OUSA Options History — November 2020

In November 2020, OUSA traded between $34.82 and $37.66. ATM implied volatility averaged 27.8%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 8.4% (HV 20d: 19.4%). Max pain ranged from $36.00 to $38.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.88.

Notable Days

2020-11-16: Highest Volume — 11 contracts
2020-11-09: Largest IV spike — 55.5% change
2020-11-02: Highest IV Rank — 31.6%
2020-11-02: Largest Expected Move — 12.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.98	$34.82	$37.66	$34.82	$37.43
Max Pain	$37.70	$36.00	$38.00	$36.00	$38.00
ATM IV	27.8%	19.3%	44.5%	44.5%	26.2%
Expected Move	7.7%	5.5%	12.8%	12.8%	7.5%
HV 20d	19.4%	14.3%	21.5%	18.1%	14.3%
HV 60d	19.0%	17.3%	19.5%	18.1%	17.3%
IV Rank	17.0%	9.6%	31.6%	31.6%	15.6%
IV Percentile	35.6%	9.9%	77.0%	77.0%	32.1%
Term Structure	-3.5%	-27.7%	6.6%	-27.7%	-2.2%
VWIV	20.6%	17.8%	25.4%	25.4%	17.8%
Skew 25d	12.1%	-0.0%	32.3%	11.3%	0.3%
Skew 10d	9.7%	-7.7%	27.6%	5.0%	1.0%
Call IV 25d	18.5%	11.0%	32.8%	30.1%	18.3%
Put IV 25d	30.6%	18.7%	50.7%	41.4%	18.7%
Bid-Ask Spread %	120.97	103.32	150.81	138.40	129.30
Gamma HHI	0.43	0.26	0.73	0.34	0.26
Net GEX	22.4K	-5.9K	59.0K	12.1K	13.9K
Net DEX	-224.4K	-325.0K	-104.4K	-104.4K	-192.0K
Net VEX	-892	-1.0K	-707	-959	-707
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.88	0.00	10.00	0.00	0.00
Total Volume	2.2	0	11	1	3
Total OI	193.3	136	220	205	136

Daily Data (20 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
2020-11-02	$34.82	$36.00	44.5%	12.8%	18.1%	31.6%	0.0%	11.3%	-27.7%	12.1K	-104.4K	-959	0.00	138.40	N/A	N/A	0	1	170	35
2020-11-03	$35.61	$36.00	40.4%	11.6%	19.8%	28.0%	0.0%	32.3%	-17.2%	15.1K	-144.3K	-994	0.00	119.91	N/A	N/A	2	0	170	35
2020-11-04	$36.17	$36.00	30.0%	8.6%	19.9%	18.9%	25.4%	17.4%	5.9%	16.4K	-168.5K	-1.0K	0.00	131.35	N/A	N/A	3	0	172	36
2020-11-05	$36.42	$38.00	32.3%	8.0%	20.0%	20.9%	0.0%	18.6%	0.2%	20.0K	-191.6K	-1.0K	0.00	103.32	N/A	N/A	2	0	175	36
2020-11-06	$36.63	$38.00	23.1%	7.9%	20.0%	12.9%	0.0%	22.8%	-9.4%	20.0K	-206.4K	-1.0K	0.00	122.43	N/A	N/A	0	0	175	36
2020-11-09	$37.14	$38.00	35.9%	8.2%	20.2%	24.1%	0.0%	-0.0%	-8.2%	23.8K	-250.1K	-1.0K	0.00	110.84	N/A	N/A	4	0	175	36
2020-11-10	$37.17	$38.00	36.7%	7.3%	20.2%	24.8%	18.7%	21.2%	-9.3%	24.9K	-262.3K	-968	0.00	112.74	N/A	N/A	0	1	175	36
2020-11-11	$37.32	$38.00	24.2%	6.9%	20.1%	13.9%	0.0%	18.7%	0.5%	28.3K	-272.6K	-966	0.00	117.17	N/A	N/A	1	0	175	37
2020-11-12	$36.88	$38.00	33.2%	9.5%	20.6%	21.7%	0.0%	18.8%	-3.6%	19.7K	-252.8K	-1.0K	0.50	150.81	N/A	N/A	4	2	176	37
2020-11-13	$37.56	$38.00	21.2%	6.1%	21.5%	11.3%	0.0%	12.2%	-1.8%	33.1K	-298.0K	-932	0.00	112.12	N/A	N/A	1	0	178	37
2020-11-16	$37.66	$38.00	19.3%	5.5%	20.5%	9.6%	0.0%	9.9%	-1.1%	49.1K	-317.5K	-853	10.00	112.24	N/A	N/A	1	10	179	35
2020-11-17	$37.51	$38.00	23.9%	6.8%	20.6%	13.6%	0.0%	7.3%	-1.1%	59.0K	-325.0K	-861	0.00	118.66	N/A	N/A	5	0	179	35
2020-11-18	$37.25	$38.00	25.9%	7.4%	20.6%	15.3%	0.0%	10.8%	-3.5%	34.3K	-267.2K	-856	0.00	119.23	N/A	N/A	0	0	183	35
2020-11-19	$37.21	$38.00	21.3%	6.1%	20.6%	11.3%	0.0%	5.8%	-0.1%	33.6K	-247.3K	-750	0.00	111.75	N/A	N/A	2	0	183	35
2020-11-20	$37.11	$38.00	23.8%	6.8%	20.7%	13.5%	0.0%	10.2%	-5.6%	-5.9K	-208.5K	-744	0.00	115.96	N/A	N/A	2	0	185	35
2020-11-23	$37.14	$38.00	24.1%	6.9%	19.1%	13.8%	0.0%	12.4%	0.1%	13.4K	-182.2K	-765	0.00	115.10	N/A	N/A	0	0	114	22
2020-11-24	$37.50	$38.00	26.4%	7.6%	19.3%	15.8%	0.0%	2.7%	6.6%	12.1K	-195.5K	-793	0.00	130.19	N/A	N/A	0	0	114	22
2020-11-25	$37.48	$38.00	21.6%	6.2%	15.6%	11.6%	0.0%	4.2%	3.1%	12.7K	-198.7K	-815	0.00	112.18	N/A	N/A	0	0	114	22
2020-11-27	$37.51	$38.00	22.1%	6.3%	15.6%	12.1%	0.0%	5.9%	4.7%	12.5K	-202.7K	-768	0.00	135.74	N/A	N/A	0	0	114	22
2020-11-30	$37.43	$38.00	26.2%	7.5%	14.3%	15.6%	17.8%	0.3%	-2.2%	13.9K	-192.0K	-707	0.00	129.30	N/A	N/A	3	0	114	22