USO Options History — March 2018

In March 2018, USO traded between $12.14 and $13.28. ATM implied volatility averaged 23.2%, placing in the 39.3% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 1.3% (HV 20d: 24.5%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.17.

Notable Days

2018-03-02: Highest Volume — 222,458 contracts
2018-03-13: Largest IV spike — 9.2% change
2018-03-27: Highest IV Rank — 50.6%
2018-03-27: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.66	$12.14	$13.28	$12.35	$13.09
Max Pain	$12.50	$12.50	$12.50	$12.50	$12.50
ATM IV	23.2%	21.6%	25.2%	23.6%	22.8%
Expected Move	6.7%	6.3%	7.2%	7.0%	6.5%
HV 20d	24.5%	22.5%	26.1%	26.0%	24.0%
HV 60d	21.5%	20.1%	22.8%	21.0%	22.8%
IV Rank	39.3%	30.3%	50.6%	41.6%	36.9%
IV Percentile	27.3%	16.7%	48.8%	27.8%	23.8%
Term Structure	0.0%	-1.5%	0.6%	0.3%	0.4%
VWIV	24.0%	22.6%	25.9%	25.9%	22.9%
Skew 25d	1.6%	-0.6%	3.3%	2.5%	0.8%
Skew 10d	2.3%	-1.0%	5.5%	4.5%	0.4%
Call IV 25d	23.0%	20.7%	25.9%	23.1%	23.0%
Put IV 25d	24.6%	23.1%	25.8%	25.7%	23.7%
Bid-Ask Spread %	5.81	3.16	28.32	6.73	4.63
Gamma HHI	0.15	0.13	0.17	0.15	0.15
Net GEX	1.5M	-16.1M	14.6M	-8.4M	12.3M
Net DEX	-193.7M	-546.0M	164.6M	32.0M	-425.5M
Net VEX	-3.8M	-4.2M	-3.6M	-4.2M	-3.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.17	0.32	2.45	1.98	1.03
Total Volume	130,059.81	62,112	222,458	167,087	84,041
Total OI	2,785,686.905	2,455,505	3,084,144	2,820,482	2,596,345

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
2018-03-01	$12.35	$12.50	23.6%	7.0%	26.0%	41.6%	25.9%	2.5%	0.3%	-8.4M	32.0M	-4.2M	1.98	6.73	56,106	110,981	1,286,019	1,534,463
2018-03-02	$12.36	$12.50	22.9%	6.9%	24.8%	37.1%	25.1%	2.8%	-0.2%	-6.7M	21.0M	-4.1M	2.19	3.16	69,721	152,737	1,292,442	1,523,053
2018-03-05	$12.59	$12.50	23.0%	6.6%	25.6%	37.8%	22.9%	1.8%	0.1%	2.3M	-175.7M	-4.0M	0.86	4.56	62,111	53,332	1,316,465	1,537,234
2018-03-06	$12.56	$12.50	22.8%	6.6%	24.5%	36.8%	23.2%	1.4%	0.6%	398.8K	-141.1M	-4.0M	0.32	6.30	152,498	48,627	1,325,741	1,591,416
2018-03-07	$12.35	$12.50	23.5%	6.8%	25.1%	41.0%	25.1%	2.5%	-0.1%	-5.8M	-12.7M	-4.2M	1.80	4.03	53,841	97,046	1,423,595	1,607,224
2018-03-08	$12.14	$12.50	23.8%	6.7%	24.0%	42.5%	24.3%	3.0%	-1.5%	-16.1M	164.6M	-4.0M	1.60	8.98	67,781	108,673	1,419,524	1,627,758
2018-03-09	$12.48	$12.50	21.6%	6.3%	24.5%	30.3%	22.6%	2.6%	0.5%	903.3K	-133.1M	-4.0M	1.30	3.60	59,634	77,370	1,433,923	1,611,685
2018-03-12	$12.36	$12.50	22.0%	6.4%	23.8%	32.5%	22.6%	1.9%	-0.3%	-2.7M	-51.1M	-3.8M	1.03	3.84	40,558	41,975	1,424,358	1,576,328
2018-03-13	$12.23	$12.50	24.1%	6.8%	24.2%	44.1%	23.6%	3.3%	-0.3%	-7.6M	64.8M	-3.8M	0.90	3.76	44,510	40,231	1,433,173	1,575,798
2018-03-14	$12.28	$12.50	21.9%	6.4%	24.2%	31.6%	24.5%	2.9%	0.6%	-6.1M	21.9M	-3.8M	1.15	6.27	51,141	59,047	1,441,445	1,590,983
2018-03-15	$12.35	$12.50	22.4%	6.5%	22.5%	34.4%	23.1%	1.7%	0.3%	-5.1M	-40.6M	-3.8M	0.70	3.52	42,415	29,595	1,443,367	1,626,025
2018-03-16	$12.57	$12.50	22.1%	6.3%	22.9%	32.6%	23.1%	1.7%	-0.2%	-1.7M	-264.4M	-3.7M	0.78	4.51	99,012	76,739	1,447,921	1,636,223
2018-03-19	$12.56	$12.50	22.6%	6.5%	22.9%	35.6%	23.3%	2.1%	0.1%	-2.3M	-123.4M	-3.7M	1.42	4.54	46,366	65,792	1,156,584	1,298,921
2018-03-20	$12.80	$12.50	23.0%	6.6%	23.8%	38.2%	23.4%	1.7%	-0.1%	5.3M	-277.2M	-3.7M	0.83	4.72	82,233	68,604	1,168,853	1,294,216
2018-03-21	$13.18	$12.50	23.4%	6.7%	25.4%	40.5%	23.8%	0.3%	-0.2%	14.6M	-500.2M	-3.7M	0.89	28.32	101,713	90,731	1,178,310	1,318,545
2018-03-22	$12.96	$12.50	23.6%	6.8%	25.1%	41.4%	24.1%	0.2%	0.2%	7.7M	-366.9M	-3.8M	1.35	3.42	37,465	50,625	1,203,153	1,351,262
2018-03-23	$13.28	$12.50	24.8%	7.1%	26.0%	48.1%	25.4%	0.0%	-0.2%	13.5M	-546.0M	-3.7M	0.51	4.27	71,952	36,901	1,199,974	1,356,057
2018-03-26	$13.21	$12.50	25.0%	7.2%	26.1%	49.6%	25.5%	-0.1%	0.2%	12.8M	-490.6M	-3.7M	0.42	3.48	43,861	18,251	1,198,194	1,338,992
2018-03-27	$13.07	$12.50	25.2%	7.2%	25.6%	50.6%	25.6%	-0.6%	0.1%	13.0M	-432.6M	-3.7M	1.02	4.72	40,248	40,861	1,204,927	1,347,437
2018-03-28	$13.04	$12.50	23.6%	6.7%	24.1%	41.7%	23.5%	0.2%	0.6%	10.3M	-390.1M	-3.7M	2.45	4.63	45,214	110,717	1,211,539	1,349,953
2018-03-29	$13.09	$12.50	22.8%	6.5%	24.0%	36.9%	22.9%	0.8%	0.4%	12.3M	-425.5M	-3.6M	1.03	4.63	41,367	42,674	1,212,952	1,383,393