OUSA Options History — January 2020

In January 2020, OUSA traded between $36.07 and $37.43. ATM implied volatility averaged 27.2%, placing in the 28.4% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 21.1% (HV 20d: 6.1%). Max pain ranged from $31.00 to $37.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.25.

Notable Days

2020-01-06: Highest Volume — 10 contracts
2020-01-03: Largest IV spike — 97.8% change
2020-01-14: Highest IV Rank — 85.6%
2020-01-31: Largest Expected Move — 11.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.91	$36.07	$37.43	$36.74	$36.07
Max Pain	$36.40	$31.00	$37.00	$31.00	$37.00
ATM IV	27.2%	13.5%	66.3%	16.2%	40.5%
Expected Move	6.1%	2.2%	11.6%	4.6%	11.6%
HV 20d	6.1%	5.2%	9.3%	6.3%	9.3%
HV 60d	6.2%	5.8%	7.4%	6.9%	7.4%
IV Rank	28.4%	8.3%	85.6%	12.4%	47.8%
IV Percentile	62.6%	4.8%	99.6%	16.3%	94.0%
Term Structure	3.7%	-16.9%	61.7%	-16.9%	-12.7%
VWIV	11.5%	6.9%	18.3%	6.9%	18.3%
Skew 25d	4.5%	-8.0%	14.3%	4.7%	-5.3%
Skew 10d	2.5%	-9.8%	18.5%	14.4%	-4.7%
Call IV 25d	13.8%	6.0%	28.8%	15.4%	23.5%
Put IV 25d	18.3%	8.7%	30.9%	20.1%	18.2%
Bid-Ask Spread %	163.03	123.65	200.00	149.86	171.70
Gamma HHI	0.54	0.31	0.82	0.82	0.46
Net GEX	4.2K	1.3K	8.1K	8.1K	3.5K
Net DEX	-66.2K	-91.5K	-42.0K	-85.5K	-42.0K
Net VEX	-208	-238	-171	-190	-238
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.25	0.00	1.00	1.00	0.00
Total Volume	1.048	0	10	0	5
Total OI	38.238	29	41	35	41

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
2020-01-02	$36.74	$31.00	16.2%	4.6%	6.3%	12.4%	0.0%	4.7%	-16.9%	8.1K	-85.5K	-190	0.00	149.86	N/A	N/A	0	0	34	1
2020-01-03	$36.60	$31.00	32.1%	9.2%	6.0%	35.5%	0.0%	-8.0%	-7.5%	6.8K	-74.6K	-199	0.00	157.63	N/A	N/A	0	0	34	1
2020-01-06	$36.61	$0.00	17.9%	4.3%	6.0%	14.8%	6.9%	9.8%	-4.0%	6.8K	-77.3K	-201	1.00	156.60	N/A	N/A	5	5	34	1
2020-01-07	$36.50	$37.00	23.6%	6.2%	5.5%	23.2%	0.0%	6.4%	-3.9%	6.2K	-65.0K	-223	0.00	160.84	N/A	N/A	0	0	34	6
2020-01-08	$36.74	$37.00	31.8%	6.0%	5.9%	35.2%	0.0%	5.5%	-1.3%	5.0K	-67.9K	-218	0.00	174.01	N/A	N/A	0	0	34	6
2020-01-09	$36.82	$37.00	29.2%	2.2%	5.7%	31.3%	0.0%	5.0%	3.0%	5.0K	-74.4K	-209	0.00	145.38	N/A	N/A	0	0	34	6
2020-01-10	$36.75	$37.00	53.3%	7.5%	5.9%	66.6%	0.0%	-3.9%	-5.3%	4.4K	-68.6K	-217	0.00	200.00	N/A	N/A	0	0	34	6
2020-01-13	$36.93	$37.00	33.9%	5.3%	5.7%	38.3%	0.0%	3.8%	4.4%	5.1K	-73.7K	-203	0.00	182.57	N/A	N/A	0	0	34	6
2020-01-14	$36.94	$37.00	66.3%	6.9%	5.7%	85.6%	0.0%	9.9%	1.2%	6.1K	-71.0K	-192	0.00	181.38	N/A	N/A	0	0	34	6
2020-01-15	$37.07	$37.00	25.0%	7.2%	5.4%	25.3%	0.0%	-1.7%	-1.3%	4.5K	-76.2K	-199	0.00	172.41	N/A	N/A	0	0	34	6
2020-01-16	$37.34	$37.00	20.4%	5.8%	5.8%	18.5%	0.0%	-3.2%	1.6%	4.5K	-80.5K	-190	0.00	161.81	N/A	N/A	0	0	34	6
2020-01-17	$37.43	$37.00	13.5%	3.9%	5.8%	8.3%	0.0%	14.3%	-0.1%	2.1K	-91.5K	-178	0.00	156.55	N/A	N/A	0	0	34	6
2020-01-21	$37.35	$37.00	22.3%	6.4%	5.9%	21.3%	0.0%	5.6%	60.9%	2.3K	-54.5K	-172	0.00	175.75	N/A	N/A	0	0	24	5
2020-01-22	$37.38	$37.00	21.9%	6.3%	5.2%	20.6%	9.3%	11.4%	61.7%	2.3K	-54.2K	-171	0.00	170.01	N/A	N/A	1	0	24	5
2020-01-23	$37.40	$37.00	16.2%	4.7%	5.2%	12.4%	0.0%	6.3%	7.0%	1.3K	-51.8K	-198	0.00	132.04	N/A	N/A	5	0	25	10
2020-01-24	$37.15	$37.00	19.7%	5.7%	5.8%	17.5%	0.0%	3.0%	5.0%	2.2K	-58.8K	-238	0.00	173.46	N/A	N/A	1	0	30	10
2020-01-27	$36.80	$37.00	16.9%	4.8%	6.8%	13.3%	0.0%	7.8%	-6.3%	2.6K	-57.6K	-233	0.00	130.25	N/A	N/A	0	0	31	10
2020-01-28	$36.94	$37.00	19.9%	5.7%	6.9%	17.7%	0.0%	7.7%	-1.9%	2.6K	-57.4K	-232	0.00	123.65	N/A	N/A	0	0	31	10
2020-01-29	$36.88	$37.00	22.8%	6.5%	6.7%	22.0%	0.0%	13.7%	-3.1%	2.1K	-56.2K	-233	0.00	174.38	N/A	N/A	0	0	31	10
2020-01-30	$36.72	$37.00	27.1%	7.8%	6.9%	28.3%	0.0%	1.1%	-2.2%	3.5K	-51.0K	-227	0.00	173.41	N/A	N/A	0	0	31	10
2020-01-31	$36.07	$37.00	40.5%	11.6%	9.3%	47.8%	18.3%	-5.3%	-12.7%	3.5K	-42.0K	-238	0.00	171.70	N/A	N/A	0	5	31	10