USO Options History — December 2014

In December 2014, USO traded between $20.29 and $26.32. ATM implied volatility averaged 43.6%, placing in the 95.5% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 0.4% (HV 20d: 43.2%). Max pain ranged from $23.50 to $29.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.44.

Notable Days

2014-12-12: Highest Volume — 646,567 contracts
2014-12-08: Largest IV spike — 14.9% change
2014-12-08: Highest IV Rank — 100.0%
2014-12-29: Largest Expected Move — 14.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.52	$20.29	$26.32	$26.32	$20.36
Max Pain	$25.84	$23.50	$29.00	$29.00	$23.50
ATM IV	43.6%	31.5%	51.5%	33.7%	46.1%
Expected Move	12.2%	9.0%	14.7%	9.2%	13.4%
HV 20d	43.2%	38.6%	51.5%	40.1%	41.5%
HV 60d	32.2%	28.7%	35.8%	28.7%	35.6%
IV Rank	95.5%	81.8%	100.0%	91.9%	86.1%
IV Percentile	98.6%	95.6%	100.0%	99.2%	95.6%
Term Structure	-0.2%	-2.4%	2.1%	-0.8%	0.7%
VWIV	43.4%	31.7%	53.8%	32.4%	47.1%
Skew 25d	6.2%	3.4%	10.7%	7.0%	5.5%
Skew 10d	10.8%	6.7%	18.7%	12.2%	10.2%
Call IV 25d	41.5%	30.0%	49.4%	31.3%	44.8%
Put IV 25d	47.7%	33.3%	56.5%	38.3%	50.2%
Bid-Ask Spread %	10.60	6.03	16.15	14.91	6.03
Gamma HHI	0.12	0.10	0.17	0.10	0.13
Net GEX	-19.8M	-31.2M	3.3M	-24.2M	-17.7M
Net DEX	1.40B	1.09B	1.72B	1.19B	1.26B
Net VEX	-4.1M	-5.2M	-3.1M	-3.4M	-4.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.44	0.80	2.47	1.50	1.61
Total Volume	250,971	76,117	646,567	276,596	194,404
Total OI	2,058,460.864	1,401,882	2,559,874	1,401,882	2,469,911

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
2014-12-01	$26.32	$29.00	33.7%	9.2%	40.1%	91.9%	32.4%	7.0%	-0.8%	-24.2M	1.19B	-3.4M	1.50	14.91	110,733	165,863	617,431	784,451
2014-12-02	$25.54	$28.00	35.6%	9.6%	40.2%	99.9%	34.9%	6.3%	-1.6%	-23.1M	1.28B	-3.4M	1.92	12.14	82,281	157,603	663,624	832,048
2014-12-03	$25.57	$27.00	32.6%	9.3%	40.2%	86.7%	32.1%	5.0%	-0.1%	-26.3M	1.31B	-3.5M	0.80	10.28	54,362	43,219	699,536	894,166
2014-12-04	$25.34	$27.00	31.6%	9.2%	38.6%	82.5%	32.8%	4.5%	-0.1%	-28.8M	1.36B	-3.5M	1.10	8.81	36,318	39,799	720,641	909,220
2014-12-05	$24.92	$27.00	31.5%	9.0%	38.7%	81.8%	31.7%	3.4%	0.4%	-27.0M	1.44B	-3.3M	0.82	15.34	88,266	72,703	736,964	928,312
2014-12-08	$23.93	$26.50	36.2%	10.1%	39.9%	100.0%	38.1%	5.5%	0.2%	-25.5M	1.45B	-3.1M	2.47	9.10	83,428	206,242	716,708	901,162
2014-12-09	$24.17	$26.50	36.0%	9.9%	40.5%	99.1%	36.0%	5.1%	-1.9%	-31.2M	1.49B	-3.6M	1.33	7.94	56,590	75,506	747,376	1,036,736
2014-12-10	$23.29	$26.50	38.1%	10.5%	41.4%	100.0%	36.5%	6.7%	2.1%	-29.8M	1.59B	-3.5M	1.86	15.36	138,114	256,955	763,975	1,052,591
2014-12-11	$22.67	$26.50	40.7%	11.1%	41.7%	100.0%	38.7%	5.8%	-0.4%	-27.0M	1.66B	-3.7M	1.18	13.02	97,479	115,324	843,561	1,108,610
2014-12-12	$21.96	$26.00	44.7%	12.4%	41.7%	100.0%	44.3%	6.4%	0.3%	-26.7M	1.72B	-3.8M	1.45	11.89	263,887	382,680	879,131	1,161,169
2014-12-15	$21.05	$26.00	50.4%	13.3%	41.2%	100.0%	46.8%	9.2%	-0.6%	-20.0M	1.70B	-4.0M	1.56	9.33	137,029	213,173	1,007,794	1,242,048
2014-12-16	$21.31	$25.50	50.1%	13.1%	42.3%	99.2%	47.2%	10.7%	-2.4%	-18.2M	1.63B	-4.4M	1.61	10.57	159,252	256,375	1,066,647	1,291,767
2014-12-17	$21.38	$25.50	51.4%	13.7%	42.8%	100.0%	48.0%	6.2%	-1.6%	-14.7M	1.51B	-4.8M	1.46	6.45	151,389	221,770	1,143,888	1,327,196
2014-12-18	$20.77	$25.00	49.9%	13.9%	42.7%	96.1%	49.0%	6.0%	0.5%	-16.6M	1.56B	-4.5M	1.28	10.82	108,775	138,714	1,168,519	1,342,728
2014-12-19	$21.96	$25.00	50.2%	14.3%	48.5%	96.9%	51.1%	5.6%	0.5%	3.3M	1.31B	-5.2M	1.26	12.61	156,739	196,904	1,205,081	1,354,793
2014-12-22	$20.94	$25.00	51.5%	14.6%	48.9%	100.0%	51.8%	5.5%	-0.3%	-12.4M	1.23B	-4.6M	1.58	8.98	71,128	112,153	976,296	1,185,031
2014-12-23	$21.57	$25.00	50.2%	14.2%	51.5%	96.6%	51.1%	6.0%	0.7%	-9.4M	1.09B	-4.9M	1.30	8.62	62,771	81,917	1,008,098	1,204,532
2014-12-24	$21.05	$25.00	50.6%	14.6%	51.5%	97.8%	53.8%	6.3%	0.6%	-12.7M	1.19B	-5.0M	1.36	16.15	56,382	76,562	1,033,203	1,241,052
2014-12-26	$20.78	$24.50	50.1%	14.5%	51.4%	96.3%	53.1%	6.5%	0.5%	-13.8M	1.25B	-4.8M	1.98	9.67	51,449	101,912	1,057,496	1,259,258
2014-12-29	$20.30	$24.50	49.9%	14.7%	44.0%	96.0%	51.9%	6.4%	0.2%	-17.2M	1.31B	-4.5M	1.27	7.17	138,226	176,240	1,022,936	1,250,413
2014-12-30	$20.29	$24.00	48.8%	13.7%	41.7%	92.9%	47.3%	6.1%	-0.4%	-17.1M	1.31B	-4.7M	1.04	7.99	64,238	66,508	1,104,765	1,325,275
2014-12-31	$20.36	$23.50	46.1%	13.4%	41.5%	86.1%	47.1%	5.5%	0.7%	-17.7M	1.26B	-4.9M	1.61	6.03	74,535	119,869	1,136,096	1,333,815