USO Options History — December 2015

In December 2015, USO traded between $10.65 and $12.95. ATM implied volatility averaged 45.8%, placing in the 53.2% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 8.7% (HV 20d: 37.0%). Max pain ranged from $13.50 to $16.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.75.

Notable Days

2015-12-04: Highest Volume — 509,258 contracts
2015-12-07: Largest IV spike — 12.5% change
2015-12-14: Highest IV Rank — 73.8%
2015-12-14: Largest Expected Move — 15.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.41	$10.65	$12.95	$12.95	$11.00
Max Pain	$14.89	$13.50	$16.00	$13.50	$14.00
ATM IV	45.8%	40.6%	52.9%	45.1%	43.9%
Expected Move	13.2%	11.8%	15.0%	13.9%	12.6%
HV 20d	37.0%	31.6%	42.7%	33.9%	41.5%
HV 60d	37.4%	36.1%	39.0%	36.9%	37.1%
IV Rank	53.2%	38.3%	73.8%	51.3%	47.9%
IV Percentile	63.3%	45.2%	90.1%	62.7%	57.1%
Term Structure	-0.1%	-3.7%	2.1%	-0.7%	-1.2%
VWIV	46.7%	42.2%	53.4%	49.5%	43.8%
Skew 25d	3.5%	-0.8%	5.4%	0.7%	3.0%
Skew 10d	6.1%	-1.1%	9.8%	-1.1%	4.7%
Call IV 25d	44.9%	40.9%	50.8%	45.8%	42.8%
Put IV 25d	48.4%	44.0%	54.9%	46.5%	45.8%
Bid-Ask Spread %	6.46	4.00	14.39	6.86	5.91
Gamma HHI	0.18	0.13	0.26	0.19	0.13
Net GEX	-7.2M	-16.8M	729.2K	55.3K	-4.2M
Net DEX	805.0M	517.1M	1.03B	554.3M	666.9M
Net VEX	-3.8M	-4.6M	-3.2M	-4.5M	-3.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.29	1.56	0.90	0.38
Total Volume	263,653.727	138,222	509,258	250,534	284,624
Total OI	3,888,195.182	3,559,370	4,331,833	3,559,370	3,932,725

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
2015-12-01	$12.95	$13.50	45.1%	13.9%	33.9%	51.3%	49.5%	0.7%	-0.7%	55.3K	554.3M	-4.5M	0.90	6.86	131,957	118,577	2,180,846	1,378,524
2015-12-02	$12.46	$13.50	47.4%	14.7%	31.6%	58.0%	53.4%	-0.8%	-1.4%	-7.8M	748.1M	-4.3M	0.84	14.39	204,550	171,995	2,285,245	1,477,961
2015-12-03	$12.79	$16.00	45.8%	12.9%	33.4%	53.4%	45.8%	2.6%	-3.7%	-3.3M	621.4M	-4.6M	0.49	5.63	265,523	129,295	2,344,059	1,534,838
2015-12-04	$12.45	$16.00	40.6%	11.9%	33.5%	38.3%	43.3%	3.0%	-0.0%	-13.4M	866.3M	-4.0M	0.98	5.01	257,494	251,764	2,403,431	1,575,887
2015-12-07	$11.72	$16.00	45.7%	13.0%	38.3%	53.0%	45.3%	3.8%	0.3%	-14.5M	994.4M	-3.4M	1.35	5.56	206,762	278,964	2,201,009	1,470,978
2015-12-08	$11.67	$16.00	47.4%	13.5%	38.3%	58.0%	46.9%	4.3%	-0.1%	-15.7M	983.7M	-3.6M	1.31	6.11	126,737	165,851	2,287,127	1,539,178
2015-12-09	$11.56	$16.00	48.9%	13.8%	38.1%	62.2%	48.4%	3.6%	-1.1%	-15.6M	961.5M	-3.7M	0.66	8.89	120,737	79,725	2,343,948	1,547,846
2015-12-10	$11.35	$16.00	48.5%	13.7%	38.1%	61.2%	48.1%	5.4%	-0.3%	-16.8M	1.03B	-3.5M	0.78	4.48	170,503	133,325	2,380,255	1,567,643
2015-12-11	$11.05	$15.00	51.6%	14.8%	35.3%	70.2%	52.2%	4.5%	1.4%	-8.8M	1.01B	-3.4M	1.39	4.00	124,507	172,603	2,480,146	1,543,128
2015-12-14	$11.17	$16.00	52.9%	15.0%	35.6%	73.8%	51.8%	4.1%	-0.9%	-9.7M	948.4M	-3.5M	0.33	7.68	155,985	52,174	2,389,842	1,488,829
2015-12-15	$11.40	$15.00	48.1%	13.8%	35.0%	60.1%	48.8%	4.1%	-2.8%	-6.8M	854.9M	-3.7M	0.52	5.04	129,883	67,715	2,473,838	1,483,016
2015-12-16	$11.00	$15.00	44.9%	12.9%	35.6%	50.8%	45.4%	3.2%	-0.6%	-9.3M	971.5M	-3.4M	0.75	11.88	133,934	100,116	2,543,816	1,517,615
2015-12-17	$10.75	$15.00	45.1%	12.9%	35.6%	51.4%	43.9%	4.9%	0.3%	-9.9M	993.5M	-3.2M	0.55	4.14	126,617	69,710	2,604,670	1,498,706
2015-12-18	$10.69	$15.00	47.1%	13.4%	35.6%	57.0%	47.0%	4.6%	2.1%	-5.3M	954.2M	-3.4M	0.62	5.08	167,499	104,590	2,834,970	1,496,863
2015-12-21	$10.65	$15.00	45.3%	13.3%	35.6%	51.8%	47.1%	4.9%	0.1%	-5.0M	812.7M	-3.4M	1.56	5.86	117,802	183,958	2,300,122	1,353,587
2015-12-22	$10.76	$14.50	43.8%	12.9%	35.8%	47.6%	47.2%	4.2%	1.1%	-3.1M	743.1M	-3.6M	0.29	5.14	147,658	42,133	2,358,263	1,407,986
2015-12-23	$11.28	$14.00	44.8%	12.5%	39.6%	50.5%	45.0%	3.4%	0.6%	729.2K	517.1M	-4.2M	0.49	10.15	115,399	56,760	2,458,021	1,413,925
2015-12-24	$11.30	$14.00	41.1%	11.8%	39.5%	39.8%	42.2%	3.1%	0.6%	-3.2M	517.5M	-4.2M	0.47	4.67	120,447	56,420	2,459,718	1,420,160
2015-12-28	$10.93	$14.00	43.6%	12.8%	40.0%	47.0%	46.0%	3.6%	0.9%	-4.2M	697.3M	-3.7M	0.72	4.61	103,368	74,605	2,391,057	1,406,732
2015-12-29	$11.25	$14.00	42.3%	12.3%	42.2%	43.2%	42.8%	3.0%	1.9%	-1.4M	567.2M	-4.0M	0.62	4.27	85,383	52,839	2,442,484	1,421,813
2015-12-30	$10.93	$14.00	42.4%	12.2%	42.7%	43.4%	43.4%	2.9%	0.9%	-1.1M	694.7M	-3.7M	0.49	6.71	93,917	45,977	2,463,678	1,435,809
2015-12-31	$11.00	$14.00	43.9%	12.6%	41.5%	47.9%	43.8%	3.0%	-1.2%	-4.2M	666.9M	-3.7M	0.38	5.91	205,693	78,931	2,492,960	1,439,765