USO Options History — February 2017

In February 2017, USO traded between $11.19 and $11.54. ATM implied volatility averaged 25.3%, placing in the 1.3% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 6.2% (HV 20d: 19.1%). Max pain ranged from $11.00 to $11.50. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 1.14.

Notable Days

2017-02-21: Highest Volume — 235,827 contracts
2017-02-17: Largest IV drop — 7.9% change
2017-02-22: Highest IV Rank — 3.3%
2017-02-07: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.42	$11.19	$11.54	$11.47	$11.45
Max Pain	$11.47	$11.00	$11.50	$11.00	$11.50
ATM IV	25.3%	22.5%	28.1%	27.4%	23.0%
Expected Move	7.2%	6.2%	8.1%	7.8%	6.4%
HV 20d	19.1%	16.0%	24.2%	24.2%	16.0%
HV 60d	30.2%	22.3%	32.7%	32.7%	22.3%
IV Rank	1.3%	0.0%	3.3%	1.7%	1.6%
IV Percentile	1.2%	0.0%	6.0%	1.6%	0.4%
Term Structure	0.5%	-0.5%	1.9%	0.1%	0.7%
VWIV	25.5%	21.8%	30.2%	27.2%	22.6%
Skew 25d	2.3%	0.9%	3.1%	3.1%	2.2%
Skew 10d	4.5%	2.6%	7.2%	6.4%	3.6%
Call IV 25d	24.5%	21.9%	27.5%	25.7%	22.1%
Put IV 25d	26.8%	24.1%	30.4%	28.8%	24.3%
Bid-Ask Spread %	22.21	7.22	74.61	34.00	15.80
Gamma HHI	0.19	0.17	0.27	0.17	0.21
Net GEX	6.8M	-168.8K	24.3M	4.2M	6.6M
Net DEX	-138.0M	-211.6M	-60.9M	-133.5M	-123.5M
Net VEX	-4.5M	-4.6M	-4.3M	-4.5M	-4.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.14	0.42	2.90	2.17	1.76
Total Volume	120,760.842	58,792	235,827	202,852	128,317
Total OI	2,336,030.316	2,157,550	2,447,303	2,298,384	2,386,819

Daily Data (19 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
2017-02-01	$11.47	$11.00	27.4%	7.8%	24.2%	1.7%	27.2%	3.1%	0.1%	4.2M	-133.5M	-4.5M	2.17	34.00	63,999	138,853	1,163,068	1,135,316
2017-02-02	$11.50	$11.50	27.6%	8.1%	23.7%	2.2%	28.4%	2.3%	-0.5%	6.8M	-153.2M	-4.4M	2.65	44.25	48,996	129,774	1,177,122	1,062,945
2017-02-03	$11.53	$11.50	26.6%	7.8%	23.5%	0.1%	30.2%	2.8%	1.1%	17.2M	-205.4M	-4.4M	1.38	11.37	69,777	96,045	1,207,845	1,070,056
2017-02-06	$11.38	$11.50	26.6%	7.7%	23.9%	0.1%	27.8%	0.9%	0.6%	5.4M	-141.9M	-4.4M	0.90	8.88	39,465	35,549	1,217,934	1,034,220
2017-02-07	$11.19	$11.50	28.1%	8.1%	21.4%	3.1%	28.9%	3.0%	0.5%	160.5K	-60.9M	-4.3M	0.89	14.43	64,987	57,551	1,237,158	1,055,073
2017-02-08	$11.24	$11.50	27.8%	8.1%	20.1%	2.5%	28.0%	1.7%	0.5%	825.0K	-80.2M	-4.5M	2.90	31.22	39,463	114,476	1,245,463	1,079,246
2017-02-09	$11.35	$11.50	25.7%	7.4%	18.3%	0.0%	26.0%	2.4%	0.0%	4.5M	-117.1M	-4.5M	1.03	9.71	48,032	49,447	1,250,039	1,110,707
2017-02-10	$11.51	$11.50	24.7%	7.1%	18.2%	0.0%	24.8%	1.8%	-0.3%	24.3M	-211.6M	-4.4M	0.42	20.18	77,245	32,800	1,256,274	1,121,961
2017-02-13	$11.33	$11.50	25.2%	7.2%	18.7%	1.0%	26.2%	2.8%	0.4%	3.6M	-105.7M	-4.3M	1.04	7.22	46,000	47,705	1,241,928	1,098,584
2017-02-14	$11.40	$11.50	25.9%	7.4%	18.8%	2.6%	26.0%	2.1%	0.5%	6.2M	-149.6M	-4.4M	0.67	14.64	52,441	35,097	1,257,010	1,108,642
2017-02-15	$11.36	$11.50	25.3%	7.2%	17.2%	1.3%	25.3%	2.5%	0.9%	5.8M	-130.8M	-4.4M	0.61	28.50	52,545	32,214	1,271,016	1,127,346
2017-02-16	$11.42	$11.50	25.2%	7.2%	17.2%	1.2%	24.9%	2.8%	0.8%	10.6M	-144.5M	-4.4M	0.90	18.89	56,709	51,134	1,277,925	1,140,355
2017-02-17	$11.40	$11.50	23.2%	6.5%	16.0%	0.0%	23.2%	1.9%	1.9%	-168.8K	-113.3M	-4.4M	0.71	9.70	52,207	36,915	1,290,174	1,157,129
2017-02-21	$11.54	$11.50	24.1%	6.7%	16.3%	2.3%	23.2%	1.6%	0.7%	5.3M	-173.6M	-4.4M	0.50	19.73	156,952	78,875	1,148,880	1,008,670
2017-02-22	$11.36	$11.50	24.5%	6.7%	17.3%	3.3%	24.2%	2.5%	-0.1%	2.8M	-100.5M	-4.6M	1.06	74.61	47,416	50,126	1,262,275	1,067,207
2017-02-23	$11.53	$11.50	23.6%	6.7%	18.0%	1.0%	22.9%	2.0%	0.0%	9.6M	-173.0M	-4.6M	0.90	37.87	73,067	65,692	1,261,521	1,075,714
2017-02-24	$11.46	$11.50	23.4%	6.4%	17.0%	0.7%	22.9%	2.9%	0.3%	8.5M	-146.4M	-4.6M	0.78	10.19	36,992	28,801	1,299,890	1,106,739
2017-02-27	$11.47	$11.50	22.5%	6.2%	16.4%	0.0%	21.8%	2.6%	0.7%	6.8M	-156.8M	-4.6M	0.47	10.80	39,920	18,872	1,290,148	1,082,177
2017-02-28	$11.45	$11.50	23.0%	6.4%	16.0%	1.6%	22.6%	2.2%	0.7%	6.6M	-123.5M	-4.5M	1.76	15.80	46,519	81,798	1,299,366	1,087,453