OUSA Options History — March 2018 In March 2018, OUSA traded between $29.72 and $31.48. ATM implied volatility averaged 22.2%, placing in the 49.9% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 5.9% (HV 20d: 16.3%). Max pain ranged from $31.00 to $31.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 1.17.
Notable Days 2018-03-01 : Highest Volume — 68 contracts2018-03-14 : Largest IV drop — 56.0% change2018-03-13 : Highest IV Rank — 98.7%2018-03-29 : Largest Expected Move — 8.1%Monthly Statistics Metric Avg Min Max Open Close Price $30.81 $29.72 $31.48 $30.60 $30.48 Max Pain $31.00 $31.00 $31.00 $31.00 $31.00 ATM IV 22.2% 15.9% 36.2% 22.8% 28.1% Expected Move 5.4% 3.6% 8.1% 6.5% 8.1% HV 20d 16.3% 12.9% 22.4% 22.2% 16.0% HV 60d 15.1% 14.3% 16.7% 14.3% 16.7% IV Rank 49.9% 28.0% 98.7% 51.8% 70.4% IV Percentile 94.1% 84.5% 99.6% 96.8% 99.2% Term Structure -3.7% -8.1% -0.9% -6.5% -7.1% VWIV 18.8% 12.7% 27.5% 22.5% 27.5% Skew 25d 2.1% -4.4% 10.2% 2.2% 10.2% Skew 10d 2.2% -3.4% 6.5% -0.0% 6.5% Call IV 25d 19.1% 13.8% 26.0% 26.0% 22.7% Put IV 25d 21.3% 12.8% 32.9% 28.2% 32.9% Bid-Ask Spread % 146.58 133.84 165.48 142.03 158.38 Gamma HHI 0.38 0.31 0.46 0.33 0.43 Net GEX 351 -2.1K 3.1K 1.1K -1.1K Net DEX -6.6K -50.6K 44.1K -5.4K 18.1K Net VEX -365 -447 -298 -447 -310 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.17 0.89 1.43 0.89 1.36 Total Volume 59 51 68 68 52 Total OI 96.571 88 103 103 90
Daily Data (21 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 2018-03-01 $30.60 $31.00 22.8% 6.5% 22.2% 51.8% 22.5% 2.2% -6.5% 1.1K -5.4K -447 0.89 142.03 N/A N/A 36 32 54 49 2018-03-02 $30.74 $31.00 23.2% 6.6% 22.4% 53.2% 22.8% 3.6% -2.1% 1.4K 2.0K -447 0.89 147.18 N/A N/A 36 32 54 49 2018-03-05 $31.05 $31.00 23.3% 4.6% 22.0% 53.7% 16.1% 3.1% -2.2% 1.7K -17.1K -425 0.89 142.19 N/A N/A 36 32 54 49 2018-03-06 $30.99 $31.00 21.9% 4.8% 18.3% 48.9% 16.9% 2.8% -2.5% 1.9K -17.6K -424 0.89 145.63 N/A N/A 36 32 54 49 2018-03-07 $30.93 $31.00 23.6% 5.0% 18.3% 54.8% 17.1% 3.3% -4.7% 1.7K -12.3K -425 0.89 143.73 N/A N/A 36 32 54 49 2018-03-08 $31.07 $31.00 24.7% 4.5% 18.3% 58.5% 16.0% 2.6% -2.2% 1.8K -21.8K -410 0.89 148.52 N/A N/A 36 32 54 49 2018-03-09 $31.46 $31.00 24.9% 4.4% 14.6% 59.1% 15.7% 2.1% -1.2% 2.2K -45.3K -395 0.89 149.79 N/A N/A 36 32 54 49 2018-03-12 $31.48 $31.00 26.8% 4.6% 14.3% 65.8% 16.3% 1.4% -2.8% 2.8K -50.6K -381 0.89 148.52 N/A N/A 36 32 54 49 2018-03-13 $31.33 $31.00 36.2% 3.6% 14.2% 98.7% 12.7% -1.0% -2.2% 3.1K -44.6K -362 1.14 133.84 N/A N/A 28 32 54 49 2018-03-14 $31.13 $31.00 15.9% 4.6% 14.4% 28.0% 16.8% -0.6% -0.9% 1.3K -37.3K -359 1.28 144.09 N/A N/A 25 32 48 49 2018-03-15 $31.13 $31.00 16.7% 4.8% 14.3% 30.5% 16.7% 2.1% -3.0% 1.6K -24.9K -360 1.28 148.90 N/A N/A 25 32 51 49 2018-03-16 $31.27 $31.00 17.9% 5.1% 13.9% 34.7% 18.0% 2.4% -4.7% -191 -44.7K -355 1.28 147.01 N/A N/A 25 32 51 49 2018-03-19 $30.92 $31.00 16.9% 4.8% 14.1% 31.3% 16.8% 1.6% -3.9% -759 -3.3K -340 1.43 143.96 N/A N/A 21 30 42 46 2018-03-20 $30.87 $31.00 18.2% 5.2% 13.2% 35.9% 18.2% 2.7% -4.0% -666 -4.3K -347 1.43 142.63 N/A N/A 21 30 43 46 2018-03-21 $30.90 $31.00 17.3% 4.9% 12.9% 32.5% 17.1% 2.2% -4.0% -967 -81 -338 1.43 165.48 N/A N/A 21 30 43 46 2018-03-22 $30.24 $31.00 18.0% 5.2% 15.0% 35.3% 20.0% -4.4% -5.0% -1.7K 30.8K -322 1.43 142.94 N/A N/A 21 30 43 46 2018-03-23 $29.72 $31.00 20.1% 5.7% 14.9% 42.3% 21.4% 1.7% -5.8% -2.1K 44.1K -298 1.36 140.22 N/A N/A 22 30 43 46 2018-03-26 $30.36 $31.00 20.1% 5.8% 16.5% 42.5% 20.7% 3.9% -1.3% -2.1K 29.2K -307 1.36 142.40 N/A N/A 22 30 44 46 2018-03-27 $30.11 $31.00 26.1% 7.5% 16.4% 63.2% 24.5% -2.5% -2.8% -1.7K 33.6K -309 1.36 150.16 N/A N/A 22 30 44 46 2018-03-28 $30.16 $31.00 24.3% 7.0% 16.4% 56.9% 20.4% 5.4% -8.1% -1.7K 33.5K -298 1.36 150.63 N/A N/A 22 30 44 46 2018-03-29 $30.48 $31.00 28.1% 8.1% 16.0% 70.4% 27.5% 10.2% -7.1% -1.1K 18.1K -310 1.36 158.38 N/A N/A 22 30 44 46
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