USO Options History — October 2014

In October 2014, USO traded between $30.53 and $34.37. ATM implied volatility averaged 26.7%, placing in the 81.1% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 4.3% (HV 20d: 22.4%). Max pain ranged from $30.00 to $37.50. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 1.33.

Notable Days

2014-10-15: Highest Volume — 149,039 contracts
2014-10-15: Largest IV spike — 24.0% change
2014-10-03: Highest IV Rank — 100.0%
2014-10-15: Largest Expected Move — 8.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.87	$30.53	$34.37	$34.15	$30.60
Max Pain	$34.25	$30.00	$37.50	$37.50	$30.00
ATM IV	26.7%	20.1%	35.4%	20.1%	28.3%
Expected Move	7.0%	5.9%	8.2%	5.9%	7.8%
HV 20d	22.4%	19.2%	25.2%	19.2%	22.7%
HV 60d	18.9%	17.5%	20.4%	17.6%	20.4%
IV Rank	81.1%	53.8%	100.0%	80.0%	68.7%
IV Percentile	98.4%	94.0%	100.0%	94.0%	96.4%
Term Structure	-0.3%	-1.6%	1.3%	-0.6%	-0.4%
VWIV	24.7%	20.7%	28.7%	21.2%	27.1%
Skew 25d	4.7%	1.6%	8.7%	1.6%	5.5%
Skew 10d	8.6%	3.4%	15.6%	3.4%	10.4%
Call IV 25d	25.2%	20.2%	32.2%	20.2%	26.3%
Put IV 25d	29.9%	21.8%	40.8%	21.8%	31.8%
Bid-Ask Spread %	31.52	23.70	41.76	41.76	24.04
Gamma HHI	0.09	0.08	0.11	0.08	0.10
Net GEX	-18.7M	-26.5M	-13.1M	-17.2M	-16.5M
Net DEX	651.2M	414.9M	916.5M	414.9M	672.2M
Net VEX	-3.6M	-3.9M	-3.3M	-3.7M	-3.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.33	0.68	2.12	2.09	1.10
Total Volume	58,582.826	24,480	149,039	41,740	64,847
Total OI	939,720.826	858,022	1,094,592	858,022	999,441

Daily Data (23 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
2014-10-01	$34.15	$37.50	20.1%	5.9%	19.2%	80.0%	21.2%	1.6%	-0.6%	-17.2M	414.9M	-3.7M	2.09	41.76	13,503	28,237	387,063	470,959
2014-10-02	$34.37	$37.50	20.5%	6.0%	19.4%	84.5%	21.3%	3.2%	0.2%	-16.6M	418.0M	-3.9M	2.01	30.79	18,916	38,027	392,186	483,568
2014-10-03	$33.77	$37.50	22.3%	6.2%	19.9%	100.0%	21.8%	3.3%	-0.1%	-18.0M	549.7M	-3.8M	1.71	33.92	17,302	29,592	397,608	499,920
2014-10-06	$34.04	$37.50	22.1%	6.2%	20.1%	98.2%	20.7%	3.6%	0.5%	-17.2M	441.6M	-3.8M	1.22	23.70	11,411	13,883	395,879	485,845
2014-10-07	$33.44	$37.50	23.4%	6.2%	21.0%	100.0%	22.3%	3.5%	-0.0%	-22.4M	561.0M	-3.7M	2.12	30.81	7,840	16,640	399,896	490,880
2014-10-08	$33.04	$37.50	22.3%	6.3%	21.1%	89.5%	22.0%	5.2%	1.3%	-25.6M	654.6M	-3.5M	1.18	38.10	45,980	54,281	403,009	492,587
2014-10-09	$32.11	$37.00	26.4%	6.6%	22.4%	100.0%	23.9%	4.5%	-1.1%	-26.5M	788.8M	-3.5M	1.19	27.65	31,791	37,852	423,690	511,391
2014-10-10	$32.18	$36.50	28.4%	7.0%	22.4%	100.0%	24.8%	6.5%	-1.0%	-23.8M	743.8M	-3.7M	1.00	30.74	30,195	30,303	442,333	522,649
2014-10-13	$31.99	$36.50	28.2%	7.0%	22.2%	98.6%	24.5%	5.7%	-0.5%	-22.7M	751.7M	-3.6M	1.07	29.21	19,751	21,045	447,750	520,946
2014-10-14	$31.78	$36.50	28.5%	7.1%	20.4%	100.0%	23.5%	4.8%	-1.0%	-21.7M	785.1M	-3.6M	1.01	25.58	23,049	23,238	454,254	520,675
2014-10-15	$30.70	$36.00	35.4%	8.2%	22.9%	100.0%	27.7%	8.7%	-1.6%	-19.5M	916.5M	-3.4M	1.14	40.11	69,637	79,402	470,834	546,780
2014-10-16	$31.10	$36.00	30.9%	7.9%	23.8%	80.3%	28.7%	6.2%	-0.6%	-19.8M	835.1M	-3.6M	0.76	37.10	51,171	39,129	492,261	566,335
2014-10-17	$31.25	$36.00	28.9%	7.2%	24.1%	71.1%	26.5%	5.6%	0.6%	-13.1M	821.8M	-3.6M	1.80	28.64	25,414	45,623	519,991	574,601
2014-10-20	$31.15	$0.00	27.2%	7.1%	24.0%	63.7%	25.2%	5.0%	-0.3%	-16.7M	614.5M	-3.5M	1.06	33.09	25,279	26,793	386,841	478,005
2014-10-21	$31.31	$31.00	25.0%	6.6%	23.8%	53.8%	23.2%	3.7%	-0.7%	-17.3M	595.0M	-3.4M	0.68	31.51	31,413	21,273	394,174	483,335
2014-10-22	$30.53	$33.00	28.8%	7.1%	23.6%	70.7%	25.7%	4.7%	-0.7%	-18.3M	679.6M	-3.3M	1.99	41.75	21,036	41,806	408,987	486,273
2014-10-23	$31.09	$30.00	29.2%	7.3%	25.2%	72.7%	25.8%	4.7%	0.2%	-15.7M	594.2M	-3.6M	1.00	31.67	25,859	25,923	415,033	504,069
2014-10-24	$30.85	$30.00	28.7%	7.5%	24.5%	70.6%	25.8%	4.0%	-1.1%	-15.4M	641.0M	-3.5M	1.26	27.38	21,533	27,033	421,330	508,903
2014-10-27	$30.64	$30.00	29.6%	7.6%	23.7%	74.2%	26.0%	5.4%	0.2%	-16.8M	666.1M	-3.5M	1.26	26.55	22,007	27,755	413,544	503,595
2014-10-28	$30.82	$30.00	26.6%	7.5%	22.3%	60.7%	26.5%	6.4%	-0.6%	-17.0M	640.0M	-3.5M	1.76	24.94	12,676	22,326	425,829	520,596
2014-10-29	$31.23	$30.00	27.4%	7.4%	23.3%	64.7%	26.3%	3.0%	-0.0%	-13.7M	551.1M	-3.8M	0.85	35.79	31,253	26,632	432,528	533,399
2014-10-30	$30.77	$30.00	27.2%	7.6%	23.2%	63.6%	27.4%	3.3%	0.5%	-18.1M	640.6M	-3.6M	1.43	30.24	20,060	28,689	445,640	538,167
2014-10-31	$30.60	$30.00	28.3%	7.8%	22.7%	68.7%	27.1%	5.5%	-0.4%	-16.5M	672.2M	-3.6M	1.10	24.04	30,837	34,010	454,322	545,119