USO Options History — August 2017

In August 2017, USO traded between $9.39 and $10.15. ATM implied volatility averaged 27.3%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 2.3% (HV 20d: 25.1%). Max pain ranged from $9.50 to $10.00. Net GEX was positive for 3 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 1.16.

Notable Days

2017-08-29: Highest Volume — 329,622 contracts
2017-08-28: Largest IV spike — 7.5% change
2017-08-01: Highest IV Rank — 22.4%
2017-08-01: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.83	$9.39	$10.15	$10.07	$9.61
Max Pain	$9.54	$9.50	$10.00	$10.00	$9.50
ATM IV	27.3%	25.8%	29.3%	29.3%	27.5%
Expected Move	7.8%	7.3%	8.6%	8.6%	7.6%
HV 20d	25.1%	23.3%	28.9%	28.9%	25.3%
HV 60d	28.5%	26.0%	29.8%	29.2%	26.0%
IV Rank	16.2%	11.1%	22.4%	22.4%	16.7%
IV Percentile	21.3%	10.3%	38.5%	36.9%	25.8%
Term Structure	0.3%	-0.9%	1.2%	-0.1%	-0.0%
VWIV	27.5%	25.8%	29.9%	29.9%	26.3%
Skew 25d	1.5%	0.7%	2.6%	0.7%	1.1%
Skew 10d	2.7%	-0.0%	4.3%	1.7%	1.0%
Call IV 25d	26.9%	25.6%	28.9%	28.9%	27.1%
Put IV 25d	28.4%	26.7%	31.4%	29.6%	28.2%
Bid-Ask Spread %	2.42	1.70	4.38	2.54	2.12
Gamma HHI	0.21	0.14	0.33	0.14	0.20
Net GEX	-6.2M	-23.1M	11.2M	-3.1M	-9.7M
Net DEX	141.4M	-44.9M	365.1M	-11.5M	208.4M
Net VEX	-4.2M	-4.6M	-3.8M	-4.5M	-3.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.16	0.50	2.92	1.43	0.77
Total Volume	157,354.609	64,174	329,622	209,066	156,282
Total OI	3,571,009.652	3,020,094	3,969,224	3,695,797	3,225,533

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
2017-08-01	$10.07	$10.00	29.3%	8.6%	28.9%	22.4%	29.9%	0.7%	-0.1%	-3.1M	-11.5M	-4.5M	1.43	2.54	85,952	123,114	1,640,958	2,054,839
2017-08-02	$10.14	$10.00	29.1%	8.5%	24.4%	21.9%	29.5%	2.6%	-0.3%	-2.3M	-44.9M	-4.6M	2.19	4.38	63,596	139,183	1,677,130	2,101,565
2017-08-03	$10.02	$9.50	28.3%	8.1%	25.1%	19.3%	29.4%	1.4%	-0.9%	-5.6M	32.9M	-4.6M	1.79	2.38	52,693	94,449	1,682,481	2,150,725
2017-08-04	$10.14	$9.50	27.2%	7.8%	23.3%	15.7%	28.3%	1.7%	-0.3%	-60.5K	-38.4M	-4.4M	1.56	2.28	66,826	104,016	1,677,676	2,171,695
2017-08-07	$10.11	$9.50	27.6%	7.8%	23.5%	16.9%	28.0%	1.7%	-0.1%	-1.6M	-8.0M	-4.4M	0.80	2.09	77,008	61,832	1,692,391	2,160,089
2017-08-08	$10.06	$9.50	27.4%	8.0%	23.5%	16.5%	27.9%	1.9%	0.7%	-515.9K	15.8M	-4.5M	0.84	2.50	53,808	45,420	1,718,069	2,154,193
2017-08-09	$10.15	$9.50	27.1%	7.9%	23.6%	15.5%	27.3%	1.5%	0.3%	1.4M	-34.2M	-4.4M	0.64	2.23	39,085	25,089	1,727,687	2,179,399
2017-08-10	$9.93	$9.50	27.2%	7.8%	25.0%	15.5%	27.7%	1.6%	0.2%	-3.8M	103.1M	-4.4M	1.00	2.35	69,192	69,513	1,729,804	2,181,683
2017-08-11	$9.98	$9.50	26.4%	7.7%	24.7%	13.1%	27.6%	1.1%	0.3%	6.5M	82.5M	-4.3M	0.75	2.53	94,711	71,206	1,726,465	2,182,039
2017-08-14	$9.74	$9.50	27.6%	7.9%	25.8%	16.9%	27.4%	1.0%	0.4%	-10.8M	225.9M	-4.2M	1.08	2.57	80,338	86,456	1,711,472	2,126,023
2017-08-15	$9.76	$9.50	26.5%	7.6%	25.7%	13.3%	26.9%	1.8%	1.1%	-13.2M	241.4M	-4.2M	1.28	2.07	55,265	70,840	1,728,002	2,145,308
2017-08-16	$9.59	$9.50	27.5%	7.9%	25.9%	16.5%	27.7%	0.8%	0.7%	-23.1M	324.3M	-4.1M	1.72	2.03	118,168	203,499	1,736,915	2,147,621
2017-08-17	$9.63	$9.50	27.3%	7.8%	25.8%	16.0%	27.2%	1.1%	0.4%	-21.1M	267.1M	-4.0M	0.82	2.23	72,415	59,259	1,765,143	2,099,603
2017-08-18	$9.96	$9.50	25.8%	7.3%	26.4%	11.1%	26.2%	1.5%	1.2%	11.2M	67.1M	-4.3M	0.59	2.34	108,713	64,009	1,780,207	2,189,017
2017-08-21	$9.73	$9.50	27.0%	7.7%	27.5%	15.2%	26.7%	1.5%	-0.1%	-6.9M	193.8M	-4.0M	0.59	2.12	77,223	45,913	1,561,943	1,458,151
2017-08-22	$9.77	$9.50	26.1%	7.3%	25.2%	12.2%	25.8%	2.2%	0.7%	-5.6M	174.3M	-4.0M	0.82	1.87	40,252	33,181	1,590,375	1,474,799
2017-08-23	$9.87	$9.50	25.8%	7.3%	24.8%	11.1%	26.5%	1.7%	0.5%	-1.9M	113.9M	-4.1M	2.82	2.10	44,122	124,561	1,597,216	1,486,819
2017-08-24	$9.73	$9.50	27.3%	7.6%	25.0%	15.9%	26.3%	1.7%	0.6%	-8.3M	213.0M	-4.0M	0.62	2.06	70,764	44,190	1,607,748	1,512,537
2017-08-25	$9.77	$9.50	26.5%	7.4%	24.5%	13.3%	25.9%	1.4%	1.2%	-6.2M	163.1M	-4.1M	0.50	1.70	57,508	28,809	1,632,972	1,520,158
2017-08-28	$9.55	$9.50	28.4%	8.1%	24.9%	19.8%	28.5%	1.4%	0.4%	-10.6M	291.4M	-3.9M	0.62	2.58	101,635	63,003	1,606,449	1,493,840
2017-08-29	$9.48	$9.50	28.7%	8.0%	23.8%	20.5%	28.4%	1.4%	-0.3%	-11.1M	306.9M	-3.8M	2.92	2.81	84,139	245,483	1,637,606	1,451,936
2017-08-30	$9.39	$9.50	27.5%	7.8%	23.6%	16.6%	27.2%	1.3%	0.4%	-16.1M	365.1M	-3.8M	0.51	3.77	96,692	49,744	1,677,220	1,559,721
2017-08-31	$9.61	$9.50	27.5%	7.6%	25.3%	16.7%	26.3%	1.1%	-0.0%	-9.7M	208.4M	-3.9M	0.77	2.12	88,214	68,068	1,712,898	1,512,635