USO Options History — November 2016

In November 2016, USO traded between $9.80 and $10.88. ATM implied volatility averaged 44.8%, placing in the 31.7% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 13.2% (HV 20d: 31.5%). Max pain ranged from $10.00 to $11.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.08.

Notable Days

2016-11-29: Highest Volume — 577,053 contracts
2016-11-30: Largest IV drop — 21.4% change
2016-11-29: Highest IV Rank — 49.7%
2016-11-29: Largest Expected Move — 18.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.28	$9.80	$10.88	$10.56	$10.88
Max Pain	$10.55	$10.00	$11.00	$11.00	$10.50
ATM IV	44.8%	39.1%	53.2%	39.1%	41.8%
Expected Move	13.1%	10.4%	18.3%	10.6%	13.6%
HV 20d	31.5%	24.5%	46.8%	26.9%	46.8%
HV 60d	33.5%	32.0%	37.7%	33.8%	37.7%
IV Rank	31.7%	19.6%	49.7%	19.6%	25.4%
IV Percentile	64.9%	36.5%	85.3%	36.5%	53.6%
Term Structure	-0.7%	-3.4%	0.5%	-0.1%	-1.2%
VWIV	46.0%	37.6%	63.9%	37.6%	48.0%
Skew 25d	3.5%	-1.2%	6.0%	4.2%	1.2%
Skew 10d	7.4%	0.3%	11.0%	6.2%	4.5%
Call IV 25d	43.4%	37.9%	52.0%	37.9%	41.8%
Put IV 25d	46.9%	41.3%	55.0%	42.0%	42.9%
Bid-Ask Spread %	22.16	11.75	63.82	20.26	63.82
Gamma HHI	0.16	0.10	0.24	0.16	0.14
Net GEX	-5.6M	-16.6M	14.8M	-12.1M	14.8M
Net DEX	267.6M	-313.4M	613.6M	330.1M	-313.4M
Net VEX	-5.2M	-5.5M	-4.7M	-5.3M	-5.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.08	0.44	3.25	1.92	0.92
Total Volume	237,107.571	87,922	577,053	150,819	527,784
Total OI	3,839,852.524	3,589,811	4,315,152	3,673,195	4,315,152

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
2016-11-01	$10.56	$11.00	39.1%	10.6%	26.9%	19.6%	37.6%	4.2%	-0.1%	-12.1M	330.1M	-5.3M	1.92	20.26	51,717	99,102	1,933,591	1,739,604
2016-11-02	$10.28	$11.00	39.7%	10.4%	26.5%	20.8%	38.3%	4.2%	0.1%	-15.7M	483.7M	-5.1M	1.82	35.58	84,935	154,982	1,903,219	1,758,381
2016-11-03	$10.07	$11.00	40.4%	11.5%	26.0%	22.4%	39.7%	4.0%	0.3%	-16.6M	564.3M	-5.0M	0.76	11.75	103,295	78,527	1,927,561	1,789,929
2016-11-04	$9.94	$11.00	43.0%	12.2%	26.0%	27.8%	42.2%	4.2%	-0.5%	-14.7M	603.5M	-5.0M	0.80	13.67	116,260	92,498	1,982,230	1,800,472
2016-11-07	$10.14	$11.00	42.8%	12.1%	24.5%	27.4%	41.7%	6.0%	-0.6%	-14.2M	465.6M	-5.2M	0.72	16.76	63,249	45,246	2,011,071	1,793,413
2016-11-08	$10.14	$10.50	42.1%	11.9%	24.6%	26.0%	41.2%	3.4%	-0.1%	-13.7M	458.2M	-5.2M	0.77	16.82	50,802	38,910	2,032,395	1,792,033
2016-11-09	$10.23	$10.50	40.3%	11.5%	25.2%	22.2%	39.8%	3.1%	0.0%	-12.8M	412.9M	-5.1M	0.83	23.08	67,620	55,807	2,048,090	1,777,218
2016-11-10	$10.06	$10.50	40.0%	11.5%	25.3%	21.5%	40.7%	-1.2%	-0.1%	-15.5M	482.9M	-5.0M	0.87	13.52	46,953	40,969	2,062,017	1,785,790
2016-11-11	$9.80	$10.50	43.6%	12.4%	26.2%	29.2%	43.5%	2.8%	-0.6%	-15.4M	613.6M	-4.8M	3.25	16.71	65,910	214,134	2,067,957	1,777,838
2016-11-14	$9.82	$10.50	47.5%	13.5%	26.4%	37.5%	47.0%	3.0%	0.5%	-13.1M	541.6M	-4.7M	0.64	17.19	185,772	119,717	2,046,251	1,713,266
2016-11-15	$10.36	$10.00	46.4%	13.2%	33.9%	35.2%	46.6%	4.4%	0.2%	-4.7M	212.7M	-5.2M	1.88	16.95	156,899	295,670	2,164,919	1,760,269
2016-11-16	$10.24	$10.00	48.1%	13.8%	32.8%	38.8%	47.2%	4.0%	-0.7%	-3.7M	226.3M	-5.2M	0.53	23.49	120,091	63,355	2,226,349	1,760,501
2016-11-17	$10.13	$10.00	46.1%	13.2%	32.4%	34.5%	45.5%	3.0%	-0.2%	-6.5M	290.9M	-5.1M	0.94	16.93	136,180	128,257	2,272,934	1,759,933
2016-11-18	$10.30	$10.50	44.3%	12.7%	33.1%	30.8%	46.1%	3.9%	0.5%	248.3K	226.0M	-5.3M	0.97	16.44	74,331	72,385	2,316,343	1,841,065
2016-11-21	$10.77	$10.50	44.7%	13.1%	37.6%	31.6%	46.3%	3.2%	-1.9%	5.9M	-131.7M	-5.4M	0.53	26.17	197,323	104,071	2,105,467	1,484,344
2016-11-22	$10.69	$10.50	45.9%	13.7%	37.4%	34.1%	47.1%	3.4%	-1.1%	6.0M	-105.5M	-5.4M	0.44	18.59	132,586	58,016	2,158,059	1,525,763
2016-11-23	$10.68	$10.50	46.9%	13.8%	37.1%	36.3%	48.1%	3.8%	-2.0%	6.3M	-96.3M	-5.4M	0.94	28.74	58,026	54,501	2,199,287	1,558,075
2016-11-25	$10.33	$10.50	52.9%	16.4%	38.4%	49.0%	57.6%	2.9%	-3.4%	3.7M	90.4M	-5.3M	0.81	26.83	75,485	61,379	2,211,525	1,569,215
2016-11-28	$10.42	$10.50	51.7%	16.7%	38.3%	46.4%	58.4%	6.0%	-2.8%	4.9M	28.7M	-5.2M	1.49	16.33	124,334	185,128	2,206,980	1,539,731
2016-11-29	$10.07	$10.50	53.2%	18.3%	37.2%	49.7%	63.9%	3.0%	-1.4%	-397.9K	233.7M	-5.0M	0.90	25.65	303,269	273,784	2,263,055	1,655,611
2016-11-30	$10.88	$10.50	41.8%	13.6%	46.8%	25.4%	48.0%	1.2%	-1.2%	14.8M	-313.4M	-5.5M	0.92	63.82	274,779	253,005	2,457,077	1,858,075