USO Options History — February 2015

In February 2015, USO traded between $18.02 and $19.82. ATM implied volatility averaged 54.8%, placing in the 86.8% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded below realized volatility by 5.1% (HV 20d: 59.9%). Max pain ranged from $19.00 to $19.50. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 1.38.

Notable Days

2015-02-03: Highest Volume — 595,771 contracts
2015-02-09: Largest IV drop — 9.1% change
2015-02-03: Highest IV Rank — 100.0%
2015-02-04: Largest Expected Move — 18.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.88	$18.02	$19.82	$18.62	$18.11
Max Pain	$19.34	$19.00	$19.50	$19.00	$19.00
ATM IV	54.8%	51.1%	61.9%	53.9%	52.4%
Expected Move	15.9%	14.7%	18.0%	17.1%	15.4%
HV 20d	59.9%	57.2%	63.6%	58.4%	58.0%
HV 60d	51.5%	47.0%	53.4%	47.0%	50.6%
IV Rank	86.8%	78.0%	100.0%	93.9%	80.5%
IV Percentile	94.7%	90.1%	100.0%	97.2%	90.1%
Term Structure	-0.5%	-3.3%	2.1%	0.9%	-0.9%
VWIV	56.7%	51.6%	64.7%	60.1%	55.0%
Skew 25d	6.5%	2.4%	8.8%	3.0%	7.1%
Skew 10d	11.9%	5.4%	16.5%	10.3%	14.5%
Call IV 25d	52.2%	48.0%	60.8%	53.5%	49.3%
Put IV 25d	58.7%	55.5%	65.3%	56.5%	56.5%
Bid-Ask Spread %	9.29	6.77	12.29	10.37	6.77
Gamma HHI	0.08	0.06	0.16	0.08	0.09
Net GEX	-5.7M	-18.0M	15.1M	-3.7M	-13.9M
Net DEX	358.6M	-2.3M	703.5M	351.5M	651.9M
Net VEX	-7.1M	-7.6M	-6.5M	-6.5M	-7.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.38	0.70	2.02	0.70	1.24
Total Volume	314,544.053	200,968	595,771	261,665	244,958
Total OI	2,998,609.895	2,643,451	3,416,133	2,697,933	3,039,091

Daily Data (19 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
2015-02-02	$18.62	$19.00	53.9%	17.1%	58.4%	93.9%	60.1%	3.0%	0.9%	-3.7M	351.5M	-6.5M	0.70	10.37	154,293	107,372	1,281,921	1,416,012
2015-02-03	$19.61	$19.00	57.1%	17.1%	57.7%	100.0%	61.0%	2.4%	-0.8%	2.9M	-2.3M	-7.0M	1.21	10.72	269,045	326,726	1,340,693	1,449,275
2015-02-04	$18.27	$19.00	59.7%	18.0%	61.6%	100.0%	64.7%	4.8%	-2.1%	-6.7M	456.2M	-6.7M	1.79	12.29	191,091	341,972	1,392,228	1,508,693
2015-02-05	$18.99	$19.50	61.9%	17.1%	62.8%	100.0%	60.0%	4.5%	-3.3%	-1.2M	210.1M	-7.4M	0.89	9.39	159,214	141,022	1,437,351	1,603,069
2015-02-06	$19.45	$19.50	59.7%	16.7%	63.3%	95.4%	58.7%	4.5%	0.3%	15.1M	3.7M	-7.6M	0.93	8.71	191,736	178,886	1,467,663	1,602,434
2015-02-09	$19.77	$19.50	54.2%	15.2%	63.4%	84.3%	55.0%	3.7%	-0.2%	3.4M	2.4M	-7.4M	1.28	7.71	102,413	130,905	1,419,212	1,527,910
2015-02-10	$18.91	$19.50	56.8%	15.8%	62.8%	89.6%	56.6%	6.8%	-0.8%	-7.4M	383.1M	-7.0M	1.56	10.26	128,754	201,043	1,405,207	1,562,141
2015-02-11	$18.46	$19.50	57.5%	16.1%	63.6%	91.0%	58.2%	7.7%	-0.3%	-12.9M	553.8M	-7.0M	1.38	8.97	133,460	184,803	1,433,055	1,630,958
2015-02-12	$19.19	$19.50	55.4%	15.6%	63.5%	86.6%	56.3%	7.7%	-1.2%	-4.6M	264.2M	-7.3M	2.02	9.44	82,132	165,894	1,445,374	1,688,310
2015-02-13	$19.64	$19.50	52.6%	15.3%	61.0%	81.0%	55.0%	6.0%	1.3%	216.0K	53.8M	-7.4M	1.62	7.88	151,237	244,620	1,459,767	1,715,482
2015-02-17	$19.82	$19.50	51.1%	14.7%	58.9%	78.0%	52.6%	7.6%	-0.1%	1.7M	69.5M	-7.4M	1.48	9.80	121,713	180,638	1,447,338	1,680,377
2015-02-18	$19.24	$19.50	51.9%	14.9%	57.2%	79.6%	54.4%	8.8%	-0.7%	-4.6M	316.8M	-7.4M	1.40	8.23	100,832	141,508	1,482,126	1,753,770
2015-02-19	$19.10	$19.50	52.1%	14.9%	57.2%	79.9%	54.1%	8.8%	-1.4%	-8.7M	412.0M	-7.3M	1.42	8.18	151,071	214,995	1,491,576	1,784,029
2015-02-20	$18.65	$19.50	51.9%	14.7%	57.4%	79.6%	51.6%	7.5%	2.1%	-10.3M	591.8M	-7.2M	1.43	8.88	82,843	118,125	1,550,029	1,866,104
2015-02-23	$18.12	$19.50	54.7%	16.3%	57.8%	85.2%	57.4%	8.4%	0.1%	-14.9M	661.1M	-6.9M	1.23	10.67	123,233	151,470	1,186,270	1,457,181
2015-02-24	$18.04	$19.50	53.5%	15.5%	57.7%	82.8%	54.7%	8.5%	-0.3%	-16.1M	670.7M	-7.0M	1.57	8.01	88,012	138,351	1,241,013	1,507,560
2015-02-25	$18.66	$19.00	52.4%	15.4%	58.4%	80.5%	54.7%	7.6%	-0.5%	-8.6M	460.5M	-7.2M	1.27	10.47	91,467	116,234	1,274,516	1,537,217
2015-02-26	$18.02	$19.00	52.5%	15.8%	58.0%	80.8%	56.6%	7.1%	-1.7%	-18.0M	703.5M	-7.0M	1.84	9.67	114,231	210,038	1,312,430	1,576,206
2015-02-27	$18.11	$19.00	52.4%	15.4%	58.0%	80.5%	55.0%	7.1%	-0.9%	-13.9M	651.9M	-7.2M	1.24	6.77	109,314	135,644	1,357,060	1,682,031