USO Options History — December 2019

In December 2019, USO traded between $11.69 and $12.91. ATM implied volatility averaged 25.4%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 0.5% (HV 20d: 25.9%). Max pain ranged from $11.50 to $12.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.89.

Notable Days

2019-12-04: Highest Volume — 131,637 contracts
2019-12-19: Largest IV drop — 12.9% change
2019-12-03: Highest IV Rank — 33.3%
2019-12-03: Largest Expected Move — 10.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.50	$11.69	$12.91	$11.69	$12.81
Max Pain	$11.57	$11.50	$12.00	$12.00	$11.50
ATM IV	25.4%	21.2%	33.4%	33.2%	23.8%
Expected Move	7.4%	5.9%	10.5%	10.1%	6.9%
HV 20d	25.9%	15.2%	29.7%	26.9%	15.7%
HV 60d	27.6%	23.1%	35.8%	35.4%	23.1%
IV Rank	10.7%	0.0%	33.3%	32.8%	8.1%
IV Percentile	14.3%	0.0%	61.5%	59.5%	7.5%
Term Structure	0.2%	-0.8%	1.1%	0.0%	0.6%
VWIV	26.8%	22.7%	37.6%	33.4%	25.3%
Skew 25d	4.7%	3.7%	6.2%	6.2%	5.5%
Skew 10d	7.9%	3.5%	11.1%	11.1%	9.3%
Call IV 25d	23.7%	20.3%	29.6%	29.5%	22.8%
Put IV 25d	28.4%	24.4%	35.7%	35.7%	28.3%
Bid-Ask Spread %	5.26	1.85	26.77	1.94	10.70
Gamma HHI	0.22	0.12	0.36	0.12	0.28
Net GEX	6.0M	-2.5M	11.4M	-2.5M	5.6M
Net DEX	-173.7M	-292.2M	49.1M	49.1M	-166.3M
Net VEX	-1.4M	-1.8M	-1.1M	-1.8M	-1.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.89	0.42	1.85	0.48	0.42
Total Volume	47,669.571	12,004	131,637	32,786	50,440
Total OI	1,498,470.952	1,176,328	1,659,781	1,564,830	1,204,474

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
2019-12-02	$11.69	$12.00	33.2%	10.1%	26.9%	32.8%	33.4%	6.2%	0.0%	-2.5M	49.1M	-1.8M	0.48	1.94	22,100	10,686	741,672	823,158
2019-12-03	$11.74	$12.00	33.4%	10.5%	26.9%	33.3%	37.6%	5.7%	0.1%	-1.9M	32.6M	-1.8M	0.70	2.43	32,180	22,525	747,620	828,552
2019-12-04	$12.18	$12.00	31.5%	10.0%	29.7%	27.7%	33.9%	4.8%	-0.8%	4.8M	-122.2M	-1.7M	0.49	2.76	88,071	43,566	757,154	841,147
2019-12-05	$12.19	$11.50	29.9%	8.6%	29.4%	23.1%	28.6%	5.0%	-0.1%	7.0M	-130.4M	-1.7M	1.06	2.55	28,688	30,516	783,138	849,677
2019-12-06	$12.34	$11.50	26.4%	7.7%	29.6%	12.7%	27.8%	4.7%	0.7%	5.9M	-184.5M	-1.7M	1.23	5.16	31,355	38,527	793,329	866,452
2019-12-09	$12.32	$11.50	26.2%	7.7%	29.5%	12.2%	28.4%	3.7%	0.6%	4.8M	-145.6M	-1.6M	0.68	1.99	20,550	14,037	757,023	858,177
2019-12-10	$12.39	$11.50	25.5%	7.4%	29.3%	10.1%	27.2%	4.2%	0.1%	5.1M	-163.5M	-1.5M	0.99	1.92	29,481	29,114	754,143	859,691
2019-12-11	$12.30	$11.50	24.6%	7.2%	29.4%	7.3%	26.7%	3.8%	0.8%	3.1M	-130.2M	-1.6M	1.22	3.23	20,397	24,859	770,107	882,884
2019-12-12	$12.40	$11.50	24.4%	7.1%	29.4%	6.9%	25.8%	3.9%	0.5%	6.3M	-179.9M	-1.5M	0.90	7.64	47,413	42,816	771,925	882,282
2019-12-13	$12.48	$11.50	24.8%	7.2%	29.3%	8.2%	27.6%	4.1%	0.4%	8.1M	-223.1M	-1.4M	1.02	4.66	18,854	19,318	773,687	876,999
2019-12-16	$12.60	$11.50	25.3%	7.3%	28.9%	9.5%	26.6%	4.7%	-0.2%	8.5M	-236.2M	-1.4M	0.93	1.95	9,766	9,053	753,893	857,415
2019-12-17	$12.72	$11.50	24.3%	7.0%	28.2%	6.8%	25.0%	4.5%	-0.1%	11.4M	-285.4M	-1.3M	1.85	1.85	16,330	30,143	755,818	859,940
2019-12-18	$12.73	$11.50	24.4%	7.0%	25.8%	6.8%	25.0%	4.3%	-0.3%	11.0M	-292.2M	-1.3M	1.28	4.84	13,139	16,782	762,307	861,553
2019-12-19	$12.77	$11.50	21.2%	6.1%	24.1%	0.0%	22.9%	4.5%	0.3%	11.1M	-289.3M	-1.2M	0.78	4.51	19,290	15,042	765,481	854,602
2019-12-20	$12.62	$11.50	23.4%	6.7%	23.4%	6.1%	24.0%	4.8%	-0.0%	4.5M	-268.2M	-1.2M	0.56	4.49	31,771	17,942	769,763	855,185
2019-12-23	$12.70	$11.50	23.3%	6.7%	23.2%	6.0%	23.9%	4.9%	1.1%	5.1M	-152.4M	-1.2M	0.53	4.26	19,241	10,108	536,815	639,513
2019-12-24	$12.77	$11.50	21.7%	6.0%	23.2%	1.3%	22.7%	5.1%	0.7%	6.0M	-174.5M	-1.2M	1.21	6.13	5,432	6,572	546,562	642,575
2019-12-26	$12.91	$11.50	21.6%	6.2%	23.4%	1.0%	24.0%	5.4%	0.3%	7.8M	-200.5M	-1.1M	0.71	4.33	18,616	13,145	548,152	647,314
2019-12-27	$12.90	$11.50	21.5%	5.9%	23.3%	0.9%	22.9%	3.7%	0.2%	6.6M	-196.1M	-1.1M	0.59	26.77	25,171	14,747	547,317	653,739
2019-12-30	$12.89	$11.50	22.6%	6.3%	15.2%	4.3%	22.7%	5.9%	0.3%	6.7M	-189.9M	-1.1M	1.10	6.43	20,564	22,714	542,166	644,489
2019-12-31	$12.81	$11.50	23.8%	6.9%	15.7%	8.1%	25.3%	5.5%	0.6%	5.6M	-166.3M	-1.2M	0.42	10.70	35,575	14,865	549,205	655,269