OUSA Options History — June 2020

In June 2020, OUSA traded between $32.38 and $34.42. ATM implied volatility averaged 40.1%, placing in the 27.8% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 14.8% (HV 20d: 25.4%). Max pain ranged from $28.00 to $33.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.34.

Notable Days

  • 2020-06-04: Highest Volume — 234 contracts
  • 2020-06-24: Largest IV spike — 78.4% change
  • 2020-06-24: Highest IV Rank — 63.8%
  • 2020-06-24: Largest Expected Move — 23.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.28$32.38$34.42$33.09$33.08
Max Pain$28.48$28.00$33.00$33.00$28.00
ATM IV40.1%22.2%81.5%23.8%49.7%
Expected Move12.1%6.8%23.4%6.8%14.3%
HV 20d25.4%21.5%29.1%21.5%27.8%
HV 60d37.3%27.6%48.5%48.5%27.6%
IV Rank27.8%12.1%63.8%13.6%36.1%
IV Percentile72.7%38.1%97.2%46.0%86.5%
Term Structure4.3%-25.0%35.4%7.5%8.2%
VWIV41.9%23.4%79.6%27.1%79.6%
Skew 25d11.9%-3.5%31.9%5.6%5.7%
Skew 10d12.0%-9.8%39.5%4.2%21.9%
Call IV 25d31.9%17.4%59.5%20.7%59.5%
Put IV 25d43.8%26.3%66.4%26.3%65.3%
Bid-Ask Spread %152.16134.32169.61137.35169.61
Gamma HHI0.370.220.690.690.34
Net GEX4.4K1.3K7.0K5.4K5.7K
Net DEX-66.4K-115.5K-10.5K-41.4K-75.5K
Net VEX-365-584-158-293-584
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.005.005.002.14
Total Volume36.455023460
Total OI266.682103311103278

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$33.09$0.0023.8%6.8%21.5%13.6%27.1%5.6%7.5%5.4K-41.4K-2935.00137.35N/AN/A159310
2020-06-02$33.18$33.0027.7%7.9%21.5%16.9%0.0%2.8%3.6%1.3K-10.5K-2300.00151.45N/AN/A01059425
2020-06-03$33.78$33.0027.8%8.0%22.1%17.0%0.0%8.1%-3.5%3.4K-34.2K-3430.00151.92N/AN/A0094130
2020-06-04$33.42$28.0026.1%9.4%22.2%15.5%27.5%25.9%18.4%3.2K-42.4K-3611.25157.13N/AN/A10413094130
2020-06-05$34.24$28.0022.2%12.9%23.4%12.1%0.0%-3.5%-1.0%4.6K-87.8K-4020.00158.45N/AN/A0119104130
2020-06-08$34.42$28.0033.0%11.1%22.8%21.6%0.0%16.7%-6.7%6.4K-97.6K-4120.00154.13N/AN/A049104144
2020-06-09$34.31$28.0030.8%10.6%22.9%19.6%0.0%19.6%-25.0%6.9K-115.5K-4290.00146.86N/AN/A10104193
2020-06-10$34.26$28.0039.8%11.4%21.9%27.5%0.0%6.2%-9.6%4.3K-62.8K-2150.00148.78N/AN/A00104193
2020-06-11$32.38$28.0041.6%11.9%29.1%29.1%0.0%-1.5%0.3%1.3K-29.0K-5260.00150.56N/AN/A00104193
2020-06-12$32.46$28.0044.0%12.6%28.8%31.1%0.0%23.2%-11.9%3.3K-44.7K-3130.00157.79N/AN/A00104193
2020-06-15$32.62$28.0030.0%8.6%28.8%19.0%0.0%20.9%6.6%2.1K-26.7K-2081.00150.19N/AN/A11104193
2020-06-16$33.35$28.0047.3%13.6%26.9%34.0%51.6%6.5%-9.9%3.9K-82.2K-3690.00161.04N/AN/A110105194
2020-06-17$33.38$28.0050.1%14.4%26.2%36.4%0.0%2.2%-11.0%3.7K-93.2K-3920.00145.65N/AN/A00116194
2020-06-18$33.31$28.0056.0%16.0%26.1%41.6%23.4%8.6%18.6%4.5K-95.8K-4080.00144.38N/AN/A10116194
2020-06-19$33.30$28.0052.0%14.9%26.0%38.1%0.0%4.8%34.8%1.8K-111.1K-3960.00166.38N/AN/A00117194
2020-06-22$33.26$28.0033.1%9.5%26.0%21.6%0.0%19.9%-2.5%6.1K-63.3K-4000.00134.32N/AN/A00117179
2020-06-23$33.55$28.0045.7%13.1%25.5%32.6%79.6%31.9%35.4%4.8K-48.2K-4362.14153.38N/AN/A2860117179
2020-06-24$32.77$28.0081.5%23.4%26.8%63.8%0.0%1.7%-9.1%6.2K-93.5K-3710.00150.40N/AN/A0186117179
2020-06-25$32.91$28.0034.5%9.9%26.8%22.8%0.0%12.9%19.7%7.0K-82.7K-3210.00145.68N/AN/A00117161
2020-06-26$32.45$28.0051.9%14.9%27.3%38.1%0.0%31.0%30.9%4.7K-72.2K-4640.00149.49N/AN/A00117161
2020-06-29$32.64$28.0034.5%9.9%27.4%22.9%0.0%13.3%0.9%5.5K-49.6K-1580.00162.44N/AN/A00117161
2020-06-30$33.08$28.0049.7%14.3%27.8%36.1%0.0%5.7%8.2%5.7K-75.5K-5840.00169.61N/AN/A00117161