OUSA Options History — April 2018 In April 2018, OUSA traded between $29.81 and $31.09. ATM implied volatility averaged 20.8%, placing in the 44.8% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 2.2% (HV 20d: 18.6%). Max pain ranged from $31.00 to $31.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.96.
Notable Days 2018-04-20 : Highest Volume — 64 contracts2018-04-26 : Largest IV spike — 37.0% change2018-04-02 : Highest IV Rank — 85.6%2018-04-02 : Largest Expected Move — 9.3%Monthly Statistics Metric Avg Min Max Open Close Price $30.44 $29.81 $31.09 $29.81 $30.25 Max Pain $31.00 $31.00 $31.00 $31.00 $31.00 ATM IV 20.8% 14.0% 32.5% 32.5% 21.0% Expected Move 5.6% 4.0% 9.3% 9.3% 6.0% HV 20d 18.6% 14.6% 20.5% 17.7% 14.6% HV 60d 18.1% 17.2% 18.5% 17.2% 18.3% IV Rank 44.8% 21.3% 85.6% 85.6% 45.5% IV Percentile 86.8% 68.7% 99.2% 99.2% 88.9% Term Structure -4.2% -13.8% 0.1% -2.7% -5.3% VWIV 19.6% 12.1% 34.8% 34.8% 23.2% Skew 25d 3.0% -0.6% 9.7% 2.8% 0.2% Skew 10d -0.2% -12.5% 11.0% -12.5% -2.6% Call IV 25d 19.0% 12.9% 25.8% 24.5% 24.2% Put IV 25d 22.0% 15.7% 28.8% 27.3% 24.4% Bid-Ask Spread % 150.69 130.83 162.51 148.44 161.47 Gamma HHI 0.40 0.32 0.47 0.43 0.32 Net GEX 42 -2.5K 3.3K -1.6K 3.2K Net DEX 3.0K -33.8K 44.3K 44.3K -31.5K Net VEX -192 -272 -94 -266 -131 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.96 0.25 1.36 1.36 0.25 Total Volume 47.381 30 64 52 30 Total OI 73.667 28 93 90 28
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 2018-04-02 $29.81 $31.00 32.5% 9.3% 17.7% 85.6% 34.8% 2.8% -2.7% -1.6K 44.3K -266 1.36 148.44 N/A N/A 22 30 44 46 2018-04-03 $30.16 $31.00 29.0% 8.3% 17.8% 73.6% 24.5% 3.0% -13.8% -1.8K 32.7K -269 1.30 134.76 N/A N/A 23 30 44 46 2018-04-04 $30.57 $31.00 21.5% 6.2% 18.6% 47.5% 22.9% 9.7% -3.2% -2.0K 19.2K -264 1.30 138.57 N/A N/A 23 30 45 46 2018-04-05 $30.71 $0.00 23.4% 5.4% 18.7% 53.8% 0.0% 8.5% -4.3% -1.2K 6.2K -272 1.30 147.93 N/A N/A 23 30 45 46 2018-04-06 $30.12 $0.00 23.4% 5.5% 19.7% 53.9% 26.2% 0.6% -1.2% -2.5K 39.9K -243 1.25 130.83 N/A N/A 24 30 45 46 2018-04-09 $30.35 $31.00 26.7% 5.4% 19.3% 65.6% 12.1% 3.9% -2.3% -2.1K 29.3K -233 1.25 153.42 N/A N/A 24 30 46 46 2018-04-10 $30.60 $31.00 27.2% 5.4% 19.7% 67.4% 20.8% 2.6% -4.6% -1.4K 14.6K -239 1.25 145.32 N/A N/A 24 30 46 46 2018-04-11 $30.48 $31.00 18.8% 5.4% 19.6% 37.8% 13.7% 4.0% -3.0% -1.7K 23.3K -226 1.25 155.18 N/A N/A 24 30 46 46 2018-04-12 $30.67 $31.00 20.0% 5.7% 19.7% 42.2% 19.9% 7.4% -5.9% -1.6K 11.1K -225 1.25 145.58 N/A N/A 24 30 46 46 2018-04-13 $30.52 $31.00 15.6% 4.5% 19.8% 26.6% 13.8% 3.5% -0.4% -1.6K 19.8K -215 1.25 151.32 N/A N/A 24 30 47 46 2018-04-16 $30.86 $31.00 14.0% 4.0% 20.1% 21.3% 12.8% 2.6% 0.1% -265 -4.7K -188 1.25 152.04 N/A N/A 24 30 47 46 2018-04-17 $31.09 $31.00 16.0% 4.6% 19.9% 28.3% 15.8% 2.4% -2.1% 414 -22.3K -176 1.25 156.40 N/A N/A 24 30 47 46 2018-04-18 $30.99 $31.00 17.4% 5.0% 20.0% 33.0% 18.9% 1.8% -5.2% -164 -14.9K -164 1.25 155.99 N/A N/A 24 30 47 46 2018-04-19 $30.58 $31.00 18.3% 5.2% 20.5% 36.1% 20.6% 1.7% -8.1% -2.2K 14.5K -144 1.25 157.70 N/A N/A 24 30 47 46 2018-04-20 $30.23 $31.00 17.5% 5.0% 19.4% 33.3% 17.9% -0.6% -8.3% 1.7K 42.6K -94 0.88 150.67 N/A N/A 34 30 47 46 2018-04-23 $30.25 $31.00 19.8% 5.7% 18.3% 41.4% 19.7% 1.5% -5.0% 3.2K -33.8K -141 0.25 158.57 N/A N/A 24 6 26 2 2018-04-24 $30.00 $31.00 18.3% 5.2% 16.9% 36.1% 21.8% -0.1% -2.7% 3.2K -30.8K -133 0.25 154.04 N/A N/A 24 6 26 2 2018-04-25 $30.15 $31.00 14.7% 4.2% 16.8% 23.6% 12.8% 2.8% -1.6% 3.3K -31.3K -134 0.25 146.93 N/A N/A 24 6 26 2 2018-04-26 $30.40 $31.00 20.1% 5.8% 17.0% 42.5% 19.0% 3.2% -4.6% 3.2K -32.1K -137 0.25 156.77 N/A N/A 24 6 26 2 2018-04-27 $30.42 $31.00 21.0% 6.0% 16.6% 45.6% 20.2% 2.1% -4.6% 3.1K -32.6K -137 0.25 162.51 N/A N/A 24 6 26 2 2018-04-30 $30.25 $31.00 21.0% 6.0% 14.6% 45.5% 23.2% 0.2% -5.3% 3.2K -31.5K -131 0.25 161.47 N/A N/A 24 6 26 2
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