USO Options History — July 2017

In July 2017, USO traded between $9.11 and $10.31. ATM implied volatility averaged 28.8%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 0.7% (HV 20d: 28.2%). Max pain ranged from $9.50 to $10.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.98.

Notable Days

2017-07-06: Highest Volume — 389,762 contracts
2017-07-05: Largest IV spike — 9.6% change
2017-07-10: Highest IV Rank — 28.1%
2017-07-05: Largest Expected Move — 9.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.58	$9.11	$10.31	$9.62	$10.31
Max Pain	$9.53	$9.50	$10.00	$9.50	$10.00
ATM IV	28.8%	27.3%	31.0%	28.2%	28.7%
Expected Move	8.3%	7.8%	9.1%	8.1%	8.5%
HV 20d	28.2%	24.5%	33.3%	31.5%	27.5%
HV 60d	29.6%	28.8%	30.6%	28.8%	28.9%
IV Rank	21.0%	16.2%	28.1%	18.9%	20.7%
IV Percentile	31.0%	17.5%	50.4%	25.0%	31.7%
Term Structure	0.2%	-0.8%	0.7%	-0.1%	0.7%
VWIV	29.4%	27.4%	32.4%	30.1%	29.9%
Skew 25d	2.0%	0.8%	3.1%	1.6%	0.8%
Skew 10d	3.5%	1.4%	5.0%	4.4%	3.2%
Call IV 25d	28.3%	27.1%	30.2%	27.4%	29.1%
Put IV 25d	30.3%	28.2%	33.2%	29.0%	29.9%
Bid-Ask Spread %	4.69	1.64	47.98	1.64	2.84
Gamma HHI	0.19	0.13	0.24	0.14	0.13
Net GEX	-13.9M	-24.9M	6.9M	-8.4M	1.4M
Net DEX	241.4M	-147.2M	569.2M	149.6M	-145.4M
Net VEX	-4.6M	-4.9M	-4.3M	-4.9M	-4.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.98	0.34	2.43	0.72	0.84
Total Volume	170,387.6	77,036	389,762	120,736	136,102
Total OI	3,894,270.45	3,400,398	4,194,162	3,781,743	3,656,606

Daily Data (20 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
2017-07-03	$9.62	$9.50	28.2%	8.1%	31.5%	18.9%	30.1%	1.6%	-0.1%	-8.4M	149.6M	-4.9M	0.72	1.64	70,290	50,446	1,895,360	1,886,383
2017-07-05	$9.25	$9.50	30.9%	9.1%	33.3%	27.8%	31.5%	2.2%	-0.8%	-14.4M	396.8M	-4.7M	1.14	4.30	116,015	132,342	1,903,403	1,901,454
2017-07-06	$9.31	$9.50	30.1%	8.8%	28.1%	25.3%	32.1%	2.3%	0.6%	-14.2M	384.2M	-4.7M	2.23	2.75	120,568	269,194	1,894,164	1,936,273
2017-07-07	$9.11	$9.50	30.9%	8.9%	29.0%	27.8%	32.4%	3.1%	-0.1%	-23.7M	569.2M	-4.7M	2.43	2.04	77,811	189,131	1,936,665	2,125,139
2017-07-10	$9.14	$9.50	31.0%	9.0%	29.0%	28.1%	31.1%	2.5%	0.2%	-23.2M	550.7M	-4.6M	0.50	2.49	60,100	30,183	1,904,664	2,088,717
2017-07-11	$9.27	$9.50	30.8%	8.8%	29.5%	27.2%	31.6%	2.5%	-0.0%	-20.9M	463.3M	-4.8M	1.18	2.87	47,852	56,586	1,924,792	2,123,396
2017-07-12	$9.33	$9.50	29.6%	8.6%	29.4%	23.4%	30.4%	2.4%	0.4%	-22.1M	425.3M	-4.8M	0.45	3.01	90,616	41,182	1,928,427	2,163,891
2017-07-13	$9.46	$9.50	28.8%	8.4%	26.4%	21.1%	29.5%	2.4%	0.4%	-18.3M	331.5M	-4.7M	0.35	2.18	82,979	28,844	1,948,167	2,172,535
2017-07-14	$9.59	$9.50	27.8%	8.1%	26.5%	17.7%	28.5%	2.4%	0.5%	-18.1M	237.0M	-4.7M	0.34	2.05	80,275	27,322	1,961,246	2,182,382
2017-07-17	$9.46	$9.50	28.5%	8.2%	27.0%	19.9%	28.8%	2.1%	-0.1%	-21.8M	324.8M	-4.5M	0.84	2.19	41,916	35,120	1,936,539	2,169,026
2017-07-18	$9.55	$9.50	28.4%	8.1%	26.7%	19.6%	29.6%	2.7%	0.6%	-20.7M	247.1M	-4.5M	1.38	2.37	53,916	74,622	1,944,575	2,166,408
2017-07-19	$9.69	$9.50	27.3%	7.8%	25.7%	16.2%	27.5%	1.7%	0.6%	-16.7M	120.0M	-4.5M	0.92	47.98	95,077	87,793	1,956,579	2,203,984
2017-07-20	$9.60	$9.50	27.7%	7.9%	24.5%	17.2%	27.8%	2.0%	0.5%	-24.9M	188.9M	-4.5M	0.58	1.94	65,169	38,035	1,970,209	2,223,953
2017-07-21	$9.35	$9.50	27.4%	7.8%	26.8%	16.3%	27.4%	1.5%	0.6%	-20.1M	464.6M	-4.3M	1.30	1.96	74,117	96,454	1,976,332	2,213,854
2017-07-24	$9.50	$9.50	27.8%	8.0%	27.2%	17.8%	27.5%	0.9%	0.1%	-16.6M	267.1M	-4.3M	0.43	1.91	90,539	38,907	1,521,320	1,879,078
2017-07-25	$9.80	$9.50	27.8%	7.8%	28.8%	17.5%	28.9%	1.6%	0.1%	-5.0M	73.0M	-4.4M	1.67	2.10	120,449	200,718	1,565,181	1,881,681
2017-07-26	$9.96	$9.50	27.6%	7.9%	28.7%	16.8%	27.4%	1.1%	0.5%	869.2K	-15.9M	-4.5M	0.78	2.42	133,046	103,900	1,609,718	1,886,857
2017-07-27	$10.05	$9.50	28.6%	8.0%	28.7%	20.2%	27.9%	1.5%	0.2%	6.9M	-57.3M	-4.5M	0.61	2.35	77,939	47,467	1,649,917	1,945,027
2017-07-28	$10.18	$9.50	28.9%	8.2%	28.8%	21.3%	28.6%	2.0%	0.1%	2.3M	-147.2M	-4.6M	0.85	2.44	121,539	103,191	1,681,417	1,970,090
2017-07-31	$10.31	$10.00	28.7%	8.5%	27.5%	20.7%	29.9%	0.8%	0.7%	1.4M	-145.4M	-4.6M	0.84	2.84	73,984	62,118	1,631,631	2,024,975