USO Options History — December 2016

In December 2016, USO traded between $11.11 and $11.75. ATM implied volatility averaged 31.0%, placing in the 5.0% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 10.5% (HV 20d: 41.5%). Max pain ranged from $10.50 to $11.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.91.

Notable Days

2016-12-01: Highest Volume — 351,048 contracts
2016-12-08: Largest IV drop — 9.8% change
2016-12-01: Highest IV Rank — 18.1%
2016-12-01: Largest Expected Move — 12.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.50	$11.11	$11.75	$11.29	$11.71
Max Pain	$10.95	$10.50	$11.00	$10.50	$11.00
ATM IV	31.0%	26.6%	38.4%	38.4%	28.7%
Expected Move	8.8%	7.6%	12.1%	12.1%	8.0%
HV 20d	41.5%	21.5%	47.1%	47.1%	21.5%
HV 60d	35.8%	33.6%	38.3%	38.3%	33.6%
IV Rank	5.0%	0.0%	18.1%	18.1%	4.2%
IV Percentile	5.3%	0.0%	29.0%	29.0%	3.2%
Term Structure	0.1%	-1.6%	1.5%	-0.8%	0.6%
VWIV	31.2%	26.3%	42.5%	42.5%	28.1%
Skew 25d	3.2%	-0.1%	5.0%	2.9%	3.6%
Skew 10d	6.6%	1.3%	10.9%	5.6%	3.2%
Call IV 25d	29.8%	25.4%	37.8%	37.8%	26.7%
Put IV 25d	33.0%	29.0%	40.8%	40.8%	30.3%
Bid-Ask Spread %	18.43	4.99	54.89	15.01	53.22
Gamma HHI	0.19	0.16	0.32	0.16	0.20
Net GEX	17.6M	6.6M	36.4M	21.2M	10.1M
Net DEX	-494.5M	-808.6M	-240.3M	-636.8M	-368.8M
Net VEX	-4.9M	-5.5M	-4.5M	-5.5M	-4.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.91	0.26	1.46	0.52	1.10
Total Volume	170,435.857	61,114	351,048	351,048	108,315
Total OI	3,924,806.143	3,434,532	4,445,409	4,442,978	3,473,900

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
2016-12-01	$11.29	$10.50	38.4%	12.1%	47.1%	18.1%	42.5%	2.9%	-0.8%	21.2M	-636.8M	-5.5M	0.52	15.01	230,330	120,718	2,518,139	1,924,839
2016-12-02	$11.48	$10.50	34.7%	10.3%	46.3%	10.3%	36.6%	3.3%	-0.4%	36.4M	-795.3M	-5.2M	0.68	12.73	104,946	71,194	2,542,293	1,903,116
2016-12-05	$11.37	$11.00	34.5%	9.7%	46.2%	9.8%	35.4%	3.5%	0.3%	24.6M	-612.3M	-5.1M	0.86	13.33	94,089	81,124	2,404,059	1,782,624
2016-12-06	$11.29	$11.00	34.0%	9.6%	46.1%	8.8%	35.2%	3.2%	-1.6%	24.2M	-527.8M	-5.1M	0.87	52.24	86,072	74,660	2,417,553	1,792,624
2016-12-07	$11.11	$11.00	36.0%	9.7%	46.7%	12.9%	34.0%	2.4%	-0.9%	23.4M	-387.9M	-5.0M	1.31	12.73	93,526	122,968	2,431,104	1,804,739
2016-12-08	$11.30	$11.00	32.5%	9.3%	46.9%	5.4%	32.6%	5.0%	-0.5%	21.8M	-512.3M	-5.0M	0.98	50.30	121,720	119,276	2,434,663	1,862,894
2016-12-09	$11.43	$11.00	33.0%	9.2%	46.2%	6.5%	33.5%	4.0%	0.4%	18.5M	-597.8M	-5.1M	0.44	6.92	192,167	84,317	2,436,713	1,878,354
2016-12-12	$11.61	$11.00	31.8%	9.0%	44.7%	4.0%	31.0%	2.9%	-0.4%	24.5M	-769.0M	-4.9M	0.75	12.97	135,782	101,717	2,375,354	1,744,584
2016-12-13	$11.73	$11.00	31.7%	8.9%	44.6%	3.8%	32.2%	2.6%	-0.6%	22.4M	-808.6M	-4.9M	1.05	7.34	84,885	89,102	2,381,473	1,780,083
2016-12-14	$11.33	$11.00	31.9%	9.1%	43.9%	4.3%	32.0%	-0.1%	0.2%	19.8M	-502.8M	-4.9M	1.09	17.00	69,839	76,035	2,383,069	1,822,630
2016-12-15	$11.37	$11.00	31.9%	9.1%	43.5%	4.2%	32.5%	3.6%	0.2%	18.6M	-533.3M	-4.9M	1.17	4.99	153,685	179,399	2,393,409	1,848,602
2016-12-16	$11.56	$11.00	29.4%	8.4%	43.2%	0.0%	28.8%	3.2%	-0.2%	27.0M	-696.9M	-4.9M	0.26	7.79	170,406	43,455	2,392,676	1,925,583
2016-12-19	$11.52	$11.00	28.0%	8.0%	43.2%	0.0%	28.4%	3.1%	0.9%	8.5M	-315.3M	-4.7M	0.62	7.54	61,635	38,478	1,909,738	1,524,794
2016-12-20	$11.62	$11.00	27.3%	7.8%	40.7%	0.0%	27.2%	3.4%	1.0%	8.5M	-322.6M	-4.7M	1.12	5.17	46,766	52,602	1,922,970	1,542,031
2016-12-21	$11.45	$11.00	26.6%	7.6%	41.1%	0.0%	28.9%	3.2%	1.5%	7.2M	-258.0M	-4.7M	1.30	16.40	57,177	74,156	1,933,137	1,549,394
2016-12-22	$11.49	$11.00	27.7%	7.9%	41.0%	2.2%	26.3%	3.0%	0.8%	6.6M	-240.3M	-4.8M	0.97	54.89	54,588	52,998	1,939,571	1,569,172
2016-12-23	$11.56	$11.00	27.5%	7.8%	38.6%	1.8%	27.3%	3.6%	0.8%	9.3M	-337.6M	-4.7M	1.46	7.58	41,413	60,607	1,942,944	1,571,070
2016-12-27	$11.74	$11.00	28.4%	7.9%	38.8%	3.6%	27.3%	4.0%	0.7%	12.1M	-371.0M	-4.6M	1.15	6.63	45,372	52,343	1,913,477	1,536,851
2016-12-28	$11.75	$11.00	27.7%	7.8%	35.9%	2.2%	28.9%	3.8%	0.5%	13.6M	-426.1M	-4.5M	0.67	7.67	42,012	28,165	1,921,460	1,526,093
2016-12-29	$11.71	$11.00	28.3%	7.8%	24.8%	3.4%	27.1%	4.0%	-0.3%	11.8M	-364.6M	-4.6M	0.71	14.51	35,805	25,309	1,924,893	1,538,257
2016-12-30	$11.71	$11.00	28.7%	8.0%	21.5%	4.2%	28.1%	3.6%	0.6%	10.1M	-368.8M	-4.5M	1.10	53.22	51,572	56,743	1,926,855	1,547,045