USO Options History — September 2019

In September 2019, USO traded between $11.23 and $12.82. ATM implied volatility averaged 35.2%, placing in the 34.1% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 8.4% (HV 20d: 43.6%). Max pain ranged from $12.00 to $12.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.89.

Notable Days

2019-09-16: Highest Volume — 642,958 contracts
2019-09-16: Largest IV spike — 42.2% change
2019-09-16: Highest IV Rank — 62.0%
2019-09-16: Largest Expected Move — 13.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.86	$11.23	$12.82	$11.23	$11.31
Max Pain	$12.00	$12.00	$12.00	$12.00	$12.00
ATM IV	35.2%	29.8%	45.9%	34.5%	35.7%
Expected Move	10.1%	8.7%	13.0%	10.2%	10.3%
HV 20d	43.6%	30.4%	52.8%	33.4%	51.9%
HV 60d	38.0%	34.2%	41.2%	34.7%	39.8%
IV Rank	34.1%	20.0%	62.0%	32.3%	35.5%
IV Percentile	68.8%	46.8%	89.7%	70.2%	71.8%
Term Structure	-0.1%	-1.5%	0.6%	-0.6%	-0.1%
VWIV	36.0%	31.7%	45.4%	35.3%	36.3%
Skew 25d	0.9%	-6.0%	6.5%	5.5%	-0.2%
Skew 10d	1.3%	-11.9%	11.2%	9.1%	-1.6%
Call IV 25d	35.7%	28.6%	49.2%	31.2%	37.1%
Put IV 25d	36.6%	33.5%	43.2%	36.7%	36.9%
Bid-Ask Spread %	4.86	2.13	7.89	3.53	2.65
Gamma HHI	0.13	0.10	0.18	0.18	0.12
Net GEX	-2.8M	-11.0M	7.4M	-11.0M	-4.3M
Net DEX	3.5M	-363.7M	243.1M	243.1M	164.1M
Net VEX	-2.8M	-3.1M	-2.5M	-2.8M	-2.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.89	0.39	1.96	0.95	0.75
Total Volume	123,259.05	27,222	642,958	102,697	77,276
Total OI	2,092,430.85	1,915,860	2,447,340	2,003,770	1,939,935

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
2019-09-03	$11.23	$12.00	34.5%	10.2%	33.4%	32.3%	35.3%	5.5%	-0.6%	-11.0M	243.1M	-2.8M	0.95	3.53	52,676	50,021	911,817	1,091,953
2019-09-04	$11.72	$12.00	33.1%	9.7%	35.8%	28.6%	33.3%	6.5%	-0.4%	-3.4M	57.2M	-2.9M	0.62	4.56	47,681	29,496	938,602	1,108,001
2019-09-05	$11.69	$12.00	32.4%	9.3%	34.3%	26.8%	32.0%	5.1%	0.2%	-5.6M	79.2M	-2.9M	0.70	7.89	54,936	38,705	930,905	1,127,382
2019-09-06	$11.78	$12.00	29.8%	8.7%	34.3%	20.0%	33.4%	4.9%	0.0%	-6.2M	55.4M	-2.8M	1.96	5.81	24,919	48,909	931,973	1,136,832
2019-09-09	$12.07	$12.00	31.0%	9.0%	33.8%	23.3%	31.7%	4.9%	0.4%	-1.1M	-55.9M	-2.8M	0.77	2.70	50,404	38,808	912,110	1,108,379
2019-09-10	$11.97	$12.00	31.2%	9.0%	34.0%	23.7%	32.8%	5.4%	0.1%	-3.3M	-11.0M	-2.8M	0.74	2.56	38,185	28,106	918,381	1,120,654
2019-09-11	$11.66	$12.00	33.4%	9.4%	32.2%	29.6%	32.2%	6.1%	-0.9%	-8.1M	118.2M	-2.7M	1.21	5.20	38,797	46,907	932,064	1,125,901
2019-09-12	$11.47	$12.00	33.2%	9.4%	30.6%	29.0%	33.4%	4.8%	-0.2%	-10.3M	181.8M	-2.7M	1.01	7.13	44,238	44,840	945,388	1,127,994
2019-09-13	$11.45	$12.00	32.3%	9.2%	30.4%	26.6%	33.2%	5.9%	0.3%	-9.4M	183.6M	-2.6M	0.67	4.91	16,309	10,913	954,292	1,121,151
2019-09-16	$12.82	$12.00	45.9%	13.0%	50.3%	62.0%	45.4%	-6.0%	-1.5%	7.4M	-363.7M	-2.9M	0.51	7.11	424,973	217,985	941,763	1,109,784
2019-09-17	$12.28	$12.00	42.8%	12.2%	52.6%	53.8%	44.4%	-3.5%	-1.0%	-738.5K	-154.6M	-3.1M	1.09	7.61	188,370	205,337	1,117,746	1,239,953
2019-09-18	$12.14	$12.00	37.9%	10.9%	52.8%	41.1%	39.2%	-3.4%	0.6%	-5.0M	-91.6M	-2.9M	0.79	5.94	59,576	47,336	1,147,841	1,238,688
2019-09-19	$12.18	$12.00	38.3%	11.0%	52.7%	42.2%	40.6%	-4.7%	0.6%	-5.6M	-122.2M	-2.9M	1.36	4.75	31,211	42,407	1,176,204	1,248,120
2019-09-20	$12.18	$12.00	36.2%	10.3%	52.6%	36.6%	36.5%	-5.6%	0.2%	3.1M	-163.3M	-2.8M	1.00	4.77	44,656	44,544	1,183,899	1,263,441
2019-09-23	$12.19	$12.00	34.5%	9.7%	51.6%	32.5%	35.2%	-4.3%	0.5%	5.2M	-133.6M	-2.7M	0.69	2.13	26,718	18,541	993,794	922,066
2019-09-24	$11.89	$12.00	35.5%	10.1%	52.5%	35.0%	36.9%	-1.4%	0.2%	1.2M	-8.7M	-2.7M	0.59	5.09	54,981	32,381	1,004,482	923,350
2019-09-25	$11.78	$12.00	35.3%	9.9%	52.2%	34.4%	35.6%	-1.1%	0.0%	504.8K	20.8M	-2.6M	0.94	3.51	40,250	37,638	1,034,506	931,185
2019-09-26	$11.80	$12.00	34.9%	10.0%	51.8%	33.5%	35.8%	-0.9%	-0.5%	1.2M	12.9M	-2.7M	0.39	6.47	44,204	17,365	1,048,368	931,979
2019-09-27	$11.64	$12.00	36.0%	10.2%	51.9%	36.3%	36.9%	-0.9%	-0.1%	-659.4K	57.7M	-2.6M	0.97	2.90	53,010	51,572	1,071,509	936,225
2019-09-30	$11.31	$12.00	35.7%	10.3%	51.9%	35.5%	36.3%	-0.2%	-0.1%	-4.3M	164.1M	-2.5M	0.75	2.65	44,280	32,996	1,010,094	929,841