USO Options History — February 2020

In February 2020, USO traded between $9.43 and $11.27. ATM implied volatility averaged 37.7%, placing in the 66.1% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 10.6% (HV 20d: 27.1%). Max pain ranged from $11.00 to $12.00. Net GEX was positive for 3 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.81.

Notable Days

2020-02-27: Highest Volume — 319,787 contracts
2020-02-21: Largest IV spike — 13.2% change
2020-02-28: Highest IV Rank — 100.0%
2020-02-28: Largest Expected Move — 15.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.61	$9.43	$11.27	$10.51	$9.43
Max Pain	$11.11	$11.00	$12.00	$12.00	$11.00
ATM IV	37.7%	31.0%	49.6%	40.7%	49.6%
Expected Move	10.9%	8.9%	15.5%	11.9%	15.5%
HV 20d	27.1%	22.1%	34.6%	22.2%	34.6%
HV 60d	25.8%	24.8%	27.5%	24.9%	27.5%
IV Rank	66.1%	39.6%	100.0%	78.9%	100.0%
IV Percentile	84.6%	54.0%	100.0%	96.4%	100.0%
Term Structure	-0.7%	-2.2%	0.6%	-0.8%	-2.2%
VWIV	38.5%	31.7%	52.9%	42.3%	52.9%
Skew 25d	5.5%	3.8%	8.6%	5.8%	8.6%
Skew 10d	8.8%	3.0%	14.0%	6.9%	13.6%
Call IV 25d	35.2%	28.9%	46.6%	38.8%	46.6%
Put IV 25d	40.7%	33.2%	55.2%	44.5%	55.2%
Bid-Ask Spread %	2.22	1.63	3.35	1.91	3.35
Gamma HHI	0.17	0.14	0.21	0.17	0.16
Net GEX	-2.8M	-7.9M	5.3M	-4.9M	-7.9M
Net DEX	132.5M	-107.8M	363.5M	216.2M	363.5M
Net VEX	-2.0M	-2.2M	-1.6M	-1.6M	-2.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.31	2.00	0.64	0.54
Total Volume	127,435.842	56,791	319,787	156,652	231,773
Total OI	1,566,836.263	1,219,345	1,757,861	1,219,345	1,731,992

Daily Data (19 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
2020-02-03	$10.51	$12.00	40.7%	11.9%	22.2%	78.9%	42.3%	5.8%	-0.8%	-4.9M	216.2M	-1.6M	0.64	1.91	95,423	61,229	645,260	574,085
2020-02-04	$10.44	$11.50	39.3%	11.3%	22.1%	73.4%	40.1%	4.6%	-0.7%	-4.0M	216.3M	-1.7M	0.79	1.97	105,827	83,853	703,437	612,141
2020-02-05	$10.72	$11.50	37.9%	10.5%	25.7%	67.6%	36.4%	4.1%	-0.5%	-2.1M	141.2M	-1.9M	0.64	1.63	82,332	52,755	772,118	669,049
2020-02-06	$10.72	$11.00	37.5%	10.2%	23.0%	65.9%	34.8%	4.3%	-1.1%	-3.3M	156.9M	-1.9M	1.39	2.45	34,123	47,304	803,738	708,354
2020-02-07	$10.59	$11.00	37.3%	10.3%	23.0%	65.0%	35.1%	4.9%	-1.3%	-6.7M	198.6M	-1.9M	0.68	2.02	44,310	30,030	803,162	737,511
2020-02-10	$10.40	$11.00	37.7%	10.7%	23.3%	66.8%	37.0%	4.6%	0.3%	-7.2M	234.1M	-1.9M	0.57	2.44	81,718	46,388	789,462	721,925
2020-02-11	$10.47	$11.00	36.2%	10.2%	23.7%	60.8%	36.0%	3.8%	-0.3%	-7.2M	217.6M	-2.0M	1.05	2.10	32,302	33,973	843,258	750,550
2020-02-12	$10.82	$11.00	33.9%	9.6%	27.3%	51.2%	34.9%	4.3%	-0.1%	-3.2M	99.5M	-2.1M	0.82	2.10	83,174	68,448	871,354	771,731
2020-02-13	$10.85	$11.00	34.2%	9.7%	27.5%	52.5%	34.7%	3.9%	-0.3%	-2.6M	87.6M	-2.2M	0.31	1.97	43,702	13,720	911,139	810,025
2020-02-14	$10.94	$11.00	33.1%	9.6%	27.6%	48.3%	34.5%	4.0%	0.6%	-294.1K	46.2M	-2.2M	0.85	2.10	44,279	37,850	945,656	812,205
2020-02-18	$10.94	$11.00	32.5%	9.3%	27.4%	45.8%	32.6%	4.6%	-0.4%	-2.0M	47.5M	-2.1M	0.38	2.15	41,251	15,540	906,837	797,049
2020-02-19	$11.18	$11.00	31.7%	9.1%	29.1%	42.5%	31.7%	4.3%	-0.5%	2.9M	-74.2M	-2.1M	0.55	2.23	60,392	33,204	926,734	782,923
2020-02-20	$11.27	$11.00	31.0%	8.9%	28.1%	39.6%	34.6%	6.3%	-0.2%	5.3M	-107.8M	-2.1M	0.66	2.09	73,183	48,610	933,411	795,014
2020-02-21	$11.16	$11.00	35.1%	10.2%	27.5%	56.2%	34.8%	6.8%	-0.9%	4.0M	-69.6M	-2.1M	0.76	2.23	50,934	38,889	922,026	783,449
2020-02-24	$10.74	$11.00	38.9%	11.5%	29.5%	71.8%	39.1%	6.9%	-1.2%	-4.5K	74.4M	-2.0M	0.76	1.98	57,665	44,035	742,536	658,328
2020-02-25	$10.41	$11.00	42.1%	12.6%	30.2%	84.6%	46.5%	7.4%	-1.4%	-2.3M	148.8M	-2.0M	2.00	2.57	64,928	129,570	760,133	665,000
2020-02-26	$10.19	$11.00	42.7%	12.8%	30.4%	86.9%	43.4%	7.2%	-0.6%	-5.3M	217.9M	-2.0M	0.98	2.27	44,799	43,981	787,290	748,761
2020-02-27	$9.82	$11.00	45.3%	13.8%	32.4%	97.6%	50.1%	8.3%	-1.7%	-6.7M	302.5M	-1.9M	0.99	2.63	161,068	158,719	803,657	768,589
2020-02-28	$9.43	$11.00	49.6%	15.5%	34.6%	100.0%	52.9%	8.6%	-2.2%	-7.9M	363.5M	-2.0M	0.54	3.35	150,671	81,102	866,459	865,533