OUSA Options History — September 2019 In September 2019, OUSA traded between $34.05 and $35.05. ATM implied volatility averaged 20.7%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 9.2% (HV 20d: 11.6%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2019-09-04 : Highest Volume — 20 contracts2019-09-26 : Largest IV spike — 80.7% change2019-09-10 : Highest IV Rank — 24.8%2019-09-09 : Largest Expected Move — 7.2%Monthly Statistics Metric Avg Min Max Open Close Price $34.70 $34.05 $35.05 $34.05 $34.78 Max Pain $34.10 $34.00 $35.00 $35.00 $34.00 ATM IV 20.7% 9.9% 32.4% 17.0% 19.4% Expected Move 5.5% 2.8% 7.2% 4.9% 5.5% HV 20d 11.6% 6.2% 16.5% 16.3% 7.1% HV 60d 12.3% 12.1% 12.4% 12.1% 12.2% IV Rank 13.0% 2.1% 24.8% 9.3% 11.6% IV Percentile 53.9% 1.6% 93.7% 21.8% 45.2% Term Structure 19.0% -6.9% 85.5% 2.0% 85.5% VWIV 15.3% 15.3% 15.3% 15.3% 15.3% Skew 25d 7.2% 1.2% 14.8% 1.9% 7.7% Skew 10d 8.3% -1.0% 18.3% -1.0% 11.2% Call IV 25d 14.5% 10.3% 23.0% 16.2% 15.7% Put IV 25d 21.7% 11.5% 29.1% 18.1% 23.4% Bid-Ask Spread % 162.47 123.53 172.82 145.58 157.47 Gamma HHI 0.47 0.21 0.73 0.24 0.24 Net GEX 2.9K -1.0K 7.9K -737 -808 Net DEX -20.4K -52.9K 5.3K 5.3K -2.2K Net VEX -94 -136 -52 -80 -60 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 1.5 0 20 0 0 Total OI 30.2 16 47 17 16
Daily Data (20 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 2019-09-03 $34.05 $35.00 17.0% 4.9% 16.3% 9.3% 0.0% 1.9% 2.0% -737 5.3K -80 0.00 145.58 N/A N/A 0 0 7 10 2019-09-04 $34.32 $35.00 21.8% 6.2% 16.3% 14.1% 15.3% 6.2% -3.1% -541 1.7K -85 0.00 166.96 N/A N/A 20 0 7 10 2019-09-05 $34.60 $34.00 21.1% 4.3% 16.5% 13.4% 0.0% 6.0% -0.9% 5.4K -29.5K -136 0.00 157.94 N/A N/A 0 0 27 10 2019-09-06 $34.70 $34.00 21.0% 4.2% 15.8% 13.3% 0.0% 8.6% -0.8% 5.5K -32.1K -135 0.00 159.38 N/A N/A 0 0 27 10 2019-09-09 $34.62 $34.00 29.9% 7.2% 15.8% 22.2% 0.0% 8.8% -6.9% 3.9K -30.9K -132 0.00 172.82 N/A N/A 0 0 27 10 2019-09-10 $34.58 $34.00 32.4% 5.9% 15.1% 24.8% 0.0% 12.8% -3.7% 4.1K -29.4K -127 0.00 170.21 N/A N/A 0 0 27 10 2019-09-11 $34.84 $34.00 19.7% 5.6% 14.9% 12.0% 0.0% 9.3% -2.4% 6.4K -34.2K -115 0.00 169.34 N/A N/A 0 0 27 10 2019-09-12 $35.05 $34.00 20.2% 5.8% 12.1% 12.5% 0.0% 4.8% -2.8% 5.2K -40.4K -120 0.00 167.49 N/A N/A 0 0 27 10 2019-09-13 $34.90 $34.00 19.7% 5.6% 12.3% 12.0% 0.0% 2.7% -2.6% 5.0K -36.4K -110 0.00 169.13 N/A N/A 0 0 27 10 2019-09-16 $34.75 $34.00 20.6% 5.9% 12.1% 12.9% 0.0% 5.8% -3.2% 5.5K -32.1K -95 0.00 170.04 N/A N/A 0 0 27 10 2019-09-17 $34.83 $34.00 20.9% 6.0% 11.3% 13.2% 0.0% 6.3% -3.2% 6.5K -34.9K -98 0.00 160.79 N/A N/A 10 0 27 10 2019-09-18 $34.85 $34.00 20.6% 5.9% 11.0% 13.0% 0.0% 13.5% -3.1% 7.4K -52.9K -103 0.00 168.60 N/A N/A 0 0 37 10 2019-09-19 $34.85 $34.00 21.0% 6.0% 10.8% 13.3% 0.0% 2.8% -3.7% 7.9K -52.3K -94 0.00 168.72 N/A N/A 0 0 37 10 2019-09-20 $34.78 $34.00 15.2% 4.4% 10.8% 7.5% 0.0% 5.6% 8.5% 1.7K -1.5K -68 0.00 168.46 N/A N/A 0 0 37 10 2019-09-23 $34.83 $34.00 22.3% 6.4% 6.2% 14.6% 0.0% 14.8% 75.8% -682 -920 -68 0.00 169.27 N/A N/A 0 0 6 10 2019-09-24 $34.63 $34.00 24.5% 7.0% 6.7% 16.8% 0.0% 14.4% 76.1% -728 594 -69 0.00 168.86 N/A N/A 0 0 6 10 2019-09-25 $34.76 $34.00 9.9% 2.8% 6.7% 2.1% 0.0% 1.2% 2.1% -917 -3.8K -52 0.00 123.53 N/A N/A 0 0 6 10 2019-09-26 $34.74 $34.00 17.8% 5.1% 6.7% 10.1% 0.0% 4.0% 83.0% -784 -1.4K -60 0.00 158.75 N/A N/A 0 0 6 10 2019-09-27 $34.56 $34.00 19.4% 5.5% 6.8% 11.6% 0.0% 6.5% 84.4% -1.0K -859 -65 0.00 156.06 N/A N/A 0 0 6 10 2019-09-30 $34.78 $34.00 19.4% 5.5% 7.1% 11.6% 0.0% 7.7% 85.5% -808 -2.2K -60 0.00 157.47 N/A N/A 0 0 6 10
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