USO Options History — September 2015 In September 2015, USO traded between $14.38 and $15.37. ATM implied volatility averaged 47.2%, placing in the 67.2% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded below realized volatility by 14.2% (HV 20d: 61.4%). Max pain ranged from $15.50 to $16.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.37.
Notable Days 2015-09-01 : Highest Volume — 335,018 contracts2015-09-03 : Largest IV drop — 9.0% change2015-09-01 : Highest IV Rank — 82.0%2015-09-01 : Largest Expected Move — 16.4%Monthly Statistics Metric Avg Min Max Open Close Price $14.80 $14.38 $15.37 $14.78 $14.65 Max Pain $15.88 $15.50 $16.00 $15.50 $15.50 ATM IV 47.2% 43.5% 53.7% 53.7% 43.5% Expected Move 13.6% 12.5% 16.4% 16.4% 12.9% HV 20d 61.4% 39.0% 66.9% 63.1% 39.0% HV 60d 45.7% 43.9% 47.8% 44.2% 45.5% IV Rank 67.2% 56.1% 82.0% 82.0% 56.1% IV Percentile 71.6% 59.1% 92.5% 92.5% 59.1% Term Structure -0.3% -3.0% 3.4% -0.7% 1.9% VWIV 48.3% 44.3% 57.7% 57.7% 45.2% Skew 25d 4.0% 0.1% 6.8% 4.8% 3.8% Skew 10d 6.8% 3.4% 10.2% 4.2% 7.3% Call IV 25d 45.9% 42.0% 52.4% 52.4% 42.0% Put IV 25d 49.9% 45.3% 57.3% 57.3% 45.8% Bid-Ask Spread % 8.18 4.67 23.42 9.01 8.07 Gamma HHI 0.10 0.07 0.14 0.07 0.14 Net GEX -7.1M -12.0M -334.4K -2.9M -11.1M Net DEX 391.6M 154.4M 559.7M 312.3M 476.4M Net VEX -6.2M -6.9M -5.8M -6.7M -5.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.37 0.53 2.51 1.39 1.97 Total Volume 174,559.476 68,743 335,018 335,018 167,661 Total OI 3,131,669.048 2,808,484 3,353,853 3,147,548 3,044,679
Daily Data (21 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 2015-09-01 $14.78 $15.50 53.7% 16.4% 63.1% 82.0% 57.7% 4.8% -0.7% -2.9M 312.3M -6.7M 1.39 9.01 140,444 194,574 1,574,358 1,573,190 2015-09-02 $15.09 $15.50 53.1% 15.1% 63.4% 80.8% 53.3% 6.8% -3.0% -2.4M 247.4M -6.8M 1.10 15.74 136,545 149,871 1,587,041 1,616,065 2015-09-03 $15.35 $16.00 48.3% 13.5% 63.5% 70.2% 48.1% 2.9% -0.6% -334.4K 154.4M -6.8M 1.09 11.02 144,952 157,391 1,608,763 1,638,145 2015-09-04 $15.08 $16.00 47.3% 13.4% 63.4% 67.8% 47.6% 5.4% -0.9% -3.7M 249.0M -6.9M 1.17 5.84 85,645 100,125 1,656,757 1,697,096 2015-09-08 $15.02 $16.00 47.7% 13.6% 63.0% 68.7% 47.6% 3.7% -0.3% -5.0M 326.5M -6.7M 1.12 8.24 61,280 68,495 1,564,871 1,654,325 2015-09-09 $14.53 $16.00 47.4% 13.4% 63.3% 68.1% 47.1% 5.0% -1.1% -10.7M 520.6M -6.3M 1.11 6.81 67,220 74,592 1,565,500 1,667,912 2015-09-10 $14.94 $16.00 46.8% 13.4% 64.0% 66.6% 49.3% 4.5% 0.2% -6.9M 362.4M -6.5M 1.47 7.51 67,225 98,978 1,583,282 1,681,477 2015-09-11 $14.64 $16.00 46.7% 13.4% 63.6% 66.5% 46.9% 4.5% 0.2% -8.9M 467.5M -6.2M 1.26 5.56 62,919 79,558 1,586,523 1,684,969 2015-09-14 $14.38 $16.00 46.6% 13.3% 64.0% 66.2% 47.0% 4.5% 0.4% -11.2M 559.7M -6.0M 1.19 4.67 54,818 65,478 1,524,676 1,628,541 2015-09-15 $14.57 $16.00 47.6% 13.6% 64.0% 68.4% 48.5% 4.1% -1.2% -8.8M 484.4M -6.0M 1.46 5.81 48,475 70,957 1,540,180 1,634,205 2015-09-16 $15.37 $16.00 47.2% 13.5% 66.5% 67.5% 49.2% 3.1% -1.0% -2.0M 202.8M -6.4M 0.83 9.41 129,762 107,895 1,557,402 1,669,304 2015-09-17 $15.24 $16.00 44.1% 12.5% 64.1% 60.9% 44.3% 2.5% 3.4% -1.6M 249.7M -6.2M 0.83 23.42 64,000 53,436 1,580,229 1,683,964 2015-09-18 $14.59 $16.00 43.7% 12.5% 66.5% 59.8% 44.3% 2.4% 0.2% -8.9M 503.5M -5.9M 0.85 6.47 98,626 83,446 1,592,204 1,690,209 2015-09-21 $15.06 $16.00 45.1% 13.2% 66.9% 63.1% 46.4% 2.8% -0.4% -5.0M 295.0M -6.0M 0.53 5.66 104,418 55,679 1,408,518 1,399,966 2015-09-22 $14.75 $16.00 48.5% 13.6% 64.1% 69.4% 48.2% 3.8% -1.8% -6.0M 377.9M -5.9M 2.06 5.36 35,219 72,439 1,447,757 1,417,373 2015-09-23 $14.45 $16.00 48.9% 14.4% 64.8% 70.4% 50.1% 0.1% -0.7% -9.8M 475.9M -5.9M 2.41 8.98 68,714 165,523 1,475,531 1,446,873 2015-09-24 $14.60 $16.00 46.8% 13.6% 64.8% 65.7% 47.3% 4.5% -0.8% -11.7M 491.7M -6.0M 1.74 7.02 51,275 89,459 1,486,119 1,544,330 2015-09-25 $14.72 $15.50 45.7% 13.4% 57.6% 63.2% 49.6% 4.5% -1.2% -9.6M 434.3M -6.1M 2.51 5.96 49,224 123,506 1,502,137 1,565,114 2015-09-28 $14.38 $16.00 46.8% 13.9% 53.1% 65.5% 48.7% 5.8% -0.2% -12.0M 542.3M -5.8M 1.90 5.59 50,747 96,435 1,450,919 1,508,099 2015-09-29 $14.61 $15.50 46.6% 13.9% 46.9% 65.2% 47.6% 5.0% 1.0% -11.5M 489.5M -6.0M 0.76 5.58 39,095 29,648 1,466,451 1,559,996 2015-09-30 $14.65 $15.50 43.5% 12.9% 39.0% 56.1% 45.2% 3.8% 1.9% -11.1M 476.4M -5.8M 1.97 8.07 56,379 111,282 1,479,194 1,565,485
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