USO Options History — August 2014

In August 2014, USO traded between $34.71 and $36.48. ATM implied volatility averaged 15.7%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 1.7% (HV 20d: 14.1%). Max pain ranged from $37.50 to $37.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.84.

Notable Days

2014-08-01: Highest Volume — 85,439 contracts
2014-08-04: Largest IV drop — 9.9% change
2014-08-01: Highest IV Rank — 22.9%
2014-08-19: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.55	$34.71	$36.48	$36.19	$35.76
Max Pain	$37.50	$37.50	$37.50	$37.50	$37.50
ATM IV	15.7%	14.1%	17.5%	17.5%	15.0%
Expected Move	5.1%	4.9%	5.4%	5.0%	5.0%
HV 20d	14.1%	12.2%	15.4%	14.8%	14.3%
HV 60d	12.9%	12.3%	13.6%	12.3%	13.6%
IV Rank	14.0%	5.9%	22.9%	22.9%	10.3%
IV Percentile	25.8%	7.9%	50.4%	50.4%	19.4%
Term Structure	0.1%	-1.0%	1.1%	-0.4%	0.6%
VWIV	18.3%	16.0%	19.8%	18.4%	17.1%
Skew 25d	1.4%	0.6%	3.1%	3.1%	1.0%
Skew 10d	2.6%	0.3%	5.6%	5.6%	0.6%
Call IV 25d	15.5%	14.1%	16.5%	16.2%	14.9%
Put IV 25d	16.9%	15.2%	19.3%	19.3%	15.8%
Bid-Ask Spread %	30.02	23.86	37.25	32.21	33.18
Gamma HHI	0.09	0.08	0.15	0.08	0.08
Net GEX	-12.8M	-20.8M	-1.2M	-17.9M	-1.2M
Net DEX	310.3M	134.7M	482.1M	302.6M	134.7M
Net VEX	-3.9M	-4.2M	-3.6M	-3.9M	-4.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.84	0.24	3.03	3.03	0.38
Total Volume	35,990.429	14,959	85,439	85,439	30,787
Total OI	839,082.048	761,300	889,061	809,497	889,061

Daily Data (21 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
2014-08-01	$36.19	$37.50	17.5%	5.0%	14.8%	22.9%	18.4%	3.1%	-0.4%	-17.9M	302.6M	-3.9M	3.03	32.21	21,200	64,239	370,568	438,929
2014-08-04	$36.48	$37.50	15.8%	5.0%	15.3%	14.2%	17.1%	1.4%	0.0%	-16.6M	236.1M	-4.0M	1.08	30.79	8,409	9,050	363,419	448,309
2014-08-05	$36.16	$37.50	16.7%	5.1%	15.4%	18.8%	18.4%	2.8%	0.2%	-19.1M	308.3M	-3.9M	0.98	29.77	15,771	15,470	367,298	450,083
2014-08-06	$35.95	$37.50	16.7%	5.1%	15.0%	19.0%	18.5%	2.0%	-0.3%	-18.6M	335.2M	-3.9M	0.46	37.25	22,837	10,604	373,851	453,711
2014-08-07	$36.16	$37.50	16.1%	5.0%	15.0%	16.0%	0.0%	1.7%	-0.5%	-14.7M	284.7M	-3.9M	0.24	27.52	20,963	5,038	385,073	455,160
2014-08-08	$36.12	$37.50	16.1%	5.0%	13.6%	15.7%	17.9%	1.5%	0.2%	-8.5M	264.2M	-4.0M	0.44	27.30	27,248	12,043	396,009	455,504
2014-08-11	$36.22	$37.50	16.3%	5.0%	13.5%	16.6%	19.5%	1.3%	-1.0%	-6.8M	221.7M	-4.0M	0.56	25.89	20,003	11,129	401,252	452,135
2014-08-12	$35.99	$37.50	15.6%	5.0%	13.1%	13.4%	18.5%	1.1%	-0.3%	-9.2M	282.8M	-3.9M	0.36	26.76	20,720	7,558	409,368	454,467
2014-08-13	$36.02	$37.50	15.3%	4.9%	12.2%	11.7%	17.0%	0.6%	0.1%	-8.0M	273.4M	-3.9M	0.78	36.73	15,366	11,981	411,548	456,914
2014-08-14	$35.11	$37.50	16.0%	5.1%	13.5%	15.2%	18.9%	1.0%	0.4%	-20.8M	482.1M	-3.6M	1.18	32.46	32,392	38,074	404,811	453,228
2014-08-15	$35.44	$37.50	16.2%	5.3%	14.3%	16.2%	18.9%	1.3%	-0.1%	-14.8M	407.0M	-3.9M	0.91	25.74	26,496	24,012	417,554	465,069
2014-08-18	$35.06	$37.50	16.5%	5.3%	13.6%	18.0%	19.2%	1.1%	-0.0%	-12.6M	335.7M	-3.7M	0.75	27.69	13,913	10,399	348,909	412,391
2014-08-19	$34.71	$37.50	16.8%	5.4%	13.8%	19.1%	19.8%	1.3%	0.5%	-15.4M	385.0M	-3.6M	0.62	28.29	35,634	22,134	355,438	417,548
2014-08-20	$34.86	$37.50	15.6%	5.3%	13.7%	13.3%	18.7%	1.4%	1.1%	-13.5M	358.1M	-3.9M	0.30	23.86	15,644	4,623	380,915	432,452
2014-08-21	$35.09	$37.50	15.1%	5.2%	14.1%	10.9%	18.5%	1.3%	0.5%	-10.2M	310.4M	-3.9M	0.96	29.08	14,181	13,592	390,406	433,447
2014-08-22	$34.96	$37.50	14.3%	5.2%	14.1%	7.0%	18.5%	1.1%	0.6%	-18.6M	351.7M	-3.8M	0.87	30.54	17,110	14,859	395,764	440,041
2014-08-25	$34.87	$37.50	14.8%	5.1%	14.1%	9.2%	18.1%	1.1%	0.3%	-11.8M	337.1M	-3.7M	1.50	30.67	23,674	35,552	385,153	430,880
2014-08-26	$35.04	$37.50	15.0%	5.1%	14.4%	10.4%	18.3%	0.7%	1.0%	-11.7M	320.0M	-4.1M	1.18	35.93	13,915	16,427	402,588	459,507
2014-08-27	$35.03	$37.50	15.0%	5.1%	14.0%	10.3%	18.2%	0.8%	-0.3%	-12.2M	328.6M	-4.1M	0.34	29.78	11,130	3,829	406,368	472,663
2014-08-28	$35.32	$37.50	14.1%	5.0%	13.5%	5.9%	16.0%	1.3%	0.4%	-7.6M	257.3M	-4.1M	0.68	28.91	10,568	7,225	409,223	473,709
2014-08-29	$35.76	$37.50	15.0%	5.0%	14.3%	10.3%	17.1%	1.0%	0.6%	-1.2M	134.7M	-4.2M	0.38	33.18	22,358	8,429	412,705	476,356