USO Options History — April 2016

In April 2016, USO traded between $9.09 and $11.31. ATM implied volatility averaged 43.7%, placing in the 33.0% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 1.0% (HV 20d: 42.7%). Max pain ranged from $10.00 to $10.50. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.11.

Notable Days

2016-04-15: Highest Volume — 378,430 contracts
2016-04-15: Largest IV spike — 8.3% change
2016-04-05: Highest IV Rank — 41.7%
2016-04-04: Largest Expected Move — 13.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.32	$9.09	$11.31	$9.32	$11.31
Max Pain	$10.02	$10.00	$10.50	$10.50	$10.00
ATM IV	43.7%	39.4%	47.9%	44.4%	39.4%
Expected Move	12.4%	11.2%	13.6%	12.3%	11.2%
HV 20d	42.7%	38.0%	48.2%	48.2%	38.0%
HV 60d	53.7%	44.1%	57.7%	57.2%	44.1%
IV Rank	33.0%	24.3%	41.7%	34.4%	24.3%
IV Percentile	57.0%	32.9%	77.8%	62.7%	32.9%
Term Structure	-0.2%	-2.0%	1.4%	1.2%	0.1%
VWIV	43.9%	40.1%	48.0%	42.2%	40.1%
Skew 25d	4.3%	2.3%	6.8%	4.5%	2.3%
Skew 10d	8.5%	4.9%	12.3%	5.8%	4.9%
Call IV 25d	42.2%	38.8%	46.2%	43.5%	39.4%
Put IV 25d	46.5%	41.7%	51.2%	48.0%	41.7%
Bid-Ask Spread %	7.47	4.90	17.65	7.05	13.11
Gamma HHI	0.13	0.09	0.23	0.11	0.10
Net GEX	4.4M	-4.0M	14.4M	-2.1M	7.2M
Net DEX	-134.0M	-392.8M	245.4M	209.3M	-392.8M
Net VEX	-4.0M	-4.4M	-3.4M	-3.5M	-4.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.11	0.67	1.69	1.51	1.31
Total Volume	195,510.19	96,803	378,430	213,091	199,231
Total OI	3,127,151.381	2,682,951	3,699,189	3,359,968	2,798,155

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
2016-04-01	$9.32	$10.50	44.4%	12.3%	48.2%	34.4%	42.2%	4.5%	1.2%	-2.1M	209.3M	-3.5M	1.51	7.05	84,853	128,238	1,920,133	1,439,835
2016-04-04	$9.09	$10.00	47.4%	13.6%	46.4%	40.6%	47.9%	6.8%	1.0%	-4.0M	245.4M	-3.4M	1.60	13.87	84,581	135,667	1,882,833	1,402,530
2016-04-05	$9.14	$10.00	47.9%	13.4%	42.6%	41.7%	46.7%	5.3%	0.5%	-3.9M	235.7M	-3.5M	1.33	8.77	59,312	78,828	1,910,945	1,440,080
2016-04-06	$9.61	$10.00	45.0%	12.6%	43.9%	35.6%	43.4%	4.0%	-0.6%	1.6M	60.0M	-3.7M	1.02	17.65	101,845	103,666	1,930,893	1,438,059
2016-04-07	$9.51	$10.00	44.9%	12.7%	40.0%	35.5%	47.9%	2.7%	-0.5%	913.2K	69.9M	-3.7M	0.99	6.79	50,548	50,178	1,960,678	1,428,495
2016-04-08	$10.04	$10.00	45.0%	12.8%	44.8%	35.8%	44.0%	4.3%	-0.5%	10.3M	-138.8M	-3.9M	0.67	6.62	168,213	113,460	1,972,243	1,440,791
2016-04-11	$10.27	$10.00	45.4%	12.8%	45.2%	36.6%	45.9%	4.0%	-1.0%	9.1M	-187.2M	-4.0M	0.95	5.19	108,459	102,767	1,957,578	1,449,867
2016-04-12	$10.65	$10.00	47.4%	13.1%	44.9%	40.6%	46.6%	5.0%	-2.0%	14.4M	-334.3M	-4.2M	0.82	6.88	153,440	126,126	1,998,088	1,495,745
2016-04-13	$10.52	$10.00	45.3%	13.0%	44.7%	36.3%	45.5%	4.0%	0.6%	12.2M	-276.6M	-4.1M	1.08	8.35	101,864	110,206	2,030,300	1,549,811
2016-04-14	$10.48	$10.00	43.6%	12.5%	41.6%	32.9%	43.8%	3.4%	0.0%	6.6M	-222.3M	-4.1M	1.37	5.60	82,620	113,586	2,043,009	1,614,300
2016-04-15	$10.25	$10.00	47.3%	13.4%	40.9%	40.3%	48.0%	3.6%	-0.1%	1.1M	-107.2M	-4.1M	1.52	5.16	150,312	228,118	2,052,318	1,646,871
2016-04-18	$10.15	$10.00	44.3%	12.5%	41.0%	34.3%	43.5%	5.2%	0.2%	-2.4M	-25.5M	-4.1M	0.99	5.73	159,023	157,672	1,526,589	1,167,962
2016-04-19	$10.45	$10.00	41.3%	11.8%	42.3%	28.1%	42.7%	5.4%	0.1%	1.5M	-132.1M	-4.2M	1.04	5.16	77,581	80,651	1,546,927	1,187,611
2016-04-20	$10.77	$10.00	40.9%	11.7%	43.6%	27.3%	43.1%	3.7%	-0.7%	7.2M	-260.4M	-4.3M	0.96	6.00	112,811	108,279	1,568,543	1,208,118
2016-04-21	$10.70	$10.00	41.7%	12.0%	40.9%	29.1%	41.8%	4.0%	-0.1%	5.9M	-224.5M	-4.3M	0.91	5.92	65,971	60,356	1,591,347	1,256,724
2016-04-22	$10.75	$10.00	41.4%	11.8%	40.8%	28.4%	40.5%	4.4%	1.4%	3.5M	-250.3M	-4.2M	1.08	5.01	65,634	70,701	1,617,099	1,269,485
2016-04-25	$10.53	$10.00	41.6%	12.0%	41.6%	28.7%	42.0%	5.2%	0.6%	1.5M	-137.7M	-4.1M	1.69	5.49	36,024	60,779	1,513,533	1,169,418
2016-04-26	$10.82	$10.00	40.3%	11.7%	41.4%	26.2%	41.8%	4.2%	-0.7%	4.1M	-231.2M	-4.2M	0.95	4.90	54,786	52,006	1,523,963	1,194,000
2016-04-27	$11.14	$10.00	41.5%	12.0%	42.1%	28.5%	42.8%	4.3%	-1.0%	8.0M	-343.4M	-4.3M	0.69	7.36	99,172	68,317	1,546,744	1,204,471
2016-04-28	$11.21	$10.00	41.7%	11.9%	41.9%	29.0%	41.9%	3.9%	-2.0%	9.6M	-369.2M	-4.4M	0.79	6.21	77,960	61,873	1,559,560	1,214,528
2016-04-29	$11.31	$10.00	39.4%	11.2%	38.0%	24.3%	40.1%	2.3%	0.1%	7.2M	-392.8M	-4.3M	1.31	13.11	86,398	112,833	1,562,919	1,235,236