USO Options History — September 2014

In September 2014, USO traded between $34.19 and $35.55. ATM implied volatility averaged 17.8%, placing in the 46.3% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 1.2% (HV 20d: 19.0%). 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 12 of 21 days. Put/call ratio averaged 1.49.

Notable Days

2014-09-10: Highest Volume — 79,225 contracts
2014-09-22: Largest IV spike — 15.6% change
2014-09-30: Highest IV Rank — 78.0%
2014-09-30: Largest Expected Move — 5.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.80	$34.19	$35.55	$34.79	$34.41
Max Pain	$37.50	$37.50	$37.50	$37.50	$37.50
ATM IV	17.8%	16.2%	19.9%	16.2%	19.9%
Expected Move	5.3%	4.9%	5.7%	5.1%	5.7%
HV 20d	19.0%	16.8%	20.8%	16.8%	20.8%
HV 60d	15.4%	14.4%	17.6%	14.7%	17.6%
IV Rank	46.3%	16.4%	78.0%	16.5%	78.0%
IV Percentile	61.3%	34.9%	92.9%	34.9%	92.9%
Term Structure	0.2%	-1.3%	1.6%	-0.3%	0.8%
VWIV	18.8%	17.5%	20.3%	18.7%	20.3%
Skew 25d	1.8%	0.6%	3.2%	1.8%	1.4%
Skew 10d	3.4%	0.3%	6.4%	1.3%	3.1%
Call IV 25d	17.3%	16.0%	19.6%	16.3%	19.6%
Put IV 25d	19.1%	17.4%	21.1%	18.1%	21.1%
Bid-Ask Spread %	31.43	21.15	46.21	39.83	30.59
Gamma HHI	0.09	0.07	0.12	0.09	0.08
Net GEX	-15.1M	-24.9M	-1.6M	-15.1M	-18.2M
Net DEX	358.0M	138.4M	538.4M	381.0M	393.3M
Net VEX	-3.9M	-4.2M	-3.6M	-4.0M	-3.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.49	0.50	3.02	0.50	1.52
Total Volume	41,465.238	11,649	79,225	51,747	77,350
Total OI	898,952.952	808,804	963,261	881,335	836,496

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
2014-09-02	$34.79	$37.50	16.2%	5.1%	16.8%	16.5%	18.7%	1.8%	-0.3%	-15.1M	381.0M	-4.0M	0.50	39.83	34,563	17,184	411,030	470,305
2014-09-03	$35.55	$37.50	16.2%	5.1%	18.6%	16.4%	18.1%	0.7%	0.7%	-1.6M	173.5M	-4.2M	0.71	33.55	39,365	28,041	427,287	476,678
2014-09-04	$35.30	$37.50	17.0%	4.9%	18.7%	20.6%	17.9%	1.1%	-0.7%	-13.3M	282.6M	-4.2M	1.20	45.99	12,378	14,909	432,483	491,269
2014-09-05	$34.90	$37.50	16.4%	5.0%	18.8%	20.4%	18.1%	0.6%	0.8%	-14.8M	399.4M	-4.1M	2.30	33.63	14,731	33,916	434,406	495,285
2014-09-08	$34.70	$37.50	17.1%	5.2%	18.9%	24.7%	18.4%	1.1%	0.3%	-22.8M	443.3M	-4.0M	1.59	28.22	12,734	20,204	427,734	493,630
2014-09-09	$34.62	$37.50	18.2%	5.2%	18.8%	31.4%	18.3%	1.5%	-0.5%	-22.9M	449.6M	-4.0M	0.86	27.07	6,277	5,372	431,032	497,028
2014-09-10	$34.26	$37.50	17.8%	5.4%	19.0%	28.8%	18.8%	1.3%	0.3%	-23.9M	538.4M	-3.9M	3.02	29.84	19,696	59,529	434,023	499,624
2014-09-11	$34.69	$37.50	18.3%	5.3%	19.7%	56.4%	17.5%	2.5%	-0.2%	-24.9M	427.7M	-4.0M	1.13	33.97	28,592	32,263	442,482	508,362
2014-09-12	$34.38	$37.50	17.9%	5.4%	17.8%	55.6%	19.6%	1.3%	-0.1%	-18.5M	499.8M	-4.0M	1.19	21.15	15,368	18,275	452,792	510,469
2014-09-15	$34.56	$37.50	18.6%	5.3%	17.6%	63.1%	19.7%	1.8%	0.4%	-15.3M	420.3M	-4.0M	1.18	28.12	11,025	12,991	447,832	493,581
2014-09-16	$35.25	$37.50	17.0%	5.2%	18.7%	46.1%	18.5%	1.9%	1.5%	-6.1M	253.8M	-4.0M	0.96	28.16	23,132	22,181	449,391	497,825
2014-09-17	$35.01	$37.50	17.0%	5.2%	18.5%	45.9%	18.4%	2.3%	0.5%	-12.9M	320.1M	-3.9M	1.30	46.21	10,682	13,898	451,373	500,909
2014-09-18	$34.62	$37.50	17.1%	5.4%	18.9%	46.8%	18.7%	1.3%	1.6%	-15.3M	389.8M	-3.7M	1.88	29.37	14,207	26,655	440,149	482,037
2014-09-19	$34.57	$37.50	16.5%	5.1%	18.7%	40.0%	18.8%	1.9%	0.4%	-21.2M	467.5M	-3.7M	1.98	22.56	18,718	37,067	441,169	500,335
2014-09-22	$34.19	$37.50	19.1%	5.2%	19.0%	68.9%	18.9%	2.7%	-1.3%	-17.1M	418.7M	-3.6M	2.02	30.78	10,780	21,815	359,855	448,949
2014-09-23	$34.44	$37.50	18.9%	5.4%	19.2%	67.1%	19.6%	3.2%	-0.0%	-14.9M	372.0M	-3.7M	0.75	31.18	21,162	15,888	365,687	455,961
2014-09-24	$35.00	$37.50	18.6%	5.3%	20.1%	63.5%	18.8%	2.9%	-1.0%	-10.0M	243.5M	-3.8M	2.16	33.07	10,241	22,164	374,473	462,226
2014-09-25	$34.83	$37.50	19.0%	5.5%	20.1%	67.7%	18.9%	1.2%	0.0%	-15.6M	307.7M	-3.9M	1.72	28.10	12,716	21,824	376,663	474,442
2014-09-26	$35.16	$37.50	18.1%	5.3%	20.2%	57.9%	18.6%	2.7%	-0.0%	-7.4M	197.2M	-3.8M	2.49	27.90	7,462	18,587	379,064	474,199
2014-09-29	$35.52	$37.50	17.9%	5.4%	20.0%	56.1%	19.6%	2.4%	0.2%	-6.0M	138.4M	-3.9M	0.86	30.72	14,458	12,370	367,707	461,770
2014-09-30	$34.41	$37.50	19.9%	5.7%	20.8%	78.0%	20.3%	1.4%	0.8%	-18.2M	393.3M	-3.7M	1.52	30.59	30,717	46,633	369,963	466,533