OUSA Options History — July 2020 In July 2020, OUSA traded between $33.38 and $35.15. ATM implied volatility averaged 40.4%, placing in the 28.0% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 23.7% (HV 20d: 16.7%). Max pain ranged from $28.00 to $34.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.52.
Notable Days 2020-07-15 : Highest Volume — 240 contracts2020-07-13 : Largest IV spike — 176.3% change2020-07-07 : Highest IV Rank — 75.1%2020-07-07 : Largest Expected Move — 24.3%Monthly Statistics Metric Avg Min Max Open Close Price $34.32 $33.38 $35.15 $33.38 $34.81 Max Pain $33.43 $28.00 $34.00 $28.00 $34.00 ATM IV 40.4% 21.0% 94.5% 83.5% 28.7% Expected Move 10.9% 6.0% 24.3% 23.9% 8.2% HV 20d 16.7% 10.2% 27.2% 27.2% 10.6% HV 60d 22.7% 20.8% 25.2% 25.2% 20.8% IV Rank 28.0% 11.1% 75.1% 65.5% 17.8% IV Percentile 60.6% 24.2% 98.0% 97.2% 46.4% Term Structure -2.1% -54.1% 11.5% -54.1% 0.7% VWIV 26.8% 20.1% 34.3% 34.3% 20.1% Skew 25d 14.5% -10.5% 78.2% -1.2% 7.7% Skew 10d 13.8% -11.5% 78.2% 22.5% -4.0% Call IV 25d 23.0% 11.5% 41.5% 34.9% 36.5% Put IV 25d 37.5% 24.6% 95.0% 33.7% 44.2% Bid-Ask Spread % 140.89 106.35 176.23 158.38 132.53 Gamma HHI 0.32 0.20 0.48 0.48 0.29 Net GEX 4.6K 449 8.9K 8.6K 1.3K Net DEX -81.2K -130.9K -42.7K -110.9K -61.3K Net VEX -405 -768 -162 -328 -518 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.52 0.00 6.48 0.00 0.00 Total Volume 23.318 0 240 0 0 Total OI 255.273 187 310 278 223
Daily Data (22 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 2020-07-01 $33.38 $28.00 83.5% 23.9% 27.2% 65.5% 0.0% -1.2% -54.1% 8.6K -110.9K -328 0.00 158.38 N/A N/A 0 0 117 161 2020-07-02 $33.48 $28.00 64.0% 18.4% 27.0% 48.6% 0.0% -10.5% -8.8% 7.8K -80.2K -239 0.00 153.66 N/A N/A 1 0 117 161 2020-07-06 $33.75 $0.00 34.5% 9.6% 25.6% 22.9% 34.3% 33.4% 8.2% 7.5K -73.7K -171 6.48 167.45 N/A N/A 31 201 118 161 2020-07-07 $33.58 $34.00 94.5% 24.3% 25.6% 75.1% 0.0% 78.2% -14.3% 4.9K -95.9K -768 0.00 173.21 N/A N/A 0 0 121 163 2020-07-08 $33.73 $34.00 47.9% 19.7% 25.6% 34.6% 0.0% 28.9% 4.3% 3.4K -42.7K -493 0.00 176.23 N/A N/A 0 0 121 163 2020-07-09 $33.50 $34.00 24.9% 7.6% 25.7% 14.4% 0.0% 2.4% -2.9% 5.0K -63.6K -166 0.00 106.35 N/A N/A 0 1 121 163 2020-07-10 $33.79 $34.00 24.6% 9.1% 15.5% 14.2% 0.0% 30.6% 6.2% 2.9K -73.5K -162 0.00 131.31 N/A N/A 18 0 121 164 2020-07-13 $33.80 $34.00 67.8% 10.4% 15.5% 51.9% 0.0% 1.5% 5.4% 8.9K -114.7K -393 0.00 144.80 N/A N/A 0 3 139 164 2020-07-14 $34.15 $34.00 69.8% 9.5% 15.8% 53.6% 0.0% 15.7% 0.9% 6.3K -103.4K -314 0.00 135.61 N/A N/A 1 0 139 167 2020-07-15 $34.53 $34.00 30.2% 8.7% 14.4% 19.1% 26.0% 15.6% 2.2% 8.8K -110.1K -469 5.67 121.14 N/A N/A 36 204 139 167 2020-07-16 $34.46 $34.00 31.1% 8.9% 14.4% 19.9% 0.0% 14.6% 4.6% 7.1K -116.8K -344 0.00 153.46 N/A N/A 0 0 143 167 2020-07-17 $34.70 $34.00 31.3% 9.0% 14.5% 20.1% 0.0% 21.0% 2.9% 3.2K -130.9K -333 0.00 161.52 N/A N/A 0 0 143 167 2020-07-20 $34.80 $34.00 33.6% 9.6% 14.4% 22.0% 20.1% 7.8% -8.4% 2.5K -59.2K -331 0.00 139.93 N/A N/A 11 0 36 151 2020-07-21 $34.88 $34.00 21.0% 6.0% 14.4% 11.1% 0.0% 8.4% 4.7% 4.2K -71.3K -417 0.00 128.66 N/A N/A 5 0 47 151 2020-07-22 $35.15 $34.00 24.4% 7.0% 14.3% 14.1% 0.0% 14.9% 11.5% 4.0K -87.9K -476 0.00 142.10 N/A N/A 0 0 52 151 2020-07-23 $34.76 $34.00 27.2% 7.8% 11.8% 16.5% 0.0% 15.8% 1.3% 3.8K -85.6K -473 0.00 122.22 N/A N/A 0 0 52 151 2020-07-24 $34.57 $34.00 35.1% 10.1% 12.2% 23.4% 0.0% 7.6% -9.4% 4.7K -78.4K -459 0.00 137.34 N/A N/A 1 0 52 151 2020-07-27 $34.79 $34.00 29.0% 8.3% 10.6% 18.1% 0.0% 5.8% 10.3% 1.7K -57.4K -513 0.00 125.71 N/A N/A 0 0 53 170 2020-07-28 $34.70 $34.00 29.4% 8.4% 10.7% 18.4% 0.0% 11.1% -3.7% 1.8K -55.2K -515 0.00 127.65 N/A N/A 0 0 53 170 2020-07-29 $34.98 $34.00 21.5% 6.2% 10.2% 11.5% 0.0% 15.2% -1.3% 449 -62.3K -513 0.00 126.99 N/A N/A 0 0 53 170 2020-07-30 $34.70 $34.00 34.5% 9.9% 10.6% 22.9% 0.0% -6.3% -5.5% 1.4K -51.6K -514 0.00 133.42 N/A N/A 0 0 53 170 2020-07-31 $34.81 $34.00 28.7% 8.2% 10.6% 17.8% 0.0% 7.7% 0.7% 1.3K -61.3K -518 0.00 132.53 N/A N/A 0 0 53 170
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