USO Options History — January 2015

In January 2015, USO traded between $16.55 and $19.92. ATM implied volatility averaged 52.6%, placing in the 93.8% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded above realized volatility by 4.5% (HV 20d: 48.1%). Max pain ranged from $19.50 to $23.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.40.

Notable Days

2015-01-05: Highest Volume — 436,813 contracts
2015-01-15: Largest IV spike — 12.8% change
2015-01-05: Highest IV Rank — 100.0%
2015-01-12: Largest Expected Move — 32.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.79	$16.55	$19.92	$19.92	$17.77
Max Pain	$20.93	$19.50	$23.00	$23.00	$19.50
ATM IV	52.6%	48.2%	56.5%	49.7%	56.1%
Expected Move	15.9%	13.2%	32.2%	13.8%	17.0%
HV 20d	48.1%	41.4%	55.6%	41.4%	55.6%
HV 60d	40.4%	35.6%	45.6%	35.6%	45.6%
IV Rank	93.8%	86.0%	100.0%	95.3%	99.1%
IV Percentile	97.5%	93.7%	100.0%	96.0%	98.8%
Term Structure	2.6%	-3.7%	65.0%	-0.5%	-3.7%
VWIV	52.6%	46.5%	60.3%	47.9%	60.3%
Skew 25d	5.2%	1.7%	8.4%	6.5%	5.0%
Skew 10d	8.4%	-0.6%	15.1%	12.5%	9.1%
Call IV 25d	50.5%	46.3%	53.7%	47.9%	53.6%
Put IV 25d	55.7%	50.3%	59.7%	54.4%	58.6%
Bid-Ask Spread %	8.43	6.30	13.41	9.35	9.80
Gamma HHI	0.12	0.08	0.45	0.11	0.08
Net GEX	-19.4M	-45.5M	-9.0M	-16.3M	-9.0M
Net DEX	1.17B	562.0M	1.60B	1.35B	562.0M
Net VEX	-5.1M	-6.1M	-4.4M	-4.9M	-6.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.40	0.82	3.75	1.13	1.08
Total Volume	283,958.65	180,420	436,813	229,021	315,422
Total OI	2,745,814.95	2,314,015	3,285,561	2,562,491	2,774,103

Daily Data (20 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
2015-01-02	$19.92	$23.00	49.7%	13.8%	41.4%	95.3%	47.9%	6.5%	-0.5%	-16.3M	1.35B	-4.9M	1.13	9.35	107,403	121,618	1,173,613	1,388,878
2015-01-05	$18.79	$23.00	53.3%	14.9%	44.5%	100.0%	52.5%	5.8%	-0.2%	-20.1M	1.48B	-4.6M	3.75	6.98	91,973	344,840	1,189,116	1,397,309
2015-01-06	$18.05	$23.00	53.9%	15.0%	45.4%	100.0%	52.4%	5.5%	-0.4%	-23.1M	1.53B	-4.4M	1.73	6.44	141,815	245,021	1,237,680	1,431,516
2015-01-07	$18.37	$22.50	49.5%	13.8%	45.9%	89.1%	49.5%	6.2%	-0.2%	-24.3M	1.50B	-4.7M	1.43	8.34	90,944	130,234	1,309,181	1,501,795
2015-01-08	$18.45	$22.00	48.5%	13.5%	45.6%	86.8%	47.9%	4.6%	-0.4%	-25.5M	1.49B	-4.8M	0.95	7.74	144,876	137,055	1,342,368	1,551,392
2015-01-09	$18.31	$21.50	48.2%	13.2%	44.7%	86.0%	46.5%	4.0%	1.3%	-22.4M	1.51B	-4.9M	0.82	6.30	122,393	100,873	1,419,862	1,571,597
2015-01-12	$17.43	$21.00	49.2%	32.2%	46.4%	88.4%	48.9%	3.8%	65.0%	-23.0M	1.60B	-4.4M	1.32	12.29	138,030	182,190	1,404,775	1,521,998
2015-01-13	$17.62	$21.00	51.0%	14.5%	46.6%	92.9%	49.9%	8.4%	0.7%	-22.2M	1.53B	-4.7M	1.27	9.61	191,333	243,345	1,452,524	1,559,196
2015-01-14	$18.32	$21.00	49.8%	13.9%	48.2%	89.9%	49.9%	5.3%	-0.8%	-18.0M	1.28B	-5.3M	1.59	9.62	161,390	257,403	1,550,600	1,605,558
2015-01-15	$17.46	$21.00	56.1%	15.6%	49.8%	100.0%	53.2%	5.0%	-1.4%	-21.3M	1.46B	-5.1M	1.51	7.46	144,492	218,853	1,579,561	1,628,765
2015-01-16	$18.33	$20.00	52.8%	15.1%	53.8%	92.2%	53.5%	5.3%	-0.2%	-10.0M	1.18B	-5.7M	1.16	6.51	136,443	158,113	1,618,616	1,666,945
2015-01-20	$17.48	$20.00	56.5%	16.2%	55.2%	100.0%	56.5%	5.2%	-1.4%	-13.6M	820.5M	-5.3M	0.97	6.60	91,380	89,040	1,077,471	1,236,544
2015-01-21	$17.77	$20.00	53.5%	15.3%	50.7%	93.1%	54.2%	5.0%	-1.3%	-11.8M	733.6M	-5.6M	1.11	9.85	111,341	123,692	1,113,500	1,268,579
2015-01-22	$17.43	$20.00	54.7%	15.8%	48.9%	95.8%	55.5%	5.9%	-1.5%	-14.2M	816.5M	-5.5M	1.03	6.82	109,746	113,419	1,172,210	1,314,393
2015-01-23	$17.02	$20.00	56.1%	16.4%	46.9%	99.1%	56.1%	6.1%	-3.1%	-45.5M	920.3M	-5.3M	1.29	8.46	124,832	160,588	1,201,451	1,333,626
2015-01-26	$16.87	$20.00	54.5%	15.8%	46.7%	95.3%	55.2%	4.9%	-1.1%	-16.7M	894.8M	-5.4M	1.44	8.09	82,189	118,652	1,175,152	1,308,379
2015-01-27	$17.21	$20.00	52.6%	15.3%	48.0%	91.0%	54.5%	6.5%	1.7%	-13.3M	805.0M	-5.6M	1.94	8.44	64,921	126,251	1,220,813	1,314,969
2015-01-28	$16.55	$20.00	53.7%	15.7%	48.9%	93.6%	54.3%	1.7%	-0.8%	-18.8M	992.5M	-5.2M	1.22	13.41	92,966	113,335	1,250,841	1,378,092
2015-01-29	$16.67	$20.00	51.9%	15.7%	49.2%	89.4%	54.0%	3.3%	-0.0%	-18.1M	963.6M	-5.2M	1.15	6.42	107,515	123,247	1,285,446	1,387,885
2015-01-30	$17.77	$19.50	56.1%	17.0%	55.6%	99.1%	60.3%	5.0%	-3.7%	-9.0M	562.0M	-6.1M	1.08	9.80	151,887	163,535	1,339,697	1,434,406