USO Options History — July 2015 In July 2015, USO traded between $15.57 and $19.08. ATM implied volatility averaged 36.8%, placing in the 47.7% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 3.5% (HV 20d: 33.2%). Max pain ranged from $18.00 to $20.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.96.
Notable Days 2015-07-06 : Highest Volume — 346,777 contracts2015-07-06 : Largest IV spike — 21.6% change2015-07-09 : Highest IV Rank — 56.7%2015-07-27 : Largest Expected Move — 11.6%Monthly Statistics Metric Avg Min Max Open Close Price $17.02 $15.57 $19.08 $19.08 $15.57 Max Pain $19.11 $18.00 $20.00 $20.00 $18.00 ATM IV 36.8% 31.8% 41.1% 32.8% 37.6% Expected Move 10.5% 9.2% 11.6% 9.3% 10.8% HV 20d 33.2% 26.1% 35.6% 27.4% 34.9% HV 60d 31.1% 28.7% 32.1% 30.8% 31.7% IV Rank 47.7% 38.4% 56.7% 40.5% 49.1% IV Percentile 60.9% 48.4% 67.9% 52.0% 61.1% Term Structure -0.0% -1.9% 1.0% 0.0% 0.3% VWIV 36.5% 31.6% 39.9% 32.2% 37.8% Skew 25d 4.5% 1.4% 6.4% 4.5% 3.8% Skew 10d 7.2% 3.7% 12.4% 7.5% 4.1% Call IV 25d 34.9% 30.5% 38.2% 30.8% 35.9% Put IV 25d 39.4% 34.8% 44.3% 35.4% 39.7% Bid-Ask Spread % 7.57 2.88 15.54 9.75 6.80 Gamma HHI 0.16 0.09 0.63 0.11 0.14 Net GEX -16.0M -63.0M -7.3M -13.6M -12.8M Net DEX 591.8M 301.7M 764.8M 301.7M 723.7M Net VEX -5.7M -6.5M -5.0M -6.5M -5.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.96 0.45 1.59 1.00 0.99 Total Volume 167,679.591 100,451 346,777 163,369 137,896 Total OI 2,277,759 1,902,144 2,588,362 2,304,138 2,200,871
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 2015-07-01 $19.08 $20.00 32.8% 9.3% 27.4% 40.5% 32.2% 4.5% 0.0% -13.6M 301.7M -6.5M 1.00 9.75 81,579 81,790 1,149,416 1,154,722 2015-07-02 $18.95 $20.00 31.8% 9.2% 26.1% 38.4% 31.6% 4.3% 0.5% -26.4M 339.1M -6.5M 1.40 7.48 72,917 102,309 1,173,172 1,177,377 2015-07-06 $17.72 $20.00 38.6% 11.0% 34.3% 52.3% 37.4% 4.7% -0.2% -15.7M 613.8M -5.9M 1.26 6.47 153,373 193,404 1,162,970 1,160,301 2015-07-07 $17.82 $19.50 38.3% 10.9% 34.5% 51.1% 38.8% 6.0% -0.4% -16.9M 595.1M -6.2M 0.99 10.37 153,084 151,544 1,223,417 1,224,701 2015-07-08 $17.39 $19.50 39.6% 11.2% 33.0% 53.7% 39.6% 5.4% -0.4% -15.2M 676.8M -6.0M 0.87 13.89 90,929 78,699 1,263,644 1,229,440 2015-07-09 $17.72 $19.50 41.1% 11.3% 32.8% 56.7% 39.9% 6.1% -1.2% -13.6M 536.9M -6.3M 0.63 6.87 78,607 49,833 1,270,957 1,225,021 2015-07-10 $17.68 $19.50 39.4% 11.2% 32.9% 53.0% 38.4% 6.1% 0.0% -12.8M 561.4M -6.2M 0.86 5.55 87,692 75,695 1,274,532 1,235,262 2015-07-13 $17.51 $19.50 37.4% 10.5% 32.9% 48.7% 36.2% 6.4% -0.5% -13.9M 590.4M -6.0M 0.96 6.70 92,457 88,550 1,263,367 1,220,440 2015-07-14 $17.70 $19.50 35.4% 10.0% 33.5% 44.5% 34.8% 4.3% -0.5% -11.9M 516.0M -5.9M 0.87 2.88 124,524 108,948 1,264,830 1,220,837 2015-07-15 $17.23 $19.00 35.9% 10.3% 34.0% 45.5% 35.2% 4.2% -0.0% -16.9M 677.2M -5.7M 1.04 11.03 78,422 81,257 1,299,845 1,250,407 2015-07-16 $17.04 $19.00 34.6% 9.9% 33.9% 42.8% 35.1% 5.1% 0.4% -21.5M 725.4M -5.6M 1.40 5.80 60,092 83,971 1,318,930 1,258,303 2015-07-17 $16.98 $19.00 33.8% 9.6% 33.3% 41.2% 33.3% 3.7% -0.3% -63.0M 764.8M -5.6M 1.17 5.72 87,186 101,931 1,319,982 1,268,380 2015-07-20 $16.70 $19.00 35.7% 10.2% 33.4% 45.2% 35.5% 4.5% 1.0% -8.7M 535.6M -5.4M 0.67 4.72 60,329 40,122 969,572 932,572 2015-07-21 $16.93 $19.00 33.6% 9.6% 33.9% 40.7% 33.6% 3.7% -0.2% -8.0M 489.1M -5.5M 0.66 5.29 61,411 40,659 990,817 947,718 2015-07-22 $16.33 $19.00 36.2% 10.4% 34.0% 46.1% 36.6% 4.2% 0.5% -9.3M 590.2M -5.3M 1.59 15.54 61,232 97,422 1,011,588 954,145 2015-07-23 $16.17 $19.00 37.7% 10.8% 34.0% 49.3% 37.0% 4.5% 0.3% -11.8M 633.4M -5.3M 0.84 6.95 79,652 67,217 1,029,914 995,425 2015-07-24 $16.02 $18.50 37.8% 10.8% 34.0% 49.5% 37.9% 4.0% 0.5% -23.9M 667.0M -5.2M 0.93 5.11 78,730 73,600 1,043,632 1,009,201 2015-07-27 $15.64 $18.50 40.8% 11.6% 34.1% 55.8% 39.8% 4.7% -1.9% -10.5M 695.6M -5.0M 0.94 5.22 57,516 53,881 1,036,120 1,006,677 2015-07-28 $15.86 $18.50 38.3% 11.0% 35.0% 50.5% 38.5% 4.0% 0.9% -10.0M 653.8M -5.1M 0.89 6.17 86,056 76,992 1,055,738 1,022,205 2015-07-29 $16.25 $18.50 36.8% 10.9% 35.6% 47.5% 37.4% 1.4% -0.6% -7.3M 542.8M -5.6M 0.45 12.02 101,297 45,949 1,081,882 1,053,430 2015-07-30 $16.11 $18.50 36.4% 10.4% 33.7% 46.5% 36.0% 3.1% 0.4% -7.8M 589.1M -5.3M 0.64 6.21 67,085 43,112 1,104,319 1,054,619 2015-07-31 $15.57 $18.00 37.6% 10.8% 34.9% 49.1% 37.8% 3.8% 0.3% -12.8M 723.7M -5.0M 0.99 6.80 69,325 68,571 1,129,611 1,071,260
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