USO Options History — October 2015

In October 2015, USO traded between $13.81 and $16.05. ATM implied volatility averaged 40.9%, placing in the 43.5% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 3.5% (HV 20d: 37.4%). Max pain ranged from $14.50 to $15.50. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.91.

Notable Days

2015-10-12: Highest Volume — 483,908 contracts
2015-10-02: Largest IV drop — 6.1% change
2015-10-01: Highest IV Rank — 58.0%
2015-10-01: Largest Expected Move — 13.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.92	$13.81	$16.05	$14.62	$14.82
Max Pain	$14.82	$14.50	$15.50	$15.50	$14.50
ATM IV	40.9%	38.2%	44.4%	44.4%	39.2%
Expected Move	11.8%	10.9%	13.2%	13.2%	11.3%
HV 20d	37.4%	32.7%	42.8%	38.2%	40.1%
HV 60d	46.7%	45.1%	47.8%	45.3%	47.8%
IV Rank	43.5%	33.3%	58.0%	58.0%	35.4%
IV Percentile	51.9%	42.5%	61.5%	61.5%	44.0%
Term Structure	-0.1%	-1.9%	2.3%	-0.1%	0.2%
VWIV	41.7%	38.5%	45.0%	45.0%	41.1%
Skew 25d	2.3%	0.6%	4.1%	4.1%	1.8%
Skew 10d	4.4%	2.1%	7.8%	5.5%	7.1%
Call IV 25d	40.3%	37.8%	42.9%	42.9%	38.8%
Put IV 25d	42.6%	39.3%	47.0%	47.0%	40.5%
Bid-Ask Spread %	8.77	4.88	16.20	9.30	9.05
Gamma HHI	0.11	0.09	0.16	0.11	0.10
Net GEX	-4.0M	-18.3M	29.0M	-13.0M	-6.5M
Net DEX	336.0M	-186.0M	737.8M	490.9M	298.2M
Net VEX	-5.9M	-6.7M	-4.9M	-5.9M	-5.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.91	0.24	3.06	0.24	0.80
Total Volume	210,353.364	100,181	483,908	300,193	113,481
Total OI	3,387,339.636	3,075,286	3,844,720	3,107,887	3,293,391

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
2015-10-01	$14.62	$15.50	44.4%	13.2%	38.2%	58.0%	45.0%	4.1%	-0.1%	-13.0M	490.9M	-5.9M	0.24	9.30	242,812	57,381	1,498,619	1,609,268
2015-10-02	$14.77	$15.50	41.6%	11.7%	37.9%	51.1%	42.3%	3.9%	-0.1%	-6.3M	402.5M	-6.1M	0.58	7.41	109,720	64,090	1,780,886	1,628,814
2015-10-05	$15.00	$14.50	41.3%	11.7%	37.9%	48.1%	42.7%	3.5%	0.4%	-3.9M	322.5M	-6.0M	3.06	6.00	105,983	324,304	1,667,397	1,559,326
2015-10-06	$15.74	$14.50	43.1%	12.1%	41.5%	52.8%	43.0%	1.7%	-1.9%	5.4M	8.5M	-6.5M	0.37	7.98	260,990	97,500	1,726,836	1,633,104
2015-10-07	$15.55	$14.50	41.8%	11.9%	39.8%	49.2%	41.8%	2.5%	-0.9%	7.6M	43.4M	-6.5M	0.66	12.50	142,561	93,408	1,879,140	1,659,975
2015-10-08	$16.05	$14.50	42.3%	12.0%	40.1%	50.4%	41.8%	1.9%	-1.2%	13.2M	-186.0M	-6.7M	0.44	10.03	154,802	68,617	1,901,024	1,698,146
2015-10-09	$16.03	$15.00	41.4%	11.8%	39.2%	44.5%	41.1%	1.6%	-0.4%	29.0M	-181.6M	-6.7M	0.52	7.17	142,682	73,660	1,955,208	1,716,995
2015-10-12	$15.32	$15.00	42.5%	12.2%	42.3%	47.5%	43.6%	3.3%	0.2%	4.9M	205.6M	-6.3M	2.94	9.33	122,782	361,126	1,972,556	1,681,213
2015-10-13	$15.04	$15.00	43.8%	12.4%	42.8%	50.8%	43.1%	2.5%	-0.4%	-1.3M	369.5M	-6.3M	1.05	8.81	76,620	80,164	2,025,919	1,755,435
2015-10-14	$15.06	$15.00	41.3%	11.8%	38.2%	44.0%	42.8%	2.0%	-0.1%	-1.3M	374.7M	-6.1M	1.48	6.71	83,725	124,189	2,046,483	1,754,175
2015-10-15	$15.12	$15.00	40.4%	11.7%	38.1%	41.8%	41.1%	0.7%	1.2%	1.2M	346.1M	-6.2M	0.75	11.88	71,538	53,575	2,079,057	1,765,663
2015-10-16	$15.23	$15.00	38.2%	10.9%	34.6%	35.8%	38.5%	0.6%	-0.7%	-2.7M	285.5M	-6.1M	0.69	6.95	84,589	58,164	2,093,197	1,742,594
2015-10-19	$14.84	$15.00	39.0%	11.2%	34.1%	38.0%	39.4%	1.7%	-1.2%	-7.6M	378.0M	-5.8M	0.58	6.95	102,163	59,216	1,746,071	1,348,042
2015-10-20	$14.68	$15.00	40.6%	11.6%	33.5%	42.3%	40.5%	1.7%	-0.7%	-10.4M	440.2M	-5.7M	0.70	8.08	58,814	41,367	1,748,413	1,372,271
2015-10-21	$14.43	$15.00	39.5%	11.3%	33.3%	39.4%	40.6%	1.1%	-0.3%	-13.2M	521.3M	-5.5M	0.28	14.70	179,726	50,797	1,777,463	1,380,849
2015-10-22	$14.51	$15.00	38.3%	11.0%	33.1%	33.3%	38.5%	2.4%	0.8%	-14.1M	506.0M	-5.5M	0.35	9.03	145,277	51,159	1,845,663	1,399,541
2015-10-23	$14.26	$14.50	38.9%	11.2%	33.5%	34.9%	39.7%	3.2%	-0.4%	-14.5M	610.0M	-5.3M	0.80	5.91	69,045	55,439	1,776,310	1,410,106
2015-10-26	$14.02	$14.50	40.1%	11.7%	33.0%	38.3%	41.3%	3.2%	0.4%	-16.7M	655.8M	-5.0M	0.69	4.88	72,028	50,040	1,706,654	1,368,632
2015-10-27	$13.81	$14.50	40.8%	12.0%	32.7%	40.3%	43.2%	2.8%	0.7%	-18.3M	737.8M	-4.9M	1.60	6.24	59,500	95,410	1,741,877	1,386,024
2015-10-28	$14.69	$14.50	41.2%	12.3%	39.9%	41.3%	43.1%	2.2%	-0.6%	-8.7M	371.7M	-5.7M	0.67	16.20	136,854	91,401	1,762,541	1,404,302
2015-10-29	$14.62	$14.50	40.8%	12.0%	40.0%	39.8%	42.6%	3.0%	2.3%	-10.7M	390.5M	-5.6M	0.76	7.89	80,102	60,973	1,787,218	1,435,074
2015-10-30	$14.82	$14.50	39.2%	11.3%	40.1%	35.4%	41.1%	1.8%	0.2%	-6.5M	298.2M	-5.7M	0.80	9.05	63,131	50,350	1,830,804	1,462,587