USO Options History — July 2016

In July 2016, USO traded between $9.68 and $11.75. ATM implied volatility averaged 38.1%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 4.5% (HV 20d: 42.6%). Max pain ranged from $11.00 to $11.50. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.31.

Notable Days

2016-07-27: Highest Volume — 347,666 contracts
2016-07-05: Largest IV spike — 10.1% change
2016-07-28: Highest IV Rank — 20.8%
2016-07-28: Largest Expected Move — 11.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.65	$9.68	$11.75	$11.75	$9.76
Max Pain	$11.03	$11.00	$11.50	$11.50	$11.00
ATM IV	38.1%	34.9%	41.6%	34.9%	38.6%
Expected Move	10.8%	9.6%	11.8%	9.6%	10.8%
HV 20d	42.6%	36.8%	48.3%	38.7%	37.2%
HV 60d	34.6%	33.4%	36.1%	33.6%	34.4%
IV Rank	12.9%	6.7%	20.8%	7.1%	13.8%
IV Percentile	18.1%	5.2%	42.9%	5.2%	17.1%
Term Structure	-0.1%	-1.0%	0.9%	0.1%	0.3%
VWIV	38.3%	35.1%	42.6%	35.2%	39.0%
Skew 25d	4.8%	2.2%	7.2%	5.4%	5.3%
Skew 10d	7.1%	-6.9%	12.9%	11.4%	7.3%
Call IV 25d	36.0%	31.4%	39.6%	31.4%	36.3%
Put IV 25d	40.8%	36.8%	45.3%	36.8%	41.6%
Bid-Ask Spread %	14.00	8.69	22.93	10.24	15.42
Gamma HHI	0.19	0.13	0.59	0.13	0.14
Net GEX	-8.5M	-38.5M	127.2K	127.2K	-9.4M
Net DEX	205.4M	-122.6M	460.0M	-122.6M	436.2M
Net VEX	-4.1M	-4.5M	-3.8M	-4.5M	-4.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.31	0.76	2.90	1.44	1.05
Total Volume	157,938.95	82,892	347,666	82,892	154,463
Total OI	2,733,206.35	2,434,786	2,977,630	2,733,155	2,977,630

Daily Data (20 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
2016-07-01	$11.75	$11.50	34.9%	9.6%	38.7%	7.1%	35.2%	5.4%	0.1%	127.2K	-122.6M	-4.5M	1.44	10.24	33,961	48,931	1,502,429	1,230,726
2016-07-05	$11.19	$11.00	38.5%	11.0%	41.7%	13.7%	37.8%	5.5%	-0.2%	-6.0M	68.8M	-4.3M	2.52	9.27	54,600	137,733	1,489,028	1,215,085
2016-07-06	$11.34	$11.00	38.7%	10.9%	41.6%	14.1%	39.1%	5.1%	0.2%	-5.1M	25.0M	-4.5M	1.11	12.09	53,227	59,165	1,504,915	1,256,066
2016-07-07	$10.81	$11.00	40.2%	11.4%	43.6%	17.7%	42.6%	6.1%	-0.4%	-9.0M	212.8M	-4.2M	1.38	17.47	81,194	112,407	1,523,608	1,272,979
2016-07-08	$10.83	$11.00	38.1%	10.9%	43.6%	12.9%	39.9%	5.4%	-0.5%	-8.7M	215.7M	-4.2M	1.05	9.70	70,354	74,079	1,544,992	1,297,639
2016-07-11	$10.66	$11.00	40.5%	11.5%	42.6%	18.3%	39.3%	6.5%	0.1%	-9.7M	247.6M	-4.1M	0.78	8.69	53,384	41,405	1,542,310	1,284,651
2016-07-12	$11.19	$11.00	38.2%	10.8%	46.6%	13.0%	38.8%	7.1%	-0.7%	-7.6M	52.1M	-4.2M	1.11	11.87	69,436	76,898	1,555,165	1,295,894
2016-07-13	$10.77	$11.00	39.9%	11.4%	48.3%	16.9%	40.0%	2.2%	-0.4%	-12.0M	220.1M	-4.1M	1.05	21.00	80,615	84,578	1,567,614	1,317,655
2016-07-14	$10.89	$11.00	36.9%	10.5%	48.2%	10.2%	37.8%	7.2%	-0.6%	-12.5M	165.8M	-4.2M	1.11	12.52	47,036	52,303	1,602,374	1,334,056
2016-07-15	$10.99	$11.00	35.4%	10.1%	47.2%	6.7%	35.2%	4.9%	-0.3%	-38.5M	125.8M	-4.3M	0.80	15.76	83,038	66,607	1,619,883	1,332,935
2016-07-18	$10.83	$11.00	36.4%	10.4%	44.3%	9.0%	36.8%	3.7%	-1.0%	-2.6M	125.9M	-4.1M	1.05	19.59	88,031	92,705	1,399,407	1,035,379
2016-07-19	$10.70	$11.00	36.2%	10.4%	43.2%	8.5%	35.5%	3.1%	0.7%	-4.0M	171.9M	-4.0M	1.52	8.91	40,997	62,365	1,420,028	1,076,908
2016-07-20	$10.72	$11.00	35.9%	10.3%	43.3%	7.8%	35.1%	4.0%	0.0%	-4.0M	180.1M	-4.0M	0.76	22.93	52,375	39,570	1,434,916	1,102,443
2016-07-21	$10.50	$11.00	36.3%	10.4%	43.6%	8.8%	36.9%	2.9%	-0.2%	-5.3M	230.9M	-3.9M	2.90	14.10	34,189	98,986	1,447,208	1,103,481
2016-07-22	$10.40	$11.00	36.5%	10.4%	42.7%	9.2%	36.6%	3.9%	0.9%	-4.9M	274.8M	-3.9M	1.29	9.31	67,894	87,898	1,457,607	1,123,153
2016-07-25	$10.13	$11.00	39.9%	11.5%	40.6%	16.9%	39.4%	3.6%	0.8%	-6.1M	303.9M	-3.8M	1.59	14.68	69,862	110,735	1,444,795	1,112,762
2016-07-26	$10.08	$11.00	40.4%	11.4%	40.2%	18.0%	39.5%	4.7%	-0.2%	-7.4M	333.8M	-3.9M	0.91	13.32	106,871	96,953	1,474,185	1,170,840
2016-07-27	$9.88	$11.00	39.0%	11.1%	38.9%	14.8%	40.6%	4.7%	0.4%	-7.5M	379.0M	-3.8M	1.61	16.94	132,970	214,696	1,509,726	1,188,045
2016-07-28	$9.68	$11.00	41.6%	11.8%	36.8%	20.8%	40.6%	4.1%	-0.2%	-9.3M	460.0M	-3.9M	1.17	16.19	104,275	121,993	1,574,206	1,321,404
2016-07-29	$9.76	$11.00	38.6%	10.8%	37.2%	13.8%	39.0%	5.3%	0.3%	-9.4M	436.2M	-4.2M	1.05	15.42	75,373	79,090	1,616,523	1,361,107