OUSA Options History — February 2020 In February 2020, OUSA traded between $32.12 and $37.34. ATM implied volatility averaged 26.2%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 13.3% (HV 20d: 12.9%). Max pain ranged from $35.00 to $37.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.00.
Notable Days 2020-02-25 : Highest Volume — 3 contracts2020-02-12 : Largest IV spike — 189.8% change2020-02-28 : Highest IV Rank — 58.0%2020-02-28 : Largest Expected Move — 13.6%Monthly Statistics Metric Avg Min Max Open Close Price $36.32 $32.12 $37.34 $36.26 $32.12 Max Pain $35.32 $35.00 $37.00 $37.00 $35.00 ATM IV 26.2% 9.9% 47.4% 30.1% 47.4% Expected Move 7.5% 3.3% 13.6% 8.6% 13.6% HV 20d 12.9% 9.5% 24.8% 9.5% 24.8% HV 60d 9.3% 7.5% 16.2% 7.5% 16.2% IV Rank 27.0% 3.1% 58.0% 32.8% 58.0% IV Percentile 60.9% 2.0% 96.4% 84.5% 96.4% Term Structure -1.9% -10.9% 18.0% -2.5% -8.9% VWIV 30.2% 30.2% 30.2% 30.2% 30.2% Skew 25d 6.2% -3.7% 13.1% -1.5% 13.1% Skew 10d 4.9% -7.6% 18.9% 0.4% 2.8% Call IV 25d 18.9% 8.2% 34.1% 26.6% 34.1% Put IV 25d 25.1% 12.9% 47.2% 25.0% 47.2% Bid-Ask Spread % 170.76 111.71 198.76 160.07 187.88 Gamma HHI 0.42 0.36 0.58 0.44 0.42 Net GEX 1.8K -12.4K 4.1K 4.1K 1.6K Net DEX -53.2K -77.8K -6.1K -41.4K -6.1K Net VEX -184 -225 -138 -224 -138 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.00 0.00 2.00 0.00 2.00 Total Volume 0.263 0 3 0 0 Total OI 39.947 35 41 41 39
Daily Data (19 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 2020-02-03 $36.26 $37.00 30.1% 8.6% 9.5% 32.8% 0.0% -1.5% -2.5% 4.1K -41.4K -224 0.00 160.07 N/A N/A 0 0 31 10 2020-02-04 $36.67 $37.00 18.4% 5.3% 10.3% 15.6% 0.0% -1.8% 18.0% 2.9K -50.5K -225 0.00 182.49 N/A N/A 1 0 31 10 2020-02-05 $37.14 $37.00 30.0% 8.6% 11.2% 32.6% 0.0% 8.8% -6.1% 3.0K -61.7K -215 0.00 179.11 N/A N/A 0 0 31 10 2020-02-06 $37.25 $35.00 18.9% 3.7% 11.0% 16.3% 0.0% 5.9% -2.2% 3.5K -73.0K -174 0.00 111.71 N/A N/A 0 0 31 10 2020-02-07 $37.08 $35.00 25.1% 6.2% 11.1% 25.3% 0.0% 6.1% -1.3% 2.3K -59.7K -210 0.00 164.75 N/A N/A 0 0 31 10 2020-02-10 $37.12 $35.00 13.3% 6.0% 11.1% 8.1% 0.0% 9.5% -0.2% 1.1K -64.1K -199 0.00 151.46 N/A N/A 0 0 31 10 2020-02-11 $37.27 $35.00 9.9% 3.4% 11.1% 3.1% 0.0% 3.8% 0.7% 2.3K -77.8K -150 0.00 144.52 N/A N/A 0 0 31 10 2020-02-12 $37.34 $35.00 28.6% 8.2% 11.1% 30.5% 0.0% 12.6% -4.1% 2.3K -64.1K -200 0.00 198.76 N/A N/A 0 0 31 10 2020-02-13 $37.24 $35.00 20.4% 5.9% 11.1% 18.5% 0.0% 12.1% -6.0% 2.4K -63.0K -197 0.00 198.74 N/A N/A 0 0 31 10 2020-02-14 $37.19 $35.00 11.8% 3.4% 10.8% 5.9% 0.0% 4.7% 14.6% 2.9K -67.4K -166 0.00 159.86 N/A N/A 0 0 31 10 2020-02-18 $37.03 $35.00 11.6% 3.3% 10.8% 5.6% 0.0% 2.9% 13.6% 1.1K -67.7K -166 0.00 151.63 N/A N/A 0 0 31 10 2020-02-19 $37.10 $35.00 27.9% 8.0% 10.8% 29.4% 0.0% -3.7% -6.6% 2.6K -62.6K -179 0.00 193.97 N/A N/A 0 0 31 10 2020-02-20 $37.03 $35.00 27.2% 7.8% 10.8% 28.5% 0.0% 6.2% -3.0% 3.0K -58.4K -177 0.00 189.37 N/A N/A 0 0 31 10 2020-02-21 $36.90 $35.00 23.3% 6.7% 10.9% 22.7% 0.0% 7.5% -5.9% -12.4K -50.5K -172 0.00 152.83 N/A N/A 0 0 31 10 2020-02-24 $36.06 $35.00 36.4% 10.4% 13.4% 42.0% 0.0% 7.3% -9.3% 3.4K -52.5K -180 0.00 185.42 N/A N/A 0 0 30 5 2020-02-25 $34.95 $35.00 33.1% 9.5% 16.9% 37.1% 30.2% 4.3% -6.5% 2.9K -39.0K -175 2.00 174.57 N/A N/A 1 2 30 5 2020-02-26 $34.83 $35.00 39.0% 11.2% 16.7% 45.7% 0.0% 8.8% -9.8% 2.5K -32.0K -182 0.00 184.20 N/A N/A 0 0 31 7 2020-02-27 $33.53 $35.00 45.0% 12.9% 20.8% 54.5% 0.0% 11.3% -10.9% 1.9K -18.8K -160 0.00 173.21 N/A N/A 0 1 31 7 2020-02-28 $32.12 $35.00 47.4% 13.6% 24.8% 58.0% 0.0% 13.1% -8.9% 1.6K -6.1K -138 0.00 187.88 N/A N/A 0 0 31 8
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