USO Options History — May 2016

In May 2016, USO traded between $10.66 and $12.03. ATM implied volatility averaged 39.1%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 6.7% (HV 20d: 32.4%). Max pain ranged from $10.00 to $11.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.30.

Notable Days

2016-05-25: Highest Volume — 257,152 contracts
2016-05-31: Largest IV spike — 6.3% change
2016-05-03: Highest IV Rank — 31.4%
2016-05-03: Largest Expected Move — 12.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.45	$10.66	$12.03	$11.05	$11.87
Max Pain	$10.76	$10.00	$11.00	$10.00	$11.00
ATM IV	39.1%	33.4%	42.9%	42.4%	35.5%
Expected Move	11.2%	9.4%	12.9%	12.3%	10.6%
HV 20d	32.4%	27.0%	40.2%	37.8%	27.0%
HV 60d	40.7%	38.2%	44.2%	44.1%	38.2%
IV Rank	23.8%	12.2%	31.4%	30.4%	16.5%
IV Percentile	30.0%	8.7%	52.0%	49.2%	11.9%
Term Structure	0.4%	-0.6%	1.8%	0.0%	-0.6%
VWIV	40.0%	33.9%	44.6%	43.5%	37.5%
Skew 25d	3.2%	1.6%	4.6%	3.0%	3.6%
Skew 10d	6.4%	3.0%	13.2%	5.4%	5.4%
Call IV 25d	38.4%	32.6%	42.6%	41.3%	34.8%
Put IV 25d	41.6%	34.2%	45.3%	44.4%	38.5%
Bid-Ask Spread %	11.57	3.70	23.42	8.47	13.15
Gamma HHI	0.14	0.09	0.47	0.09	0.10
Net GEX	6.1M	434.8K	29.2M	3.6M	2.8M
Net DEX	-289.9M	-435.8M	-120.7M	-258.8M	-245.2M
Net VEX	-4.3M	-4.9M	-4.1M	-4.3M	-4.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.30	0.67	2.88	2.36	1.05
Total Volume	151,147.381	53,629	257,152	192,889	124,015
Total OI	2,750,793.19	2,504,970	2,973,549	2,679,298	2,689,208

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
2016-05-02	$11.05	$10.00	42.4%	12.3%	37.8%	30.4%	43.5%	3.0%	0.0%	3.6M	-258.8M	-4.3M	2.36	8.47	57,472	135,417	1,520,139	1,159,159
2016-05-03	$10.74	$10.50	42.9%	12.9%	40.2%	31.4%	44.6%	2.7%	-0.2%	434.8K	-139.6M	-4.3M	1.24	6.77	79,809	98,682	1,539,066	1,213,965
2016-05-04	$10.80	$10.50	42.0%	12.0%	36.9%	29.7%	42.6%	2.1%	-0.5%	837.9K	-159.8M	-4.2M	1.32	20.74	59,115	78,325	1,543,381	1,222,351
2016-05-05	$10.90	$10.50	41.8%	12.0%	36.5%	29.1%	42.3%	3.3%	0.2%	2.8M	-208.1M	-4.3M	0.67	13.75	94,648	62,974	1,557,485	1,238,000
2016-05-06	$10.97	$10.50	40.2%	11.7%	31.9%	25.9%	41.3%	2.5%	1.4%	3.8M	-215.4M	-4.2M	0.79	10.98	95,755	75,464	1,544,662	1,241,382
2016-05-09	$10.66	$10.50	41.7%	12.1%	33.2%	28.9%	42.8%	4.2%	0.8%	1.0M	-120.7M	-4.1M	1.20	10.09	55,301	66,570	1,523,427	1,202,607
2016-05-10	$11.00	$11.00	39.9%	11.4%	32.5%	25.4%	40.9%	3.0%	-0.4%	4.1M	-220.6M	-4.2M	1.19	9.47	39,955	47,578	1,533,709	1,220,537
2016-05-11	$11.35	$10.50	39.5%	11.3%	33.7%	24.6%	41.1%	3.8%	-0.1%	8.5M	-352.7M	-4.3M	0.90	23.42	123,844	111,730	1,544,176	1,220,511
2016-05-12	$11.45	$11.00	39.6%	11.3%	33.6%	24.7%	39.6%	3.1%	-0.6%	8.9M	-353.2M	-4.2M	0.86	8.10	66,909	57,265	1,516,111	1,265,976
2016-05-13	$11.38	$11.00	39.1%	11.3%	32.4%	23.8%	40.0%	3.9%	0.3%	5.9M	-307.8M	-4.1M	1.39	7.47	45,812	63,704	1,520,350	1,271,733
2016-05-16	$11.78	$10.50	39.6%	11.4%	33.5%	24.6%	40.9%	4.6%	1.3%	10.0M	-435.8M	-4.2M	1.19	5.21	69,954	82,900	1,496,310	1,234,004
2016-05-17	$11.76	$11.00	40.0%	11.5%	32.6%	25.5%	40.4%	3.0%	0.2%	9.0M	-413.5M	-4.2M	1.32	3.70	23,085	30,544	1,508,165	1,275,787
2016-05-18	$11.71	$10.50	41.1%	11.8%	31.5%	27.8%	41.4%	3.2%	-0.2%	7.4M	-391.5M	-4.3M	0.73	20.68	103,459	75,894	1,542,325	1,350,376
2016-05-19	$11.78	$11.00	39.8%	11.3%	31.2%	25.1%	41.1%	3.9%	1.7%	8.7M	-417.4M	-4.3M	1.21	8.67	78,102	94,333	1,576,490	1,383,601
2016-05-20	$11.74	$11.00	39.2%	11.1%	31.4%	23.9%	39.3%	3.3%	1.8%	3.0M	-402.6M	-4.3M	1.24	9.06	67,456	83,470	1,571,262	1,402,287
2016-05-23	$11.67	$11.00	38.4%	10.8%	30.2%	22.4%	37.5%	3.2%	1.1%	1.5M	-215.8M	-4.2M	1.30	7.99	52,714	68,671	1,395,766	1,109,204
2016-05-24	$11.83	$11.00	36.1%	10.1%	29.3%	17.7%	38.6%	3.8%	0.8%	3.0M	-269.9M	-4.3M	2.88	10.99	45,066	129,701	1,403,865	1,120,483
2016-05-25	$12.03	$11.00	34.4%	9.8%	28.2%	14.1%	35.1%	1.9%	0.7%	7.0M	-342.5M	-4.3M	1.08	22.89	123,709	133,443	1,423,405	1,171,430
2016-05-26	$11.95	$11.00	34.9%	9.9%	28.4%	15.3%	35.3%	3.3%	0.5%	6.6M	-310.5M	-4.8M	1.59	10.53	49,787	79,334	1,485,160	1,245,117
2016-05-27	$11.98	$11.00	33.4%	9.4%	28.3%	12.2%	33.9%	1.6%	0.7%	29.2M	-305.6M	-4.9M	1.79	10.88	50,893	91,236	1,495,561	1,288,124
2016-05-31	$11.87	$11.00	35.5%	10.6%	27.0%	16.5%	37.5%	3.6%	-0.6%	2.8M	-245.2M	-4.8M	1.05	13.15	60,587	63,428	1,466,170	1,223,038