USO Options History — October 2016

In October 2016, USO traded between $10.56 and $11.67. ATM implied volatility averaged 33.4%, placing in the 4.3% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 2.4% (HV 20d: 30.9%). Max pain ranged from $10.50 to $11.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.25.

Notable Days

2016-10-31: Highest Volume — 374,946 contracts
2016-10-31: Largest IV spike — 14.9% change
2016-10-31: Highest IV Rank — 20.1%
2016-10-31: Largest Expected Move — 11.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.33	$10.56	$11.67	$11.10	$10.56
Max Pain	$10.90	$10.50	$11.00	$10.50	$11.00
ATM IV	33.4%	29.9%	39.3%	35.4%	39.3%
Expected Move	9.6%	8.6%	11.0%	10.2%	11.0%
HV 20d	30.9%	22.0%	38.6%	38.1%	26.9%
HV 60d	34.6%	32.8%	36.7%	36.7%	34.1%
IV Rank	4.3%	0.0%	20.1%	6.8%	20.1%
IV Percentile	5.8%	0.0%	38.5%	7.9%	38.5%
Term Structure	0.4%	-1.7%	3.3%	0.8%	-0.2%
VWIV	34.0%	30.3%	38.2%	36.1%	38.2%
Skew 25d	3.0%	1.9%	4.7%	2.9%	2.5%
Skew 10d	5.3%	1.6%	9.1%	7.9%	5.4%
Call IV 25d	32.3%	28.1%	38.8%	34.8%	38.8%
Put IV 25d	35.3%	32.1%	41.3%	37.7%	41.3%
Bid-Ask Spread %	14.74	8.31	28.23	9.83	12.23
Gamma HHI	0.23	0.14	0.55	0.18	0.16
Net GEX	12.7M	-25.7M	55.8M	13.1M	-10.6M
Net DEX	-257.2M	-543.6M	331.7M	-228.5M	331.7M
Net VEX	-5.6M	-5.8M	-5.3M	-5.7M	-5.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.25	0.56	4.25	0.85	1.03
Total Volume	151,692.905	73,287	374,946	146,451	374,946
Total OI	3,930,202.857	3,437,403	4,241,107	3,888,956	3,613,851

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
2016-10-03	$11.10	$10.50	35.4%	10.2%	38.1%	6.8%	36.1%	2.9%	0.8%	13.1M	-228.5M	-5.7M	0.85	9.83	79,142	67,309	2,176,711	1,712,245
2016-10-04	$11.09	$10.50	34.9%	10.0%	38.0%	5.7%	35.1%	2.7%	0.4%	14.4M	-227.7M	-5.6M	1.07	12.82	58,444	62,609	2,202,748	1,725,437
2016-10-05	$11.35	$10.50	33.7%	9.8%	38.6%	2.9%	35.2%	3.3%	-1.3%	16.9M	-376.1M	-5.6M	0.90	21.42	113,778	102,509	2,204,346	1,742,101
2016-10-06	$11.51	$10.50	33.9%	9.7%	36.0%	3.2%	34.8%	3.1%	-1.4%	18.6M	-473.0M	-5.7M	0.78	16.22	87,591	68,423	2,245,240	1,776,517
2016-10-07	$11.34	$11.00	33.3%	9.8%	33.7%	2.1%	34.4%	2.3%	-1.0%	15.7M	-369.9M	-5.7M	0.67	11.16	107,530	71,803	2,257,533	1,793,650
2016-10-10	$11.67	$11.00	34.6%	9.9%	34.8%	5.0%	34.8%	3.9%	1.0%	18.6M	-543.6M	-5.7M	0.56	9.63	142,641	79,432	2,258,127	1,783,561
2016-10-11	$11.58	$11.00	35.6%	10.2%	33.4%	7.2%	35.6%	3.6%	0.4%	21.7M	-520.3M	-5.8M	1.35	9.67	54,281	73,394	2,304,921	1,815,522
2016-10-12	$11.46	$11.00	36.1%	10.4%	31.6%	8.3%	37.2%	2.3%	0.6%	15.7M	-393.5M	-5.7M	0.97	13.55	40,071	39,014	2,253,626	1,838,605
2016-10-13	$11.49	$11.00	35.6%	10.0%	31.6%	7.1%	36.3%	2.8%	-1.7%	18.2M	-412.7M	-5.7M	1.22	8.31	51,778	63,179	2,256,758	1,844,464
2016-10-14	$11.45	$11.00	33.3%	9.4%	30.9%	2.1%	34.0%	3.6%	-0.8%	24.3M	-383.3M	-5.6M	1.32	9.58	38,421	50,674	2,266,801	1,862,232
2016-10-17	$11.36	$11.00	32.3%	9.3%	31.2%	0.0%	33.5%	2.6%	0.5%	18.0M	-314.5M	-5.5M	4.25	10.64	33,673	143,038	2,231,429	1,837,766
2016-10-18	$11.44	$11.00	31.6%	9.1%	31.2%	0.0%	33.2%	3.4%	-0.6%	19.5M	-346.9M	-5.7M	1.26	13.86	32,460	40,827	2,238,597	1,938,183
2016-10-19	$11.65	$11.00	31.0%	8.9%	29.9%	0.0%	31.9%	2.8%	-0.7%	22.5M	-479.1M	-5.6M	0.78	22.49	98,469	77,078	2,231,943	1,947,948
2016-10-20	$11.41	$11.00	30.7%	8.8%	31.3%	0.0%	31.0%	2.5%	-0.7%	21.6M	-312.6M	-5.5M	0.90	13.52	69,247	62,490	2,258,071	1,983,036
2016-10-21	$11.49	$11.00	29.9%	8.6%	28.7%	0.0%	30.3%	2.8%	-0.6%	55.8M	-306.1M	-5.6M	1.02	13.88	50,923	51,858	2,225,391	1,999,514
2016-10-24	$11.42	$11.00	30.1%	8.6%	28.6%	0.4%	31.4%	4.7%	1.9%	1.5M	-133.4M	-5.3M	1.81	15.01	39,222	71,033	1,838,436	1,598,967
2016-10-25	$11.26	$11.00	30.3%	8.7%	27.2%	0.7%	30.7%	2.0%	2.9%	-1.8M	-42.6M	-5.3M	1.09	19.04	54,168	58,784	1,850,586	1,636,464
2016-10-26	$11.09	$11.00	31.9%	9.3%	22.9%	4.2%	32.8%	1.9%	2.8%	-5.1M	36.0M	-5.4M	1.82	28.23	71,688	130,207	1,866,072	1,650,997
2016-10-27	$11.21	$11.00	32.6%	9.4%	22.0%	5.8%	32.5%	3.1%	2.9%	-5.1M	-16.6M	-5.5M	1.87	16.92	35,803	67,087	1,905,259	1,715,417
2016-10-28	$11.02	$11.00	34.2%	10.0%	22.8%	9.2%	34.6%	3.8%	3.3%	-25.7M	112.3M	-5.5M	0.70	21.60	100,390	70,137	1,888,664	1,756,524
2016-10-31	$10.56	$11.00	39.3%	11.0%	26.9%	20.1%	38.2%	2.5%	-0.2%	-10.6M	331.7M	-5.3M	1.03	12.23	184,377	190,569	1,900,972	1,712,879