USO Options History — March 2017

In March 2017, USO traded between $10.02 and $11.40. ATM implied volatility averaged 27.3%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 4.2% (HV 20d: 23.1%). Max pain ranged from $10.50 to $11.50. Net GEX was positive for 2 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 1.03.

Notable Days

2017-03-09: Highest Volume — 528,919 contracts
2017-03-08: Largest IV spike — 28.7% change
2017-03-14: Highest IV Rank — 33.1%
2017-03-14: Largest Expected Move — 9.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.52	$10.02	$11.40	$11.40	$10.64
Max Pain	$10.87	$10.50	$11.50	$11.50	$10.50
ATM IV	27.3%	22.4%	32.6%	23.1%	25.8%
Expected Move	7.7%	5.9%	9.3%	6.1%	7.1%
HV 20d	23.1%	16.1%	26.9%	16.1%	26.8%
HV 60d	22.3%	20.8%	23.5%	21.0%	22.6%
IV Rank	16.0%	0.0%	33.1%	1.9%	11.2%
IV Percentile	12.2%	0.0%	28.6%	0.8%	6.7%
Term Structure	-0.0%	-1.5%	1.2%	-1.1%	-0.0%
VWIV	27.1%	21.4%	31.8%	22.0%	25.3%
Skew 25d	3.3%	0.8%	5.4%	0.8%	3.6%
Skew 10d	4.8%	-3.2%	8.4%	0.8%	6.2%
Call IV 25d	26.2%	21.9%	29.8%	21.9%	23.6%
Put IV 25d	29.6%	22.7%	34.3%	22.7%	27.2%
Bid-Ask Spread %	20.38	4.53	63.21	63.21	45.23
Gamma HHI	0.21	0.15	0.28	0.21	0.15
Net GEX	-7.2M	-17.9M	7.4M	5.9M	-2.7M
Net DEX	197.9M	-114.5M	429.7M	-114.5M	326.6K
Net VEX	-4.5M	-5.0M	-4.2M	-4.4M	-4.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.03	0.36	2.34	1.22	0.57
Total Volume	168,789.609	55,722	528,919	102,384	86,861
Total OI	2,698,907.304	2,419,295	3,099,122	2,419,295	2,847,573

Daily Data (23 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
2017-03-01	$11.40	$11.50	23.1%	6.1%	16.1%	1.9%	22.0%	0.8%	-1.1%	5.9M	-114.5M	-4.4M	1.22	63.21	46,189	56,195	1,306,080	1,113,215
2017-03-02	$11.18	$11.50	24.0%	6.4%	16.8%	4.9%	22.5%	2.5%	0.0%	-5.6M	21.8M	-4.5M	1.59	6.05	59,758	95,018	1,317,981	1,159,406
2017-03-03	$11.28	$11.50	22.4%	5.9%	17.2%	0.0%	21.4%	2.6%	0.2%	-3.6M	-18.3M	-4.5M	1.27	5.76	56,998	72,143	1,316,299	1,186,521
2017-03-06	$11.29	$11.00	23.3%	6.9%	17.1%	2.9%	24.7%	2.7%	0.5%	-2.7M	-22.8M	-4.5M	0.72	4.53	32,480	23,242	1,308,041	1,186,086
2017-03-07	$11.27	$11.00	23.4%	7.0%	16.5%	3.3%	24.6%	2.3%	0.2%	-4.2M	-20.2M	-4.4M	0.36	7.43	57,361	20,781	1,311,080	1,189,503
2017-03-08	$10.69	$11.00	30.1%	8.5%	24.3%	25.0%	28.8%	3.9%	-0.5%	-17.5M	283.9M	-4.2M	2.17	8.27	161,784	351,748	1,299,722	1,204,048
2017-03-09	$10.57	$11.00	29.2%	8.5%	24.4%	22.0%	29.6%	4.6%	-0.4%	-17.8M	315.8M	-4.3M	1.40	39.66	220,754	308,165	1,365,892	1,230,153
2017-03-10	$10.28	$11.00	30.0%	8.4%	25.4%	25.0%	29.2%	3.9%	-1.5%	-17.9M	429.7M	-4.3M	0.87	9.74	117,847	102,175	1,428,239	1,307,309
2017-03-13	$10.29	$11.00	30.5%	8.6%	24.5%	26.4%	30.7%	4.5%	-0.7%	-13.9M	370.8M	-4.4M	0.73	8.17	95,644	69,848	1,514,824	1,281,829
2017-03-14	$10.18	$11.00	32.6%	9.3%	24.3%	33.1%	31.8%	4.5%	-0.5%	-14.1M	408.4M	-4.5M	1.57	27.23	108,313	169,866	1,568,995	1,313,093
2017-03-15	$10.37	$11.00	29.3%	8.4%	25.5%	22.4%	29.0%	5.4%	0.1%	-7.7M	265.8M	-5.0M	0.38	19.91	96,304	36,355	1,780,995	1,318,127
2017-03-16	$10.36	$11.00	27.9%	7.8%	25.5%	17.9%	27.5%	3.6%	-0.2%	-5.8M	305.4M	-4.6M	0.79	7.41	48,733	38,690	1,660,161	1,347,607
2017-03-17	$10.36	$11.00	26.5%	7.5%	25.3%	13.5%	26.5%	4.5%	-1.1%	-5.0M	263.1M	-4.6M	0.49	4.66	62,577	30,857	1,679,268	1,304,744
2017-03-20	$10.27	$11.00	26.9%	7.7%	25.3%	14.7%	27.8%	3.0%	-0.3%	-5.7M	197.6M	-4.4M	0.81	30.48	51,106	41,530	1,378,096	1,141,558
2017-03-21	$10.12	$10.50	29.6%	8.5%	24.6%	23.6%	30.9%	3.7%	0.1%	-7.3M	249.7M	-4.4M	1.56	7.45	52,688	82,173	1,401,077	1,156,118
2017-03-22	$10.11	$10.50	28.0%	8.0%	24.5%	18.3%	28.0%	3.1%	0.3%	-9.1M	271.1M	-4.3M	1.18	12.05	65,934	77,615	1,416,266	1,198,432
2017-03-23	$10.02	$10.50	28.0%	8.0%	23.2%	18.4%	28.1%	2.9%	0.9%	-11.0M	304.8M	-4.3M	0.85	5.90	74,194	63,079	1,438,469	1,228,595
2017-03-24	$10.09	$10.50	28.3%	8.0%	23.7%	19.3%	27.7%	2.3%	1.1%	-9.0M	290.8M	-4.4M	1.30	5.46	59,768	77,950	1,473,658	1,272,182
2017-03-27	$10.04	$10.50	29.8%	8.2%	23.6%	24.1%	28.7%	3.1%	0.3%	-9.9M	308.7M	-4.5M	2.34	38.93	72,836	170,277	1,425,449	1,284,227
2017-03-28	$10.15	$10.50	27.3%	7.6%	24.4%	16.0%	26.3%	3.7%	1.2%	-8.0M	252.4M	-4.6M	0.52	44.16	78,599	40,700	1,439,474	1,337,957
2017-03-29	$10.38	$10.50	26.3%	7.4%	26.4%	12.6%	26.1%	3.0%	0.1%	-1.1M	147.4M	-4.7M	0.51	46.66	83,511	42,272	1,462,091	1,349,284
2017-03-30	$10.56	$10.50	26.2%	7.2%	26.9%	12.4%	25.9%	2.4%	0.7%	7.4M	40.3M	-4.8M	0.58	20.44	76,530	44,713	1,467,081	1,358,063
2017-03-31	$10.64	$10.50	25.8%	7.1%	26.8%	11.2%	25.3%	3.6%	-0.0%	-2.7M	326.6K	-4.8M	0.57	45.23	55,278	31,583	1,470,404	1,377,169