	48	81
2017-05-09	$28.93	$0.00	12.4%	2.6%	5.0%	6.0%	0.0%	0.4%	0.1%	1.1K	-55.4K	-343	0.37	134.04	N/A	N/A	41	15	49	81
2017-05-10	$28.94	$0.00	9.2%	2.6%	4.9%	2.5%	0.0%	1.9%	-1.0%	1.1K	-54.1K	-351	0.37	142.21	N/A	N/A	41	15	49	81
2017-05-11	$28.90	$0.00	9.3%	2.7%	5.0%	2.6%	0.0%	2.3%	-1.2%	1.1K	-48.7K	-370	0.37	136.80	N/A	N/A	41	15	49	81
2017-05-12	$28.88	$0.00	9.4%	2.7%	4.8%	2.8%	0.0%	2.1%	1.0%	1.0K	-49.4K	-341	0.37	138.39	N/A	N/A	41	15	49	81
2017-05-15	$29.00	$0.00	8.8%	2.5%	5.0%	2.1%	0.0%	2.5%	2.1%	3.8K	-68.0K	-246	0.37	130.29	N/A	N/A	41	15	49	81
2017-05-16	$28.98	$0.00	10.7%	3.1%	5.0%	4.2%	0.0%	2.1%	-0.7%	3.4K	-64.2K	-274	0.37	132.78	N/A	N/A	41	15	49	81
2017-05-17	$28.77	$0.00	9.7%	2.8%	5.6%	3.1%	0.0%	0.5%	0.3%	2.5K	-47.5K	-334	0.37	136.97	N/A	N/A	41	15	49	81
2017-05-18	$28.86	$0.00	10.5%	3.0%	5.5%	4.0%	0.0%	2.9%	0.7%	3.4K	-55.7K	-246	0.33	129.54	N/A	N/A	46	15	49	81
2017-05-19	$28.96	$0.00	10.0%	2.9%	5.4%	3.4%	0.0%	1.6%	0.1%	47.4K	-52.1K	-223	0.33	135.18	N/A	N/A	46	15	49	81
2017-05-22	$29.12	$0.00	11.1%	3.2%	4.9%	4.6%	9.6%	2.5%	-0.8%	-5.2K	-56.1K	-147	0.30	137.42	N/A	N/A	40	12	31	78
2017-05-23	$29.13	$29.00	10.4%	3.0%	4.7%	3.9%	10.5%	1.8%	-1.5%	-259	-67.2K	-212	0.30	141.84	N/A	N/A	40	12	41	78
2017-05-24	$29.16	$29.00	11.1%	3.2%	4.7%	4.6%	10.5%	2.5%	-2.4%	-452	-57.5K	-298	0.80	140.74	N/A	N/A	40	32	41	78
2017-05-25	$29.39	$29.00	8.6%	2.5%	5.4%	2.0%	5.4%	3.4%	-0.4%	-1.7K	-49.4K	-360	0.80	128.33	N/A	N/A	40	32	41	98
2017-05-26	$29.35	$29.00	11.3%	3.3%	5.2%	4.9%	10.8%	3.1%	-1.5%	-2.1K	-57.8K	-288	1.03	137.70	N/A	N/A	31	32	41	98
2017-05-30	$29.43	$29.00	10.8%	3.1%	5.2%	4.4%	9.9%	2.7%	-1.2%	3.9K	-67.0K	-229	1.35	136.40	N/A	N/A	31	42	41	98
2017-05-31	$29.47	$29.00	13.2%	3.8%	5.2%	7.0%	12.9%	2.9%	-2.8%	-3.8K	-34.0K	-430	1.35	138.22	N/A	N/A	31	42	41	118