USO Options History — August 2016

In August 2016, USO traded between $9.34 and $11.33. ATM implied volatility averaged 37.0%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 1.5% (HV 20d: 35.5%). Max pain ranged from $10.50 to $11.00. Net GEX was positive for 7 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 1.11.

Notable Days

2016-08-18: Highest Volume — 397,618 contracts
2016-08-04: Largest IV drop — 8.2% change
2016-08-03: Highest IV Rank — 26.6%
2016-08-03: Largest Expected Move — 12.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.47	$9.34	$11.33	$9.41	$10.35
Max Pain	$10.63	$10.50	$11.00	$11.00	$11.00
ATM IV	37.0%	32.8%	44.2%	42.5%	36.3%
Expected Move	10.6%	9.3%	12.8%	12.1%	10.1%
HV 20d	35.5%	29.7%	37.8%	37.3%	35.3%
HV 60d	36.4%	34.3%	38.3%	35.1%	38.3%
IV Rank	10.3%	0.8%	26.6%	22.8%	8.8%
IV Percentile	15.2%	0.4%	58.7%	49.6%	11.9%
Term Structure	0.2%	-2.1%	1.3%	-1.4%	0.3%
VWIV	37.5%	33.0%	47.5%	42.7%	35.6%
Skew 25d	4.1%	1.4%	8.1%	2.2%	4.4%
Skew 10d	6.9%	-2.3%	12.9%	5.7%	3.2%
Call IV 25d	35.4%	31.4%	42.2%	40.9%	34.8%
Put IV 25d	39.5%	35.0%	46.7%	43.1%	39.2%
Bid-Ask Spread %	13.39	8.41	20.25	20.25	16.97
Gamma HHI	0.12	0.09	0.20	0.14	0.12
Net GEX	-2.9M	-9.3M	5.8M	-9.3M	-7.1M
Net DEX	111.5M	-324.3M	525.2M	508.4M	263.7M
Net VEX	-4.8M	-5.7M	-3.9M	-3.9M	-5.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.11	0.59	1.94	1.79	1.94
Total Volume	163,111.87	65,401	397,618	258,002	154,404
Total OI	3,300,148.217	2,976,788	3,537,077	2,976,788	3,485,456

Daily Data (23 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
2016-08-01	$9.41	$11.00	42.5%	12.1%	37.3%	22.8%	42.7%	2.2%	-1.4%	-9.3M	508.4M	-3.9M	1.79	20.25	92,452	165,550	1,609,022	1,367,766
2016-08-02	$9.34	$11.00	43.3%	12.6%	34.5%	24.5%	45.0%	3.5%	0.4%	-8.8M	525.2M	-4.0M	1.66	11.37	90,595	150,456	1,649,685	1,424,976
2016-08-03	$9.69	$11.00	44.2%	12.8%	37.4%	26.6%	47.5%	7.2%	-2.1%	-7.6M	413.1M	-4.3M	0.85	19.75	129,997	111,091	1,688,529	1,462,562
2016-08-04	$9.83	$11.00	40.6%	11.7%	35.1%	18.4%	40.7%	8.1%	-0.8%	-6.1M	350.9M	-4.4M	0.70	14.88	86,798	61,002	1,723,018	1,476,781
2016-08-05	$9.86	$11.00	39.9%	11.4%	35.1%	16.8%	40.3%	5.4%	-0.2%	-8.2M	348.4M	-4.5M	0.92	14.18	78,172	71,605	1,736,305	1,482,682
2016-08-08	$10.09	$10.50	39.5%	11.5%	36.1%	16.1%	39.8%	1.4%	1.2%	-6.7M	252.0M	-4.6M	0.59	10.67	75,769	44,633	1,717,403	1,464,359
2016-08-09	$10.07	$10.50	38.7%	11.2%	30.7%	14.1%	38.5%	3.2%	0.2%	-6.6M	270.4M	-4.5M	0.66	10.51	83,737	55,094	1,733,140	1,467,936
2016-08-10	$9.77	$10.50	37.2%	10.8%	29.7%	10.9%	37.6%	2.3%	0.6%	-9.3M	406.2M	-4.3M	0.77	18.82	78,342	60,013	1,776,930	1,498,095
2016-08-11	$10.21	$10.50	38.5%	11.0%	34.0%	13.7%	38.7%	2.7%	-0.3%	-4.8M	182.3M	-4.7M	1.04	11.51	73,021	76,050	1,806,808	1,493,248
2016-08-12	$10.49	$10.50	36.5%	10.4%	35.4%	9.2%	36.9%	5.5%	-0.6%	5.8M	74.9M	-4.7M	0.72	10.15	92,295	66,560	1,809,579	1,532,610
2016-08-15	$10.77	$10.50	35.8%	10.3%	36.5%	7.6%	36.8%	4.4%	-0.7%	-2.5M	-44.6M	-4.8M	0.70	9.77	80,361	56,130	1,797,673	1,547,846
2016-08-16	$10.92	$10.50	35.5%	10.2%	36.6%	7.0%	36.1%	3.6%	0.2%	-612.0K	-125.7M	-4.8M	0.88	8.41	83,955	74,289	1,795,844	1,556,298
2016-08-17	$10.99	$10.50	34.0%	9.7%	36.6%	3.5%	35.8%	4.0%	1.0%	1.2M	-168.9M	-4.8M	1.08	13.88	48,572	52,624	1,802,486	1,575,783
2016-08-18	$11.30	$10.50	34.2%	9.8%	36.8%	4.1%	34.5%	4.5%	0.7%	4.2M	-288.9M	-4.8M	0.98	14.09	200,704	196,914	1,798,453	1,586,537
2016-08-19	$11.33	$10.50	32.8%	9.3%	36.5%	0.8%	33.0%	3.7%	1.1%	2.7M	-324.3M	-5.1M	0.64	9.95	72,337	46,256	1,889,263	1,647,814
2016-08-22	$10.97	$10.50	34.2%	9.7%	37.2%	4.0%	34.2%	3.1%	1.0%	-470.9K	-50.9M	-4.9M	0.94	9.69	62,623	58,804	1,695,813	1,382,649
2016-08-23	$11.11	$10.50	35.8%	10.1%	37.1%	7.5%	35.6%	5.6%	0.4%	672.3K	-95.1M	-5.0M	1.15	18.35	183,111	211,422	1,722,834	1,404,566
2016-08-24	$10.82	$10.50	34.9%	9.7%	37.8%	5.6%	35.0%	2.4%	0.8%	-1.7M	22.9M	-5.7M	1.60	18.82	37,747	60,526	1,885,258	1,562,591
2016-08-25	$10.94	$10.50	34.2%	9.6%	36.7%	4.1%	34.5%	4.9%	1.3%	163.4K	-14.4M	-5.7M	1.52	12.43	29,758	45,336	1,888,274	1,573,143
2016-08-26	$10.95	$10.50	32.9%	9.3%	36.7%	1.0%	34.7%	3.5%	0.4%	1.5M	-30.9M	-5.7M	1.72	10.49	37,778	64,882	1,895,574	1,577,796
2016-08-29	$10.87	$10.50	33.4%	9.4%	33.6%	2.2%	35.4%	5.5%	1.0%	-1.2M	18.6M	-5.6M	1.74	9.62	30,784	53,623	1,878,224	1,561,373
2016-08-30	$10.74	$10.50	35.7%	10.1%	33.9%	7.5%	33.8%	3.9%	0.6%	-2.1M	71.1M	-5.5M	0.96	13.48	33,385	32,016	1,893,758	1,576,669
2016-08-31	$10.35	$11.00	36.3%	10.1%	35.3%	8.8%	35.6%	4.4%	0.3%	-7.1M	263.7M	-5.2M	1.94	16.97	52,465	101,939	1,901,991	1,583,465