OUSA Options History — December 2020

In December 2020, OUSA traded between $37.64 and $38.23. ATM implied volatility averaged 23.0%, placing in the 11.6% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 13.8% (HV 20d: 9.1%). Max pain ranged from $32.00 to $38.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.27.

Notable Days

2020-12-21: Highest Volume — 21 contracts
2020-12-24: Largest IV spike — 94.3% change
2020-12-04: Highest IV Rank — 30.5%
2020-12-04: Largest Expected Move — 9.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.94	$37.64	$38.23	$37.72	$38.22
Max Pain	$32.55	$32.00	$38.00	$38.00	$32.00
ATM IV	23.0%	13.7%	44.4%	17.9%	16.4%
Expected Move	6.2%	3.9%	9.1%	5.1%	4.7%
HV 20d	9.1%	7.3%	13.8%	13.8%	7.6%
HV 60d	15.2%	14.0%	17.4%	17.4%	14.0%
IV Rank	11.6%	3.4%	30.5%	7.1%	5.7%
IV Percentile	22.2%	2.0%	77.8%	5.2%	5.2%
Term Structure	0.7%	-16.0%	52.5%	4.6%	2.6%
VWIV	21.5%	17.4%	24.8%	21.0%	22.6%
Skew 25d	9.0%	1.7%	24.3%	7.7%	11.8%
Skew 10d	5.4%	-7.6%	22.6%	14.8%	4.5%
Call IV 25d	16.9%	8.4%	25.5%	14.5%	9.2%
Put IV 25d	25.9%	15.6%	43.1%	22.2%	21.1%
Bid-Ask Spread %	122.92	101.61	161.88	122.87	145.35
Gamma HHI	0.27	0.21	0.38	0.28	0.27
Net GEX	18.2K	11.5K	25.8K	15.5K	25.8K
Net DEX	-245.3K	-294.9K	-215.0K	-218.6K	-294.9K
Net VEX	-680	-772	-548	-722	-548
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.27	0.00	2.00	0.00	0.17
Total Volume	2.727	0	21	0	21
Total OI	149.409	139	163	139	163

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
2020-12-01	$37.72	$38.00	17.9%	5.1%	13.8%	7.1%	0.0%	7.7%	4.6%	15.5K	-218.6K	-722	0.00	122.87	N/A	N/A	0	0	117	22
2020-12-02	$37.76	$38.00	23.1%	6.6%	11.9%	11.7%	0.0%	2.5%	-1.9%	13.9K	-215.0K	-750	0.00	117.22	N/A	N/A	0	0	117	22
2020-12-03	$37.69	$32.00	42.8%	9.0%	11.1%	29.1%	0.0%	5.3%	-14.6%	11.5K	-221.7K	-772	0.00	161.88	N/A	N/A	5	0	117	22
2020-12-04	$37.97	$32.00	44.4%	9.1%	11.1%	30.5%	0.0%	5.9%	-10.8%	13.0K	-238.5K	-766	0.00	161.56	N/A	N/A	0	0	122	22
2020-12-07	$37.78	$32.00	30.4%	6.6%	11.3%	18.2%	21.0%	7.8%	-1.7%	15.1K	-234.8K	-725	0.00	151.91	N/A	N/A	1	0	122	22
2020-12-08	$38.08	$32.00	15.9%	5.1%	10.6%	5.4%	0.0%	13.0%	-1.7%	18.4K	-244.9K	-683	0.00	107.37	N/A	N/A	0	0	123	22
2020-12-09	$38.06	$32.00	23.9%	6.8%	10.6%	12.4%	17.4%	4.6%	0.9%	17.6K	-242.7K	-700	0.25	110.60	N/A	N/A	4	1	123	22
2020-12-10	$37.89	$32.00	20.8%	5.9%	10.7%	9.6%	0.0%	6.1%	-0.1%	15.5K	-241.4K	-759	0.00	121.76	N/A	N/A	0	0	123	23
2020-12-11	$37.85	$32.00	22.5%	6.4%	9.7%	11.1%	0.0%	1.7%	0.1%	16.9K	-227.5K	-691	0.00	116.16	N/A	N/A	0	1	123	23
2020-12-14	$37.64	$32.00	16.1%	4.6%	7.6%	5.5%	0.0%	4.7%	0.8%	17.0K	-221.1K	-672	0.00	105.10	N/A	N/A	0	0	123	23
2020-12-15	$37.95	$32.00	24.4%	7.0%	8.1%	12.9%	0.0%	2.8%	-0.3%	16.6K	-231.2K	-654	0.00	113.87	N/A	N/A	0	0	123	23
2020-12-16	$38.03	$32.00	21.8%	6.3%	8.0%	10.6%	0.0%	2.1%	-2.1%	16.7K	-236.7K	-669	0.00	113.39	N/A	N/A	0	0	123	23
2020-12-17	$38.23	$32.00	28.2%	8.1%	7.6%	16.2%	0.0%	8.5%	52.5%	15.5K	-255.0K	-678	0.00	112.63	N/A	N/A	0	0	123	23
2020-12-18	$38.09	$32.00	22.8%	6.5%	7.7%	11.5%	0.0%	8.8%	1.7%	23.2K	-247.8K	-667	2.00	109.35	N/A	N/A	1	2	123	23
2020-12-21	$37.85	$32.00	22.0%	6.3%	8.1%	10.7%	21.8%	12.6%	-0.9%	16.0K	-233.7K	-649	0.00	128.92	N/A	N/A	21	0	121	18
2020-12-22	$37.79	$32.00	21.6%	6.2%	8.1%	10.3%	24.8%	17.2%	-8.0%	21.2K	-251.8K	-724	0.00	109.82	N/A	N/A	1	0	142	18
2020-12-23	$37.90	$32.00	15.5%	4.5%	7.5%	5.0%	0.0%	14.6%	2.0%	23.3K	-257.7K	-653	0.00	101.61	N/A	N/A	0	0	143	18
2020-12-24	$37.90	$32.00	30.2%	8.6%	7.5%	17.9%	0.0%	19.3%	-16.0%	19.0K	-273.2K	-744	0.00	135.76	N/A	N/A	0	0	143	18
2020-12-28	$38.14	$32.00	15.1%	4.3%	7.8%	4.6%	0.0%	8.8%	2.1%	22.9K	-273.7K	-602	0.00	109.61	N/A	N/A	1	0	143	18
2020-12-29	$38.08	$32.00	16.0%	4.6%	7.7%	5.4%	0.0%	24.3%	-0.2%	22.7K	-270.7K	-569	0.00	121.94	N/A	N/A	1	0	144	18
2020-12-30	$38.01	$32.00	13.7%	3.9%	7.3%	3.4%	0.0%	7.6%	5.6%	21.9K	-263.1K	-573	0.00	125.51	N/A	N/A	0	0	145	18
2020-12-31	$38.22	$32.00	16.4%	4.7%	7.6%	5.7%	22.6%	11.8%	2.6%	25.8K	-294.9K	-548	0.17	145.35	N/A	N/A	18	3	145	18