USO Options History — June 2015

In June 2015, USO traded between $19.50 and $20.68. ATM implied volatility averaged 30.4%, placing in the 35.6% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 0.0% (HV 20d: 30.4%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.28.

Notable Days

2015-06-05: Highest Volume — 331,815 contracts
2015-06-29: Largest IV spike — 16.1% change
2015-06-04: Highest IV Rank — 46.2%
2015-06-03: Largest Expected Move — 10.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.15	$19.50	$20.68	$20.37	$19.88
Max Pain	$20.00	$20.00	$20.00	$20.00	$20.00
ATM IV	30.4%	27.4%	35.6%	33.3%	30.8%
Expected Move	8.7%	7.5%	10.3%	9.6%	8.5%
HV 20d	30.4%	23.2%	33.9%	32.0%	25.0%
HV 60d	36.4%	30.4%	40.1%	39.9%	30.4%
IV Rank	35.6%	29.5%	46.2%	41.5%	36.3%
IV Percentile	44.4%	31.3%	63.1%	56.3%	45.2%
Term Structure	0.2%	-1.4%	2.0%	-1.4%	0.1%
VWIV	30.8%	26.3%	37.0%	34.7%	30.5%
Skew 25d	3.1%	2.2%	4.1%	3.0%	4.1%
Skew 10d	5.6%	4.2%	8.7%	6.1%	8.7%
Call IV 25d	29.2%	25.6%	34.3%	32.4%	29.3%
Put IV 25d	32.3%	29.0%	38.3%	35.4%	33.5%
Bid-Ask Spread %	6.66	4.21	11.51	6.00	5.70
Gamma HHI	0.11	0.07	0.54	0.07	0.09
Net GEX	-3.8M	-70.8M	11.8M	69.4K	-2.7M
Net DEX	-129.5M	-409.5M	149.3M	-215.8M	3.9M
Net VEX	-7.0M	-7.5M	-6.6M	-7.5M	-6.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.28	0.74	2.18	1.54	0.80
Total Volume	143,585.409	74,525	331,815	115,141	102,934
Total OI	2,633,616.409	2,177,430	2,907,437	2,681,849	2,306,592

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
2015-06-01	$20.37	$20.00	33.3%	9.6%	32.0%	41.5%	34.7%	3.0%	-1.4%	69.4K	-215.8M	-7.5M	1.54	6.00	45,359	69,782	1,194,551	1,487,298
2015-06-02	$20.68	$20.00	33.6%	9.8%	32.4%	42.1%	35.0%	3.6%	-0.3%	7.4M	-366.1M	-7.5M	1.08	5.72	79,697	86,385	1,208,341	1,513,421
2015-06-03	$20.16	$20.00	35.1%	10.3%	32.5%	45.3%	37.0%	3.9%	-0.5%	-6.7M	-111.5M	-7.5M	1.77	7.92	65,720	116,446	1,238,866	1,557,808
2015-06-04	$19.65	$20.00	35.6%	10.0%	33.5%	46.2%	35.8%	4.0%	-0.4%	-19.9M	149.3M	-7.4M	1.51	8.09	112,557	170,441	1,263,438	1,573,200
2015-06-05	$19.90	$20.00	30.3%	8.8%	32.2%	35.5%	31.6%	3.0%	-0.0%	-5.4M	-840.3K	-7.3M	2.18	10.30	104,479	227,336	1,305,314	1,602,123
2015-06-08	$19.70	$20.00	30.9%	8.9%	32.1%	36.7%	32.2%	2.2%	-0.3%	-11.8M	57.4M	-7.0M	1.61	4.70	46,279	74,688	1,249,271	1,498,082
2015-06-09	$20.23	$20.00	30.5%	8.9%	33.6%	35.9%	31.3%	3.4%	0.9%	-228.0K	-195.5M	-7.2M	1.10	6.02	85,270	93,767	1,267,336	1,538,444
2015-06-10	$20.65	$20.00	29.3%	8.3%	33.6%	33.4%	30.8%	2.6%	-0.2%	11.2M	-409.5M	-7.2M	1.57	11.51	79,809	125,317	1,273,924	1,595,490
2015-06-11	$20.48	$20.00	29.0%	8.6%	33.6%	32.7%	29.7%	3.1%	1.3%	2.7M	-320.8M	-7.2M	1.37	4.24	42,277	57,823	1,278,666	1,603,491
2015-06-12	$20.27	$20.00	29.1%	8.5%	33.8%	33.0%	31.0%	2.9%	1.3%	-2.7M	-182.0M	-7.0M	1.67	5.32	47,831	79,887	1,281,685	1,603,359
2015-06-15	$20.15	$20.00	30.6%	8.8%	33.8%	36.0%	31.1%	3.1%	0.4%	-5.5M	-123.1M	-6.9M	0.90	4.92	49,790	44,616	1,215,740	1,515,677
2015-06-16	$20.26	$20.00	30.2%	8.7%	33.9%	35.2%	29.7%	2.8%	0.1%	-1.4M	-192.6M	-7.0M	1.35	4.81	37,636	50,899	1,238,393	1,524,807
2015-06-17	$20.20	$20.00	30.7%	8.8%	30.4%	36.2%	30.5%	2.9%	2.0%	-3.7M	-153.5M	-6.9M	1.03	10.12	59,190	60,900	1,245,326	1,542,924
2015-06-18	$20.38	$20.00	29.4%	8.4%	30.4%	33.5%	29.6%	3.0%	-0.6%	9.0M	-258.8M	-7.0M	1.31	4.21	32,283	42,242	1,252,735	1,546,762
2015-06-19	$20.05	$20.00	27.8%	7.9%	28.6%	30.2%	28.5%	2.5%	0.9%	-70.8M	-105.0M	-6.7M	1.27	4.93	70,434	89,247	1,254,210	1,550,901
2015-06-22	$20.18	$20.00	28.4%	8.1%	28.3%	31.5%	28.3%	3.1%	0.4%	3.4M	-116.0M	-6.6M	1.04	5.73	49,192	51,103	1,093,362	1,084,068
2015-06-23	$20.48	$20.00	28.0%	7.9%	26.8%	30.7%	27.8%	3.4%	0.3%	11.8M	-237.2M	-6.7M	0.74	7.87	69,399	51,625	1,119,455	1,117,861
2015-06-24	$20.20	$20.00	28.6%	7.9%	27.0%	32.0%	27.1%	2.6%	-0.5%	8.2M	-138.0M	-6.8M	0.84	10.41	78,026	65,866	1,138,966	1,132,839
2015-06-25	$20.00	$20.00	27.7%	7.6%	27.3%	30.1%	26.8%	2.4%	-0.3%	2.5M	-43.9M	-6.7M	1.32	6.12	41,432	54,816	1,161,882	1,158,265
2015-06-26	$19.97	$20.00	27.4%	7.5%	23.2%	29.5%	26.3%	3.9%	0.0%	-839.9K	-18.5M	-6.7M	1.27	5.14	60,517	76,883	1,163,100	1,171,734
2015-06-29	$19.50	$20.00	31.8%	9.1%	24.5%	38.4%	31.8%	3.5%	0.4%	-7.7M	128.6M	-6.6M	0.96	6.66	55,529	53,170	1,133,426	1,136,428
2015-06-30	$19.88	$20.00	30.8%	8.5%	25.0%	36.3%	30.5%	4.1%	0.1%	-2.7M	3.9M	-6.8M	0.80	5.70	57,293	45,641	1,152,618	1,153,974