USO Options History — July 2014

In July 2014, USO traded between $36.32 and $38.86. ATM implied volatility averaged 14.6%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 2.1% (HV 20d: 12.5%). Max pain ranged from $37.50 to $39.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.02.

Notable Days

2014-07-17: Highest Volume — 68,171 contracts
2014-07-31: Largest IV spike — 14.8% change
2014-07-31: Highest IV Rank — 22.2%
2014-07-31: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.72	$36.32	$38.86	$38.86	$36.32
Max Pain	$38.59	$37.50	$39.00	$39.00	$37.50
ATM IV	14.6%	13.0%	17.4%	13.7%	17.4%
Expected Move	4.7%	4.5%	4.9%	4.8%	4.9%
HV 20d	12.5%	10.3%	14.8%	10.5%	14.8%
HV 60d	11.5%	10.5%	12.5%	10.8%	12.5%
IV Rank	8.4%	0.0%	22.2%	2.6%	22.2%
IV Percentile	12.6%	0.0%	48.0%	2.4%	48.0%
Term Structure	-0.0%	-0.7%	0.7%	0.5%	0.2%
VWIV	16.8%	15.4%	18.2%	16.6%	17.5%
Skew 25d	0.4%	-1.1%	2.2%	-1.1%	2.2%
Skew 10d	0.3%	-3.4%	3.3%	-3.4%	3.1%
Call IV 25d	15.0%	13.5%	16.3%	15.1%	16.3%
Put IV 25d	15.3%	13.2%	18.5%	14.0%	18.5%
Bid-Ask Spread %	30.78	21.40	63.05	29.25	32.86
Gamma HHI	0.08	0.07	0.09	0.07	0.08
Net GEX	-3.4M	-22.3M	12.0M	11.3M	-17.8M
Net DEX	-15.3M	-291.6M	272.3M	-291.6M	272.3M
Net VEX	-4.0M	-4.1M	-3.9M	-4.0M	-4.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.02	0.26	1.60	0.74	1.60
Total Volume	35,267.364	13,769	68,171	25,530	45,771
Total OI	890,151.136	739,512	1,006,095	933,733	805,514

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 Vol	Put Vol	Call OI	Put OI
2014-07-01	$38.86	$39.00	13.7%	4.8%	10.5%	2.6%	16.6%	-1.1%	0.5%	11.3M	-291.6M	-4.0M	0.74	29.25	14,647	10,883	361,460	572,273
2014-07-02	$38.40	$39.00	13.0%	4.7%	11.5%	0.0%	16.3%	-0.3%	-0.2%	337.5K	-163.5M	-4.1M	1.37	25.52	14,551	19,949	368,461	576,127
2014-07-03	$38.25	$39.00	13.1%	4.7%	11.6%	0.9%	15.4%	-0.3%	-0.4%	-1.8M	-111.7M	-4.1M	1.37	24.80	13,471	18,455	373,240	582,688
2014-07-07	$38.17	$39.00	13.5%	4.7%	11.6%	2.8%	16.1%	-0.1%	0.1%	-8.2M	-77.6M	-4.0M	1.18	32.67	9,867	11,687	369,388	583,462
2014-07-08	$38.18	$39.00	13.8%	4.7%	10.3%	4.4%	16.3%	-0.2%	-0.2%	-7.6M	-80.0M	-4.0M	0.94	23.47	9,270	8,705	373,326	586,160
2014-07-09	$37.69	$39.00	14.3%	4.8%	11.3%	6.8%	18.2%	-0.4%	-0.3%	-20.5M	74.8M	-4.0M	1.60	36.33	14,607	23,357	376,131	589,704
2014-07-10	$37.90	$39.00	13.9%	4.7%	11.5%	5.0%	17.3%	1.0%	-0.4%	-11.9M	-10.7M	-4.1M	0.44	27.82	23,000	10,118	379,381	588,782
2014-07-11	$37.16	$39.00	14.9%	4.8%	10.3%	9.7%	17.9%	1.0%	0.5%	-22.3M	222.6M	-4.1M	1.19	26.01	29,279	34,979	388,786	588,184
2014-07-14	$37.32	$39.00	15.6%	4.8%	10.5%	13.2%	16.8%	1.5%	0.2%	-15.7M	150.9M	-4.1M	1.19	28.72	23,478	28,055	385,876	584,986
2014-07-15	$36.88	$39.00	15.8%	4.8%	10.9%	14.5%	16.7%	1.1%	0.7%	-20.9M	270.1M	-4.1M	1.19	23.85	26,553	31,646	395,907	587,115
2014-07-16	$37.31	$39.00	14.3%	4.8%	12.1%	7.0%	16.7%	0.4%	0.5%	-5.3M	108.8M	-4.1M	0.52	21.88	23,238	12,098	410,551	595,544
2014-07-17	$37.83	$39.00	15.4%	4.6%	13.3%	12.3%	16.2%	-0.6%	0.3%	9.6M	-105.4M	-4.0M	0.26	22.05	54,083	14,088	401,689	576,709
2014-07-18	$37.72	$39.00	14.5%	4.6%	13.2%	7.7%	17.3%	-0.4%	-0.0%	6.4M	-53.6M	-3.9M	0.64	21.40	23,666	15,211	416,410	578,704
2014-07-21	$38.10	$39.00	14.7%	4.5%	13.7%	8.9%	15.7%	-0.1%	0.6%	11.1M	-157.4M	-3.9M	1.49	29.59	11,711	17,410	332,554	406,958
2014-07-22	$37.95	$39.00	15.2%	4.7%	13.7%	11.2%	16.2%	-0.1%	-0.4%	8.6M	-122.9M	-4.0M	1.47	22.81	8,796	12,917	337,483	418,111
2014-07-23	$38.16	$38.00	15.3%	4.7%	13.9%	11.9%	17.1%	1.3%	-0.1%	12.0M	-173.6M	-4.0M	0.63	63.05	21,871	13,866	341,854	420,834
2014-07-24	$37.82	$38.00	14.2%	4.7%	14.0%	6.4%	17.2%	0.7%	-0.7%	8.4M	-109.0M	-3.9M	0.80	31.85	12,087	9,612	353,093	424,773
2014-07-25	$37.77	$38.00	14.2%	4.7%	13.8%	6.2%	16.3%	0.3%	0.1%	4.0M	-79.4M	-3.9M	0.89	35.27	18,070	16,165	357,280	430,834
2014-07-28	$37.64	$37.50	14.5%	4.6%	13.8%	7.9%	17.0%	0.5%	-0.7%	1.6M	-42.2M	-4.1M	1.10	37.20	6,565	7,204	352,321	431,204
2014-07-29	$37.39	$37.50	15.2%	4.6%	13.9%	11.2%	17.3%	0.7%	-0.4%	-2.9M	19.2M	-4.0M	0.77	33.15	12,301	9,506	354,790	430,475
2014-07-30	$36.92	$37.50	15.1%	4.7%	14.4%	11.0%	16.7%	0.8%	-0.5%	-12.5M	123.9M	-4.0M	1.11	47.61	15,715	17,374	361,016	433,187
2014-07-31	$36.32	$37.50	17.4%	4.9%	14.8%	22.2%	17.5%	2.2%	0.2%	-17.8M	272.3M	-4.0M	1.60	32.86	17,600	28,171	366,506	439,008