USO Options History — March 2015

In March 2015, USO traded between $15.96 and $19.05. ATM implied volatility averaged 48.1%, placing in the 71.9% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 6.3% (HV 20d: 41.8%). Max pain ranged from $19.00 to $22.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.63.

Notable Days

2015-03-13: Highest Volume — 484,451 contracts
2015-03-18: Largest IV drop — 10.5% change
2015-03-17: Highest IV Rank — 84.7%
2015-03-17: Largest Expected Move — 15.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.41	$15.96	$19.05	$18.32	$16.85
Max Pain	$20.05	$19.00	$22.00	$19.00	$19.00
ATM IV	48.1%	43.8%	54.4%	50.6%	50.8%
Expected Move	13.8%	12.2%	15.6%	15.0%	14.6%
HV 20d	41.8%	33.0%	53.7%	53.7%	48.2%
HV 60d	50.5%	49.2%	51.9%	50.5%	51.9%
IV Rank	71.9%	63.0%	84.7%	76.8%	77.2%
IV Percentile	80.7%	73.0%	94.4%	85.7%	85.3%
Term Structure	-0.1%	-1.9%	1.5%	-1.1%	0.1%
VWIV	49.8%	44.6%	56.5%	53.1%	53.3%
Skew 25d	7.5%	5.1%	9.8%	7.8%	9.0%
Skew 10d	13.4%	9.4%	18.1%	14.8%	13.6%
Call IV 25d	45.0%	41.8%	50.6%	47.6%	47.7%
Put IV 25d	52.5%	46.9%	59.2%	55.4%	56.6%
Bid-Ask Spread %	6.66	3.95	10.69	8.11	5.95
Gamma HHI	0.12	0.07	0.19	0.08	0.12
Net GEX	-24.4M	-42.0M	687.3K	-13.1M	-29.2M
Net DEX	862.0M	212.4M	1.57B	572.5M	862.2M
Net VEX	-7.7M	-8.5M	-7.3M	-7.3M	-8.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.63	1.04	2.79	1.55	1.38
Total Volume	272,438.182	156,009	484,451	194,677	170,065
Total OI	3,438,074.727	2,993,282	4,020,795	2,993,282	3,533,431

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
2015-03-02	$18.32	$19.00	50.6%	15.0%	53.7%	76.8%	53.1%	7.8%	-1.1%	-13.1M	572.5M	-7.3M	1.55	8.11	76,256	118,421	1,342,770	1,650,512
2015-03-03	$18.50	$19.00	48.8%	14.4%	51.1%	73.3%	53.9%	7.3%	-0.7%	-10.3M	520.5M	-7.4M	1.75	5.97	76,312	133,745	1,370,313	1,728,779
2015-03-04	$19.05	$19.00	46.7%	13.0%	48.6%	68.9%	47.9%	7.7%	-1.3%	687.3K	287.5M	-7.5M	1.65	10.59	110,063	181,125	1,392,680	1,756,980
2015-03-05	$18.70	$22.00	43.8%	12.2%	41.8%	63.0%	44.6%	5.1%	0.3%	-4.0M	428.6M	-7.6M	1.51	3.95	95,092	143,902	1,436,717	1,835,355
2015-03-06	$18.23	$22.00	45.4%	13.0%	40.3%	66.3%	48.0%	5.7%	1.3%	-18.5M	676.3M	-7.7M	2.27	7.47	77,359	175,225	1,456,542	1,903,008
2015-03-09	$18.35	$21.00	44.9%	13.1%	39.3%	65.3%	48.0%	6.7%	1.5%	-18.1M	618.7M	-7.6M	1.92	8.60	53,355	102,654	1,382,158	1,854,801
2015-03-10	$17.91	$21.00	48.4%	13.7%	39.3%	72.4%	49.6%	7.1%	-0.8%	-27.4M	818.8M	-7.5M	1.98	5.20	102,884	203,506	1,404,176	1,873,511
2015-03-11	$17.77	$21.00	46.1%	13.0%	36.5%	67.7%	48.7%	5.5%	-1.1%	-32.1M	902.5M	-7.6M	1.73	10.69	81,860	141,990	1,448,891	1,959,602
2015-03-12	$17.44	$21.00	46.7%	13.5%	36.1%	68.8%	48.9%	7.3%	0.8%	-42.0M	1.08B	-7.6M	2.79	6.33	71,600	199,823	1,476,691	2,008,193
2015-03-13	$16.80	$21.00	49.2%	14.4%	34.5%	74.0%	51.1%	8.3%	1.2%	-38.8M	1.40B	-7.4M	1.99	6.39	161,920	322,531	1,511,097	2,085,024
2015-03-16	$16.35	$21.00	53.1%	15.3%	33.4%	82.0%	53.2%	9.8%	-1.0%	-41.8M	1.46B	-7.4M	1.56	4.57	177,378	275,873	1,506,860	2,079,510
2015-03-17	$15.96	$21.00	54.4%	15.6%	33.0%	84.7%	56.5%	8.6%	-1.9%	-39.7M	1.57B	-7.3M	1.93	4.64	125,124	241,948	1,593,252	2,127,888
2015-03-18	$16.76	$20.00	48.7%	14.0%	38.4%	73.0%	52.0%	8.5%	1.5%	-36.0M	1.22B	-7.9M	1.48	5.78	162,461	241,187	1,657,338	2,190,904
2015-03-19	$16.08	$20.00	50.4%	14.5%	40.3%	76.5%	49.8%	8.5%	0.1%	-41.6M	1.49B	-7.4M	1.12	4.94	102,126	114,559	1,699,614	2,249,062
2015-03-20	$16.43	$20.00	48.1%	13.8%	41.3%	71.7%	48.1%	7.7%	-1.0%	-29.2M	1.29B	-7.7M	1.36	6.84	129,245	175,682	1,749,453	2,271,342
2015-03-23	$16.78	$19.00	46.3%	13.0%	41.5%	68.1%	48.1%	7.8%	0.1%	-22.5M	805.7M	-7.8M	1.60	5.11	68,057	108,899	1,329,628	1,821,969
2015-03-24	$16.79	$19.00	45.7%	12.8%	41.5%	66.8%	46.8%	7.8%	-0.0%	-21.8M	787.6M	-7.8M	1.71	5.95	69,152	118,559	1,357,623	1,867,701
2015-03-25	$17.36	$19.00	44.1%	12.5%	41.5%	63.7%	46.3%	6.9%	-0.9%	-14.1M	562.2M	-8.0M	1.28	7.85	99,524	127,859	1,390,702	1,932,414
2015-03-26	$18.19	$19.00	46.7%	13.3%	43.4%	68.8%	48.1%	6.5%	0.2%	-8.1M	212.4M	-8.4M	1.04	6.94	215,537	223,675	1,415,378	1,976,892
2015-03-27	$17.14	$19.00	50.5%	14.6%	48.2%	76.7%	50.2%	7.5%	1.1%	-23.8M	681.0M	-8.5M	1.13	7.77	104,233	117,621	1,469,631	2,091,658
2015-03-30	$17.22	$19.00	50.0%	14.5%	48.0%	75.6%	50.5%	7.7%	-0.6%	-24.7M	714.0M	-8.3M	1.20	6.90	88,765	106,488	1,418,879	2,028,715
2015-03-31	$16.85	$19.00	50.8%	14.6%	48.2%	77.2%	53.3%	9.0%	0.1%	-29.2M	862.2M	-8.3M	1.38	5.95	71,602	98,463	1,455,063	2,078,368