USO Options History — September 2016

In September 2016, USO traded between $10.00 and $10.97. ATM implied volatility averaged 38.7%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 2.0% (HV 20d: 36.7%). Max pain ranged from $10.50 to $10.50. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.71.

Notable Days

2016-09-29: Highest Volume — 493,076 contracts
2016-09-29: Largest IV drop — 7.7% change
2016-09-28: Highest IV Rank — 22.6%
2016-09-28: Largest Expected Move — 12.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.40	$10.00	$10.97	$10.07	$10.96
Max Pain	$10.50	$10.50	$10.50	$10.50	$10.50
ATM IV	38.7%	35.6%	42.4%	37.9%	36.3%
Expected Move	11.1%	10.0%	12.5%	10.8%	10.2%
HV 20d	36.7%	33.5%	41.6%	36.7%	38.3%
HV 60d	38.1%	36.6%	39.8%	38.4%	36.6%
IV Rank	14.2%	7.2%	22.6%	12.4%	8.8%
IV Percentile	27.8%	8.7%	58.3%	17.5%	12.7%
Term Structure	0.3%	-0.6%	2.1%	1.5%	0.1%
VWIV	38.9%	34.8%	43.6%	38.4%	36.3%
Skew 25d	3.5%	0.9%	5.3%	5.2%	2.7%
Skew 10d	7.4%	2.7%	14.5%	6.8%	7.9%
Call IV 25d	37.5%	34.1%	42.0%	36.1%	36.0%
Put IV 25d	40.9%	37.6%	44.3%	41.3%	38.7%
Bid-Ask Spread %	14.34	5.58	30.17	21.70	12.78
Gamma HHI	0.16	0.11	0.26	0.13	0.26
Net GEX	-324.3K	-12.6M	27.9M	-9.4M	27.9M
Net DEX	147.9M	-236.0M	397.5M	397.5M	-207.0M
Net VEX	-5.3M	-6.0M	-4.9M	-5.1M	-5.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.12	1.25	0.92	1.01
Total Volume	202,688.81	93,807	493,076	274,475	182,449
Total OI	3,637,330.286	3,271,721	4,003,404	3,525,678	3,987,418

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
2016-09-01	$10.07	$10.50	37.9%	10.8%	36.7%	12.4%	38.4%	5.2%	1.5%	-9.4M	397.5M	-5.1M	0.92	21.70	142,996	131,479	1,911,361	1,614,317
2016-09-02	$10.25	$10.50	36.5%	10.0%	37.2%	9.1%	34.8%	2.8%	2.1%	-8.2M	292.1M	-5.2M	1.06	12.73	53,525	56,935	1,939,061	1,658,788
2016-09-06	$10.38	$10.50	36.6%	10.7%	36.6%	9.5%	38.1%	5.3%	0.8%	-7.1M	235.3M	-5.1M	0.54	5.58	70,336	37,933	1,900,742	1,637,594
2016-09-07	$10.51	$10.50	36.0%	10.5%	36.7%	8.1%	37.1%	4.8%	0.1%	-3.4M	171.9M	-5.2M	0.75	10.65	56,605	42,533	1,938,637	1,652,531
2016-09-08	$10.97	$10.50	35.6%	10.4%	37.3%	7.2%	36.5%	4.1%	0.2%	2.1M	-56.6M	-5.4M	0.95	25.03	128,814	122,734	1,949,986	1,676,740
2016-09-09	$10.58	$10.50	37.2%	10.8%	37.3%	10.7%	37.6%	2.8%	0.8%	-4.6M	131.5M	-5.4M	0.78	10.06	54,391	42,418	1,958,624	1,735,518
2016-09-12	$10.65	$10.50	38.2%	10.9%	36.2%	13.1%	38.5%	5.3%	-0.2%	-4.0M	132.8M	-5.2M	0.83	14.81	51,279	42,528	1,938,730	1,714,410
2016-09-13	$10.39	$10.50	39.1%	11.1%	35.9%	15.2%	39.0%	2.5%	-0.6%	-8.0M	239.8M	-5.1M	0.64	12.23	59,944	38,586	1,946,676	1,722,370
2016-09-14	$10.10	$10.50	40.5%	11.7%	36.6%	18.3%	40.2%	2.9%	0.4%	-12.6M	361.7M	-5.0M	1.01	23.05	116,123	117,039	1,953,761	1,708,878
2016-09-15	$10.15	$10.50	39.3%	11.3%	36.5%	15.6%	38.9%	3.1%	-0.1%	-11.3M	304.8M	-5.0M	0.94	12.05	55,660	52,187	1,998,143	1,710,776
2016-09-16	$10.00	$10.50	38.5%	11.0%	34.7%	13.7%	38.9%	3.9%	-0.2%	-5.0M	346.4M	-4.9M	0.69	11.63	122,168	83,760	2,006,968	1,710,333
2016-09-19	$10.00	$10.50	38.1%	10.9%	34.6%	12.9%	38.4%	3.2%	0.9%	-5.0M	275.7M	-4.9M	0.49	10.22	76,071	37,539	1,832,374	1,439,347
2016-09-20	$10.07	$10.50	38.6%	11.0%	33.5%	13.9%	38.4%	4.0%	0.3%	-3.4M	247.9M	-5.0M	0.32	7.21	134,098	43,453	1,863,688	1,442,160
2016-09-21	$10.41	$10.50	37.1%	10.6%	35.6%	10.5%	36.8%	4.0%	0.4%	-1.1M	129.0M	-5.2M	0.52	30.17	86,828	45,511	1,825,379	1,471,397
2016-09-22	$10.53	$10.50	39.1%	11.2%	34.9%	15.1%	40.0%	0.9%	0.8%	1.1M	78.0M	-5.2M	0.12	12.16	392,755	47,865	1,843,820	1,492,304
2016-09-23	$10.23	$10.50	42.0%	11.9%	35.8%	21.6%	41.6%	2.5%	0.9%	2.8M	154.5M	-5.3M	0.75	13.53	213,104	158,814	2,141,171	1,503,407
2016-09-26	$10.42	$10.50	42.3%	12.2%	36.6%	22.2%	42.6%	3.2%	-0.3%	6.6M	42.9M	-5.7M	0.22	9.85	169,844	37,138	2,226,825	1,567,072
2016-09-27	$10.15	$10.50	42.4%	12.1%	37.6%	22.5%	42.4%	3.6%	-0.5%	3.8M	166.2M	-5.5M	1.25	10.64	66,196	82,862	2,280,722	1,573,387
2016-09-28	$10.65	$10.50	42.4%	12.5%	41.6%	22.6%	43.6%	2.3%	-0.6%	12.4M	-103.0M	-5.9M	0.72	21.78	179,700	129,189	2,293,488	1,611,629
2016-09-29	$10.88	$10.50	39.2%	11.1%	39.9%	15.3%	39.3%	3.6%	0.0%	19.6M	-236.0M	-6.0M	0.50	13.27	329,039	164,037	2,340,021	1,663,383
2016-09-30	$10.96	$10.50	36.3%	10.2%	38.3%	8.8%	36.3%	2.7%	0.1%	27.9M	-207.0M	-5.8M	1.01	12.78	90,899	91,550	2,238,142	1,749,276