OUSA Options History — March 2020

In March 2020, OUSA traded between $24.73 and $34.84. ATM implied volatility averaged 68.4%, placing in the 61.3% IV rank vs the trailing year. The 30-day expected move averaged 18.8%. IV traded above realized volatility by 14.0% (HV 20d: 54.4%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.30.

Notable Days

  • 2020-03-04: Highest Volume — 87 contracts
  • 2020-03-12: Largest IV spike — 147.6% change
  • 2020-03-12: Highest IV Rank — 100.0%
  • 2020-03-12: Largest Expected Move — 35.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.86$24.73$34.84$33.90$29.01
Max Pain$34.50$34.00$35.00$35.00$35.00
ATM IV68.4%27.4%123.0%42.3%46.7%
Expected Move18.8%7.4%35.3%12.1%13.4%
HV 20d54.4%32.3%76.6%32.5%72.9%
HV 60d33.3%19.7%45.8%19.8%45.8%
IV Rank61.3%28.7%100.0%50.5%33.8%
IV Percentile95.4%75.4%100.0%94.0%89.7%
Term Structure-14.6%-42.2%7.4%-9.0%-4.4%
VWIV50.4%25.2%78.0%45.3%78.0%
Skew 25d22.6%5.2%45.3%17.1%11.6%
Skew 10d20.6%5.4%45.3%7.8%12.9%
Call IV 25d46.5%20.6%80.8%31.3%35.0%
Put IV 25d69.1%36.6%126.1%48.4%46.6%
Bid-Ask Spread %153.10114.01182.31178.49122.92
Gamma HHI0.480.370.790.390.79
Net GEX3.3K1.3K8.7K2.0K2.4K
Net DEX-33.5K-90.6K6.2K-1.7K-7.9K
Net VEX-390-710-117-117-263
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.000.500.000.50
Total Volume4.90908710
Total OI115.7273913239124

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-03-02$33.90$35.0042.3%12.1%32.5%50.5%45.3%17.1%-9.0%2.0K-1.7K-1170.00178.49N/AN/A10318
2020-03-03$33.75$35.0037.7%10.8%32.3%43.8%0.0%5.2%2.4%2.0K-17.5K-1590.00173.21N/AN/A00328
2020-03-04$34.84$35.0027.4%7.8%34.3%28.7%53.2%15.0%7.4%3.0K-30.8K-1710.01148.86N/AN/A861328
2020-03-05$33.92$34.0039.6%7.4%34.8%46.6%0.0%16.0%-3.0%8.7K-73.1K-6470.00140.22N/AN/A001179
2020-03-06$33.56$34.0046.2%11.5%34.8%56.3%0.0%21.1%-3.5%6.7K-84.5K-6840.50167.82N/AN/A211179
2020-03-09$31.72$34.0063.0%12.6%39.2%80.9%25.2%32.3%-2.0%5.2K-59.6K-6040.50154.62N/AN/A2111910
2020-03-10$32.43$34.0075.7%14.9%40.6%99.4%0.0%9.8%-2.9%5.4K-90.6K-7100.00155.71N/AN/A0012111
2020-03-11$31.18$34.0049.7%14.2%41.9%61.3%0.0%21.1%-6.8%5.0K-68.6K-6360.00140.99N/AN/A0012111
2020-03-12$28.76$34.00123.0%35.3%48.8%100.0%0.0%45.3%-40.4%3.1K-36.0K-4410.00182.31N/AN/A0012111
2020-03-13$29.70$34.0064.1%18.4%51.3%48.9%0.0%24.0%-26.7%3.6K-36.2K-4670.50159.69N/AN/A2112111
2020-03-16$27.93$34.00103.9%29.8%54.1%83.4%0.0%41.8%-18.3%2.9K-57.3K-5590.00179.23N/AN/A0011911
2020-03-17$28.89$34.00102.6%29.4%56.7%82.3%0.0%42.9%-42.2%3.3K-55.8K-5400.00170.75N/AN/A0011911
2020-03-18$26.88$34.0091.1%26.1%60.2%72.4%0.0%25.5%-20.9%2.6K-37.1K-4590.00158.42N/AN/A0011911
2020-03-19$27.55$34.0068.8%19.7%61.7%53.0%78.0%25.3%-20.4%2.6K-11.2K-3290.00153.19N/AN/A01011911
2020-03-20$26.24$35.00102.8%29.5%62.7%82.5%0.0%23.0%-29.8%2.2K-29.8K-4180.00170.20N/AN/A0111911
2020-03-23$24.73$35.0096.3%27.6%64.5%76.9%0.0%20.8%-30.0%1.3K-6.2K-1900.00149.64N/AN/A001177
2020-03-24$26.83$35.0085.1%24.4%73.4%67.1%0.0%23.5%-19.3%2.0K-11.2K-2500.00159.97N/AN/A001177
2020-03-25$28.06$35.0071.6%20.5%76.2%55.4%0.0%19.4%-20.6%2.4K-14.7K-3050.00146.54N/AN/A001177
2020-03-26$28.82$35.0058.7%16.8%76.6%44.2%0.0%26.4%-16.0%2.8K-16.4K-3160.00114.01N/AN/A001177
2020-03-27$28.82$35.0057.3%16.4%75.5%43.0%0.0%17.4%-9.1%1.7K6.2K-1500.00117.44N/AN/A001177
2020-03-30$29.43$35.0051.9%14.9%72.9%38.3%0.0%13.1%-5.0%2.0K4.2K-1720.00124.05N/AN/A001177
2020-03-31$29.01$35.0046.7%13.4%72.9%33.8%0.0%11.6%-4.4%2.4K-7.9K-2630.00122.92N/AN/A001177