USO Options History — June 2016

In June 2016, USO traded between $11.14 and $12.44. ATM implied volatility averaged 37.5%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 10.1% (HV 20d: 27.4%). Max pain ranged from $11.00 to $11.50. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.46.

Notable Days

2016-06-16: Highest Volume — 270,188 contracts
2016-06-10: Largest IV spike — 16.3% change
2016-06-16: Highest IV Rank — 32.2%
2016-06-16: Largest Expected Move — 12.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.78	$11.14	$12.44	$11.91	$11.57
Max Pain	$11.43	$11.00	$11.50	$11.00	$11.50
ATM IV	37.5%	32.4%	43.3%	38.4%	36.1%
Expected Move	10.8%	9.5%	12.4%	11.2%	10.2%
HV 20d	27.4%	19.4%	38.3%	24.3%	38.3%
HV 60d	34.1%	32.7%	37.1%	37.1%	33.6%
IV Rank	19.6%	9.7%	32.2%	22.4%	9.7%
IV Percentile	20.2%	6.0%	53.6%	21.0%	7.5%
Term Structure	0.1%	-1.1%	1.7%	-0.3%	0.2%
VWIV	38.5%	33.9%	43.5%	40.4%	35.5%
Skew 25d	4.4%	1.7%	6.3%	1.7%	5.6%
Skew 10d	9.2%	4.5%	14.0%	4.5%	8.2%
Call IV 25d	35.8%	32.3%	39.9%	38.1%	33.6%
Put IV 25d	40.2%	34.8%	45.0%	39.8%	39.2%
Bid-Ask Spread %	13.88	6.65	24.05	15.49	12.83
Gamma HHI	0.12	0.10	0.15	0.11	0.13
Net GEX	2.4M	-4.8M	11.4M	3.7M	-936.5K
Net DEX	-171.6M	-462.9M	68.2M	-254.1M	-64.7M
Net VEX	-4.7M	-4.8M	-4.5M	-4.8M	-4.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.46	0.54	3.64	1.69	0.86
Total Volume	144,254.545	55,965	270,188	142,492	92,453
Total OI	2,783,049.727	2,594,334	3,027,239	2,730,351	2,714,727

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
2016-06-01	$11.91	$11.00	38.4%	11.2%	24.3%	22.4%	40.4%	1.7%	-0.3%	3.7M	-254.1M	-4.8M	1.69	15.49	53,048	89,444	1,483,884	1,246,467
2016-06-02	$11.85	$11.00	34.3%	10.0%	24.5%	14.0%	35.9%	3.4%	-0.4%	5.9M	-251.1M	-4.7M	1.68	15.46	69,806	117,217	1,501,997	1,276,311
2016-06-03	$11.82	$11.00	33.6%	9.5%	24.6%	12.6%	34.3%	2.3%	-0.7%	2.6M	-216.6M	-4.8M	1.45	10.34	62,136	90,369	1,508,769	1,336,823
2016-06-06	$12.04	$11.50	33.3%	9.7%	25.1%	12.0%	33.9%	2.8%	0.1%	6.1M	-301.8M	-4.8M	1.15	14.81	67,839	77,706	1,491,533	1,298,996
2016-06-07	$12.22	$11.50	34.2%	10.2%	22.0%	13.9%	35.3%	3.3%	1.7%	8.8M	-376.6M	-4.8M	0.98	12.58	81,969	80,376	1,518,808	1,315,817
2016-06-08	$12.44	$11.50	34.7%	9.7%	20.5%	14.9%	34.2%	2.0%	-0.4%	11.4M	-462.9M	-4.8M	1.05	24.05	85,379	89,674	1,533,429	1,310,367
2016-06-09	$12.26	$11.50	32.4%	9.7%	19.4%	10.2%	36.1%	2.5%	0.9%	10.5M	-395.3M	-4.8M	2.87	9.66	40,179	115,468	1,544,907	1,323,252
2016-06-10	$11.86	$11.50	37.7%	10.8%	23.3%	20.9%	38.0%	4.2%	0.9%	4.4M	-219.0M	-4.8M	1.83	14.08	66,962	122,349	1,555,353	1,347,567
2016-06-13	$11.78	$11.50	39.4%	11.3%	23.4%	24.4%	41.2%	4.3%	-1.1%	3.1M	-191.1M	-4.8M	0.90	9.11	49,299	44,275	1,532,545	1,332,967
2016-06-14	$11.73	$11.50	41.1%	11.8%	20.0%	27.8%	41.5%	5.1%	0.2%	2.6M	-168.9M	-4.8M	0.91	7.92	29,303	26,662	1,538,711	1,339,121
2016-06-15	$11.48	$11.50	39.9%	11.5%	21.4%	25.4%	40.7%	4.8%	-0.9%	-1.3M	-69.0M	-4.6M	2.03	21.67	54,904	111,625	1,546,420	1,342,580
2016-06-16	$11.14	$11.50	43.3%	12.4%	23.7%	32.2%	43.5%	5.1%	0.9%	-4.7M	68.2M	-4.6M	3.64	11.33	58,203	211,985	1,551,093	1,377,881
2016-06-17	$11.65	$11.50	40.3%	11.5%	28.9%	26.2%	39.7%	4.3%	1.4%	-2.9M	-131.3M	-4.7M	0.56	11.35	103,418	58,242	1,572,525	1,454,714
2016-06-20	$11.92	$11.50	37.2%	10.6%	30.1%	19.8%	38.1%	5.1%	0.2%	1.9M	-175.9M	-4.8M	0.54	13.81	90,258	48,921	1,419,585	1,174,749
2016-06-21	$11.89	$11.50	38.1%	11.0%	30.0%	21.7%	40.5%	5.7%	0.2%	4.0M	-175.3M	-4.8M	1.52	11.87	46,952	71,190	1,463,592	1,190,059
2016-06-22	$11.76	$11.50	40.8%	11.5%	29.9%	27.3%	43.2%	5.9%	-0.0%	1.8M	-125.2M	-4.8M	1.14	19.18	48,810	55,639	1,489,742	1,195,998
2016-06-23	$11.97	$11.50	37.6%	10.6%	30.0%	20.7%	38.9%	5.3%	-0.0%	5.9M	-197.4M	-4.8M	0.85	23.00	39,503	33,639	1,489,558	1,207,792
2016-06-24	$11.41	$11.50	39.5%	11.6%	34.4%	24.4%	40.9%	6.1%	-0.7%	-2.1M	22.0M	-4.7M	1.53	13.92	57,926	88,806	1,500,419	1,219,863
2016-06-27	$11.18	$11.50	40.8%	11.7%	34.9%	27.1%	41.5%	5.6%	-0.1%	-4.8M	63.4M	-4.5M	3.27	10.66	51,091	166,872	1,450,524	1,189,506
2016-06-28	$11.46	$11.50	37.5%	10.6%	36.2%	14.8%	37.0%	4.4%	-0.0%	-3.5M	-20.6M	-4.6M	1.05	6.65	44,201	46,285	1,462,470	1,196,752
2016-06-29	$11.79	$11.50	35.2%	10.2%	37.8%	9.7%	36.8%	6.3%	-0.3%	496.8K	-132.8M	-4.6M	0.71	15.50	78,012	55,205	1,473,387	1,205,534
2016-06-30	$11.57	$11.50	36.1%	10.2%	38.3%	9.7%	35.5%	5.6%	0.2%	-936.5K	-64.7M	-4.5M	0.86	12.83	49,575	42,878	1,497,941	1,216,786