USO Options History — March 2016

In March 2016, USO traded between $9.15 and $10.58. ATM implied volatility averaged 46.0%, placing in the 37.7% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 1.5% (HV 20d: 47.5%). Max pain ranged from $9.00 to $10.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.17.

Notable Days

2016-03-07: Highest Volume — 565,155 contracts
2016-03-16: Largest IV drop — 10.7% change
2016-03-01: Highest IV Rank — 52.8%
2016-03-01: Largest Expected Move — 16.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.94	$9.15	$10.58	$9.15	$9.70
Max Pain	$10.36	$9.00	$10.50	$9.00	$10.50
ATM IV	46.0%	40.3%	53.4%	53.4%	45.4%
Expected Move	13.2%	11.6%	16.5%	16.5%	12.5%
HV 20d	47.5%	41.9%	57.1%	57.1%	45.8%
HV 60d	56.8%	54.7%	58.1%	55.5%	56.9%
IV Rank	37.7%	26.1%	52.8%	52.8%	36.6%
IV Percentile	65.6%	41.3%	85.3%	85.3%	66.7%
Term Structure	0.0%	-2.8%	1.4%	0.1%	-0.8%
VWIV	47.0%	41.2%	62.7%	62.7%	43.3%
Skew 25d	5.0%	3.3%	9.1%	9.1%	5.1%
Skew 10d	9.5%	4.6%	17.0%	17.0%	7.5%
Call IV 25d	44.1%	39.7%	49.7%	49.7%	41.9%
Put IV 25d	49.1%	43.5%	58.8%	58.8%	47.0%
Bid-Ask Spread %	7.13	3.85	9.71	5.76	6.71
Gamma HHI	0.15	0.10	0.39	0.10	0.10
Net GEX	10.2M	755.9K	30.3M	4.4M	755.9K
Net DEX	-168.5M	-461.6M	79.6M	18.3M	79.6M
Net VEX	-4.1M	-4.4M	-3.7M	-4.1M	-3.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.17	0.28	3.07	1.45	1.81
Total Volume	191,182.409	103,206	565,155	148,619	112,355
Total OI	3,668,309.318	3,156,096	4,065,776	3,749,228	3,332,752

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
2016-03-01	$9.15	$9.00	53.4%	16.5%	57.1%	52.8%	62.7%	9.1%	0.1%	4.4M	18.3M	-4.1M	1.45	5.76	60,764	87,855	2,197,972	1,551,256
2016-03-02	$9.30	$9.00	48.4%	14.6%	54.2%	42.6%	54.0%	5.1%	0.7%	6.9M	-76.0M	-4.1M	1.01	6.96	101,339	102,041	2,213,294	1,510,619
2016-03-03	$9.25	$10.50	49.7%	14.5%	45.8%	45.2%	51.3%	5.7%	-1.2%	6.4M	-34.8M	-4.1M	1.32	6.36	69,184	91,155	2,224,521	1,579,307
2016-03-04	$9.64	$10.50	47.3%	13.8%	47.3%	40.4%	48.9%	6.2%	1.1%	9.5M	-191.2M	-4.1M	0.39	5.72	216,813	83,779	2,254,378	1,589,678
2016-03-07	$10.11	$10.50	49.7%	13.9%	48.8%	45.2%	48.7%	5.1%	-1.6%	14.9M	-336.0M	-4.3M	0.28	7.36	442,319	122,836	2,238,951	1,546,460
2016-03-08	$9.65	$10.50	51.4%	14.4%	50.7%	48.7%	50.4%	3.8%	-0.9%	10.9M	-159.8M	-4.1M	1.28	7.95	105,948	135,418	2,298,416	1,578,138
2016-03-09	$10.13	$10.50	48.7%	13.8%	47.5%	43.1%	48.6%	4.9%	-0.3%	15.9M	-349.2M	-4.4M	0.99	9.10	103,343	102,367	2,311,531	1,635,788
2016-03-10	$10.04	$10.50	48.4%	13.9%	46.0%	42.5%	48.7%	4.2%	0.3%	14.7M	-302.4M	-4.3M	0.74	9.16	91,656	67,955	2,326,798	1,669,401
2016-03-11	$10.20	$10.50	46.6%	13.6%	46.0%	39.0%	47.3%	4.6%	1.3%	14.5M	-347.3M	-4.3M	0.64	8.56	85,695	54,608	2,308,068	1,688,153
2016-03-14	$9.85	$10.50	47.2%	13.5%	47.7%	40.1%	47.7%	4.2%	0.2%	11.3M	-179.9M	-4.1M	0.75	3.85	72,903	54,630	2,262,049	1,636,557
2016-03-15	$9.70	$10.50	47.8%	13.7%	48.3%	41.4%	48.6%	5.4%	-0.6%	9.8M	-118.2M	-4.0M	1.76	4.36	59,330	104,380	2,284,321	1,648,084
2016-03-16	$10.18	$10.50	42.7%	12.2%	47.8%	31.0%	43.3%	4.1%	0.9%	16.1M	-314.1M	-4.2M	1.17	8.26	61,569	72,267	2,298,600	1,688,237
2016-03-17	$10.50	$10.50	43.1%	12.3%	47.8%	31.9%	44.3%	5.4%	0.4%	18.2M	-461.6M	-4.3M	0.75	8.27	103,382	77,059	2,306,967	1,712,367
2016-03-18	$10.48	$10.50	42.2%	12.1%	47.3%	30.0%	43.1%	3.3%	0.6%	30.3M	-445.9M	-4.3M	0.71	8.70	155,628	110,362	2,313,913	1,751,863
2016-03-21	$10.58	$10.50	41.8%	11.7%	46.1%	29.1%	41.2%	4.8%	0.9%	11.0M	-245.7M	-4.3M	1.31	8.51	65,595	85,961	1,863,926	1,292,170
2016-03-22	$10.54	$10.50	40.3%	11.6%	41.9%	26.1%	42.9%	3.9%	1.4%	11.2M	-240.5M	-4.2M	3.07	6.35	48,445	148,888	1,884,155	1,318,442
2016-03-23	$10.12	$10.50	42.4%	11.9%	45.7%	30.4%	41.6%	5.0%	0.1%	5.1M	-74.0M	-4.0M	1.56	6.52	73,495	114,826	1,891,361	1,355,950
2016-03-24	$10.06	$10.50	42.4%	12.0%	45.6%	30.4%	43.7%	5.1%	0.1%	5.0M	-40.8M	-4.0M	1.52	7.21	71,793	108,988	1,893,969	1,400,832
2016-03-28	$10.00	$10.50	43.0%	12.5%	45.7%	31.6%	44.5%	5.2%	0.8%	4.3M	-20.6M	-4.0M	1.56	5.42	40,298	62,908	1,877,200	1,383,713
2016-03-29	$9.79	$10.50	44.2%	12.5%	46.1%	34.1%	44.4%	5.0%	-0.5%	1.9M	61.3M	-3.8M	0.88	5.98	67,037	58,908	1,887,205	1,394,305
2016-03-30	$9.73	$10.50	45.9%	12.9%	46.1%	37.5%	44.0%	5.6%	-2.8%	1.4M	72.1M	-3.7M	0.90	9.71	78,799	71,132	1,899,590	1,401,548
2016-03-31	$9.70	$10.50	45.4%	12.5%	45.8%	36.6%	43.3%	5.1%	-0.8%	755.9K	79.6M	-3.7M	1.81	6.71	39,917	72,438	1,914,959	1,417,793