OUSA Options History — June 2017

In June 2017, OUSA traded between $29.25 and $29.80. ATM implied volatility averaged 12.3%, placing in the 6.0% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 7.1% (HV 20d: 5.2%). Max pain ranged from $28.00 to $29.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.14.

Notable Days

2017-06-23: Highest Volume — 137 contracts
2017-06-14: Largest IV drop — 65.4% change
2017-06-13: Highest IV Rank — 19.1%
2017-06-01: Largest Expected Move — 3.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.59	$29.25	$29.80	$29.59	$29.34
Max Pain	$28.09	$28.00	$29.00	$29.00	$28.00
ATM IV	12.3%	8.3%	24.4%	12.0%	11.8%
Expected Move	2.7%	2.4%	3.4%	3.4%	3.4%
HV 20d	5.2%	4.3%	5.9%	5.2%	5.7%
HV 60d	4.9%	4.7%	5.4%	5.0%	5.4%
IV Rank	6.0%	1.5%	19.1%	5.6%	5.4%
IV Percentile	52.4%	6.0%	99.2%	71.0%	71.0%
Term Structure	-1.0%	-4.7%	1.6%	-4.5%	-0.8%
VWIV	13.6%	7.8%	44.0%	10.4%	13.1%
Skew 25d	1.9%	0.7%	3.7%	1.7%	3.7%
Skew 10d	3.2%	2.6%	4.3%	2.7%	3.2%
Call IV 25d	10.2%	8.6%	13.4%	12.3%	10.9%
Put IV 25d	12.1%	10.8%	15.1%	14.0%	14.6%
Bid-Ask Spread %	128.38	122.83	146.52	130.39	129.99
Gamma HHI	0.27	0.26	0.29	0.29	0.26
Net GEX	-5.3K	-8.7K	-2.9K	-2.9K	-7.1K
Net DEX	-25.0K	-38.6K	621	-30.4K	-24.3K
Net VEX	-629	-830	-453	-485	-765
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.14	0.63	1.45	1.35	1.45
Total Volume	92.091	57	137	73	137
Total OI	188.318	159	214	159	213

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
2017-06-01	$29.59	$29.00	12.0%	3.4%	5.2%	5.6%	10.4%	1.7%	-4.5%	-2.9K	-30.4K	-485	1.35	130.39	N/A	N/A	31	42	41	118
2017-06-02	$29.74	$29.00	11.6%	3.3%	5.4%	5.1%	7.8%	1.7%	-4.7%	-3.4K	-37.2K	-470	1.35	129.51	N/A	N/A	31	42	41	118
2017-06-05	$29.70	$28.00	13.6%	2.4%	5.4%	7.4%	12.9%	1.5%	0.6%	-3.5K	-26.6K	-467	1.31	125.72	N/A	N/A	32	42	42	118
2017-06-06	$29.64	$28.00	13.5%	2.5%	5.5%	7.2%	13.5%	1.7%	1.1%	-2.9K	-31.1K	-454	1.31	126.38	N/A	N/A	32	42	43	118
2017-06-07	$29.64	$28.00	14.9%	2.6%	5.4%	8.8%	44.0%	2.1%	1.6%	-4.7K	-26.0K	-529	1.31	146.52	N/A	N/A	32	42	43	118
2017-06-08	$29.52	$28.00	16.9%	2.5%	5.7%	11.0%	13.0%	1.7%	-1.8%	-3.1K	-26.0K	-472	0.94	125.20	N/A	N/A	32	30	43	118
2017-06-09	$29.47	$28.00	16.8%	2.7%	5.7%	10.8%	12.5%	2.0%	1.6%	-4.0K	-16.2K	-553	0.94	124.93	N/A	N/A	32	30	43	126
2017-06-12	$29.53	$28.00	22.9%	2.6%	5.7%	17.5%	13.9%	2.2%	-1.3%	-4.0K	-19.6K	-538	1.11	128.34	N/A	N/A	27	30	43	126
2017-06-13	$29.60	$28.00	24.4%	2.6%	5.6%	19.1%	13.5%	2.4%	1.1%	-4.1K	-24.4K	-525	1.11	127.41	N/A	N/A	27	30	43	126
2017-06-14	$29.68	$28.00	8.4%	2.4%	5.6%	1.7%	9.7%	1.8%	-0.7%	-3.4K	-26.6K	-453	1.16	125.73	N/A	N/A	38	44	43	126
2017-06-15	$29.65	$28.00	8.5%	2.4%	4.7%	1.8%	10.1%	2.5%	-0.4%	-5.3K	-25.5K	-606	0.92	122.83	N/A	N/A	38	35	53	148
2017-06-16	$29.64	$28.00	8.3%	2.4%	4.7%	1.5%	11.0%	2.6%	0.4%	-8.7K	621	-621	0.92	126.79	N/A	N/A	38	35	44	150
2017-06-19	$29.80	$28.00	8.8%	2.5%	4.9%	2.1%	11.4%	1.8%	-0.6%	-8.4K	-3.7K	-569	0.63	128.69	N/A	N/A	56	35	42	150
2017-06-20	$29.70	$28.00	8.8%	2.5%	4.9%	2.2%	13.0%	0.9%	-1.0%	-5.7K	-38.6K	-802	0.66	128.64	N/A	N/A	56	37	62	150
2017-06-21	$29.64	$28.00	9.3%	2.7%	5.0%	2.7%	12.0%	0.7%	-2.3%	-6.1K	-32.5K	-799	0.66	127.22	N/A	N/A	56	37	62	152
2017-06-22	$29.63	$28.00	9.8%	2.8%	5.0%	3.3%	12.6%	1.5%	-1.8%	-6.7K	-30.2K	-830	0.66	128.98	N/A	N/A	56	37	62	152
2017-06-23	$29.59	$28.00	8.8%	2.5%	4.3%	2.1%	12.6%	1.7%	-1.0%	-6.5K	-29.7K	-823	1.45	127.93	N/A	N/A	56	81	62	152
2017-06-26	$29.66	$28.00	9.8%	2.8%	4.3%	3.2%	14.0%	1.2%	-2.0%	-6.0K	-35.3K	-748	1.45	130.73	N/A	N/A	56	81	62	151
2017-06-27	$29.46	$28.00	11.3%	3.2%	5.0%	4.8%	13.5%	1.8%	-2.7%	-6.0K	-23.6K	-785	1.45	125.37	N/A	N/A	56	81	62	151
2017-06-28	$29.54	$28.00	10.5%	3.0%	5.0%	3.9%	12.5%	2.5%	-2.2%	-6.5K	-33.5K	-767	1.45	128.60	N/A	N/A	56	81	62	151
2017-06-29	$29.25	$28.00	10.3%	3.0%	5.9%	3.8%	11.8%	2.5%	-0.9%	-7.1K	-9.4K	-786	1.45	128.43	N/A	N/A	56	81	62	151
2017-06-30	$29.34	$28.00	11.8%	3.4%	5.7%	5.4%	13.1%	3.7%	-0.8%	-7.1K	-24.3K	-765	1.45	129.99	N/A	N/A	56	81	62	151