OUSA Options History — December 2021

In December 2021, OUSA traded between $43.86 and $46.71. ATM implied volatility averaged 26.0%, placing in the 35.0% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 13.8% (HV 20d: 12.1%). Max pain ranged from $39.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.72.

Notable Days

  • 2021-12-08: Highest Volume — 63 contracts
  • 2021-12-14: Largest IV spike — 108.9% change
  • 2021-12-14: Highest IV Rank — 94.3%
  • 2021-12-02: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.46$43.86$46.71$43.86$46.69
Max Pain$39.82$39.00$45.00$45.00$39.00
ATM IV26.0%10.6%58.1%31.3%21.9%
Expected Move6.2%3.0%9.0%9.0%6.3%
HV 20d12.1%9.2%14.8%9.2%12.3%
HV 60d10.8%10.4%11.4%10.5%10.4%
IV Rank35.0%6.7%94.3%44.8%27.4%
IV Percentile70.6%3.2%99.6%94.4%64.7%
Term Structure-3.1%-11.7%5.1%-9.2%-2.2%
VWIV24.0%11.4%34.9%28.7%27.2%
Skew 25d7.2%0.6%13.6%12.0%8.1%
Skew 10d11.0%-8.8%26.6%15.9%5.8%
Call IV 25d17.7%11.4%29.1%22.3%17.4%
Put IV 25d24.9%14.1%37.9%34.2%25.6%
Bid-Ask Spread %134.04116.65153.46143.77132.62
Gamma HHI0.690.560.850.600.72
Net GEX12.4K7.0K27.7K7.0K14.3K
Net DEX-104.2K-157.5K-46.8K-61.9K-149.0K
Net VEX-326-352-284-326-335
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.261.450.270.94
Total Volume45.45525636133
Total OI63.77359725972

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$43.86$45.0031.3%9.0%9.2%44.8%28.7%12.0%-9.2%7.0K-61.9K-3260.27143.77N/AN/A48134613
2021-12-02$44.15$45.0031.5%9.0%9.5%45.2%28.6%13.6%-10.1%7.0K-46.8K-2840.27141.56N/AN/A48134613
2021-12-03$43.95$45.0030.4%8.7%9.6%43.2%34.9%5.9%-11.7%8.2K-67.7K-3370.27149.99N/AN/A48134613
2021-12-06$44.57$39.0030.7%7.1%10.7%43.7%25.6%13.3%-3.8%8.0K-68.8K-3270.27126.12N/AN/A48134613
2021-12-07$44.88$39.0030.6%6.4%10.9%43.5%23.1%11.8%-4.9%9.6K-74.1K-3090.27116.65N/AN/A48134613
2021-12-08$44.91$39.0027.0%5.3%10.9%36.8%20.9%13.5%-4.9%9.2K-79.6K-3040.26131.15N/AN/A50134613
2021-12-09$44.96$39.0030.9%5.2%10.9%44.1%21.0%9.3%-4.5%12.2K-82.2K-3230.26129.78N/AN/A50134813
2021-12-10$45.41$39.0036.9%5.7%11.4%55.1%19.1%9.6%-3.2%12.2K-101.3K-3520.26128.62N/AN/A50135013
2021-12-13$45.58$39.0027.8%6.4%11.3%38.4%22.4%13.4%-1.5%11.3K-110.7K-3480.26135.61N/AN/A50135013
2021-12-14$45.21$39.0058.1%6.1%11.6%94.3%26.2%9.3%-9.2%10.5K-95.3K-3200.26140.69N/AN/A50135013
2021-12-15$45.82$39.0017.4%5.0%12.2%19.2%15.4%0.6%3.3%16.2K-108.5K-3190.26129.97N/AN/A50135013
2021-12-16$46.16$39.0017.7%5.1%12.4%19.7%19.7%3.7%5.1%13.9K-122.3K-3201.08121.73N/AN/A12135013
2021-12-17$45.50$39.0019.8%5.7%13.6%23.6%28.9%13.1%-0.3%10.8K-111.1K-3471.08129.26N/AN/A12135113
2021-12-20$45.02$39.0020.0%5.7%14.2%24.0%30.2%6.6%-2.5%7.8K-95.2K-3351.45153.46N/AN/A11165013
2021-12-21$45.27$39.0021.9%6.3%14.2%27.5%25.7%1.5%-3.2%12.8K-92.3K-3511.45153.22N/AN/A11165016
2021-12-22$45.67$39.0021.1%6.1%14.5%26.1%22.3%1.1%-1.7%13.0K-109.4K-3471.45125.41N/AN/A11165016
2021-12-23$46.08$39.0017.8%5.1%14.8%20.0%21.5%5.9%3.6%15.6K-126.8K-3331.23136.27N/AN/A13165016
2021-12-27$46.50$39.0028.0%8.0%14.3%38.8%27.0%0.9%-4.0%13.6K-132.9K-3251.23140.83N/AN/A13165216
2021-12-28$46.61$39.0010.6%3.0%14.3%6.7%11.4%2.7%3.1%27.7K-157.5K-2851.07117.75N/AN/A15165216
2021-12-29$46.71$39.0018.4%5.3%12.2%21.0%24.8%2.6%-2.9%17.4K-152.1K-3171.07132.99N/AN/A15165416
2021-12-30$46.60$39.0021.5%6.2%12.3%26.8%23.7%0.7%-2.7%14.7K-146.8K-3190.94131.38N/AN/A17165416
2021-12-31$46.69$39.0021.9%6.3%12.3%27.4%27.2%8.1%-2.2%14.3K-149.0K-3350.94132.62N/AN/A17165616