OUSA Options History — October 2017

In October 2017, OUSA traded between $30.37 and $30.82. ATM implied volatility averaged 10.1%, placing in the 2.8% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 6.1% (HV 20d: 4.0%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 1.78.

Notable Days

  • 2017-10-05: Highest Volume — 78 contracts
  • 2017-10-11: Largest IV drop — 38.0% change
  • 2017-10-09: Highest IV Rank — 7.8%
  • 2017-10-30: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.61$30.37$30.82$30.37$30.38
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV10.1%7.9%14.7%10.8%11.7%
Expected Move2.7%2.3%3.4%3.1%3.4%
HV 20d4.0%3.6%4.8%4.6%4.7%
HV 60d5.2%5.0%5.4%5.3%5.4%
IV Rank2.8%0.4%7.8%3.6%4.6%
IV Percentile33.4%0.4%90.1%52.0%68.7%
Term Structure-1.3%-3.2%0.9%-0.7%-3.0%
VWIV11.0%10.4%12.0%10.4%12.0%
Skew 25d1.3%-1.8%2.7%2.1%1.9%
Skew 10d3.1%1.8%6.5%5.0%1.8%
Call IV 25d10.2%8.4%11.9%11.1%11.9%
Put IV 25d11.5%8.1%13.8%13.3%13.8%
Bid-Ask Spread %135.03130.13138.97133.03137.59
Gamma HHI0.600.310.790.310.59
Net GEX-8.4K-15.7K-591-4.2K-11.8K
Net DEX39.2K-14.5K80.8K5.0K80.8K
Net VEX-343-460-277-460-277
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.781.522.762.242.00
Total Volume70.31855785563
Total OI108.3189513112295

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$30.37$30.0010.8%3.1%4.6%3.6%10.4%2.1%-0.7%-4.2K5.0K-4602.24133.03N/AN/A17383884
2017-10-03$30.45$30.0010.9%3.1%4.1%3.7%10.5%1.8%-2.3%-591-12.1K-3732.24131.34N/AN/A17383884
2017-10-04$30.51$30.0011.6%3.3%4.1%4.4%12.0%2.4%-3.2%-1.1K-14.5K-3892.76131.17N/AN/A17473884
2017-10-05$30.60$0.0011.6%2.3%4.1%4.4%0.0%2.7%0.1%-4.5K-10.4K-4281.52136.18N/AN/A31473893
2017-10-06$30.51$0.0012.3%2.4%4.3%5.2%0.0%2.0%-0.3%-7.8K46.5K-3751.52135.60N/AN/A31471893
2017-10-09$30.50$0.0014.7%2.7%3.6%7.8%0.0%2.0%0.9%-7.7K47.0K-3581.52133.68N/AN/A31471893
2017-10-10$30.63$0.0013.5%2.5%3.8%6.4%0.0%1.6%-1.2%-6.2K44.5K-3581.52135.02N/AN/A31471893
2017-10-11$30.71$0.008.3%2.4%3.8%0.8%0.0%1.6%-0.4%-6.5K41.9K-3531.52137.32N/AN/A31471893
2017-10-12$30.69$0.008.4%2.4%3.7%0.9%0.0%1.5%-0.7%-6.8K40.8K-3511.52136.18N/AN/A31471893
2017-10-13$30.72$0.007.9%2.3%3.7%0.4%0.0%1.1%-1.4%-7.1K38.4K-3461.52138.68N/AN/A31471893
2017-10-16$30.63$0.008.3%2.4%3.9%0.7%0.0%-1.5%-1.4%-8.8K37.2K-3461.52136.02N/AN/A31471893
2017-10-17$30.68$0.008.5%2.4%3.9%0.9%0.0%1.7%-1.1%-6.4K40.3K-3431.52134.17N/AN/A31471893
2017-10-18$30.68$0.008.2%2.4%3.9%0.7%0.0%1.1%-0.6%-10.7K35.1K-3581.52137.35N/AN/A31471893
2017-10-19$30.75$0.008.8%2.5%3.7%1.3%0.0%1.9%-1.0%-10.0K36.6K-3221.52132.99N/AN/A31471893
2017-10-20$30.79$0.008.3%2.4%3.7%0.7%0.0%1.3%-1.0%-12.7K29.8K-3141.52133.63N/AN/A31471893
2017-10-23$30.82$0.008.8%2.5%3.6%1.3%0.0%1.1%-1.5%-12.8K59.5K-3151.90138.97N/AN/A2140887
2017-10-24$30.76$0.008.9%2.5%3.7%1.4%0.0%-0.6%-1.7%-15.7K45.8K-2831.90138.08N/AN/A2140887
2017-10-25$30.58$0.0010.1%2.9%4.2%2.7%0.0%-1.8%-1.9%-11.2K64.0K-3172.00130.13N/AN/A2142887
2017-10-26$30.68$0.009.6%2.8%4.2%2.2%0.0%1.7%-1.0%-10.4K61.9K-3072.00138.25N/AN/A2142887
2017-10-27$30.59$0.009.7%2.8%4.3%2.3%0.0%1.8%-2.5%-12.7K70.7K-2902.00133.46N/AN/A2142887
2017-10-30$30.39$0.0011.9%3.4%4.8%4.7%0.0%1.9%-3.1%-9.5K73.8K-2902.00131.72N/AN/A2142887
2017-10-31$30.38$0.0011.7%3.4%4.7%4.6%0.0%1.9%-3.0%-11.8K80.8K-2772.00137.59N/AN/A2142887