USO Options History — March 2020

In March 2020, USO traded between $4.20 and $9.93. ATM implied volatility averaged 110.9%, placing in the 89.5% IV rank vs the trailing year. The 30-day expected move averaged 32.6%. IV traded below realized volatility by 0.7% (HV 20d: 111.6%). Max pain ranged from $10.00 to $11.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.74.

Notable Days

2020-03-30: Highest Volume — 858,114 contracts
2020-03-09: Largest IV spike — 76.2% change
2020-03-05: Highest IV Rank — 100.0%
2020-03-23: Largest Expected Move — 51.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.42	$4.20	$9.93	$9.86	$4.22
Max Pain	$10.43	$10.00	$11.00	$11.00	$10.00
ATM IV	110.9%	46.7%	170.6%	46.7%	139.9%
Expected Move	32.6%	13.9%	51.0%	14.7%	45.0%
HV 20d	111.6%	37.2%	148.4%	38.8%	145.3%
HV 60d	69.5%	28.0%	90.9%	29.2%	90.4%
IV Rank	89.5%	63.3%	100.0%	90.0%	79.5%
IV Percentile	99.3%	96.8%	100.0%	99.6%	97.6%
Term Structure	-4.1%	-11.0%	3.2%	-1.6%	-7.9%
VWIV	112.9%	48.2%	180.4%	53.4%	144.8%
Skew 25d	28.8%	8.1%	43.7%	8.1%	36.3%
Skew 10d	53.0%	12.5%	79.8%	12.5%	65.7%
Call IV 25d	96.2%	43.1%	151.0%	43.1%	114.3%
Put IV 25d	125.0%	51.2%	190.2%	51.2%	150.6%
Bid-Ask Spread %	3.54	2.10	7.31	2.34	2.33
Gamma HHI	0.10	0.06	0.16	0.16	0.10
Net GEX	-1.7M	-7.3M	1.3M	-6.0M	1.3M
Net DEX	322.0M	165.3M	506.1M	235.3M	165.3M
Net VEX	-1.7M	-2.3M	-1.1M	-2.3M	-1.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.74	0.31	1.37	0.46	0.69
Total Volume	329,902.591	100,124	858,114	131,751	487,055
Total OI	2,520,564.273	1,783,609	3,712,986	1,783,609	3,712,986

Daily Data (22 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
2020-03-02	$9.86	$11.00	46.7%	14.7%	38.8%	90.0%	53.4%	8.1%	-1.6%	-6.0M	235.3M	-2.3M	0.46	2.34	90,309	41,442	904,441	879,168
2020-03-03	$9.93	$11.00	49.0%	15.3%	37.9%	97.9%	53.8%	9.6%	-1.9%	-5.7M	222.1M	-2.3M	0.65	2.52	83,317	53,847	915,174	903,995
2020-03-04	$9.86	$11.00	48.3%	14.9%	37.9%	95.4%	53.6%	9.4%	-1.2%	-6.1M	240.2M	-2.3M	1.37	2.83	43,749	60,029	945,510	931,358
2020-03-05	$9.59	$11.00	51.0%	13.9%	37.2%	100.0%	48.2%	10.7%	-1.1%	-7.3M	320.8M	-2.2M	1.09	2.10	47,892	52,232	969,625	959,454
2020-03-06	$8.64	$11.00	63.0%	17.5%	51.0%	100.0%	58.2%	15.0%	-2.7%	-6.7M	506.1M	-1.8M	1.12	2.40	172,794	192,998	985,796	977,432
2020-03-09	$6.54	$11.00	111.1%	29.5%	107.9%	100.0%	94.8%	30.1%	-7.8%	-2.1M	497.1M	-1.1M	0.79	4.86	303,462	240,377	999,136	986,525
2020-03-10	$7.27	$10.50	82.9%	22.6%	117.3%	68.6%	77.5%	29.6%	-4.4%	-2.2M	462.8M	-1.6M	0.86	2.77	176,628	151,853	1,215,149	1,023,634
2020-03-11	$6.88	$10.50	89.8%	24.9%	117.7%	76.3%	91.2%	29.4%	-3.7%	-1.5M	447.6M	-1.5M	1.02	3.22	154,483	157,018	1,284,933	1,024,926
2020-03-12	$6.53	$10.50	103.7%	29.4%	116.4%	91.8%	96.3%	25.7%	-1.5%	-1.3M	433.0M	-1.6M	0.89	4.91	108,197	96,631	1,378,539	1,116,093
2020-03-13	$6.68	$10.50	111.4%	31.1%	117.2%	100.0%	111.9%	31.9%	-5.7%	-881.5K	412.3M	-1.7M	0.85	3.01	91,378	77,999	1,422,513	1,112,678
2020-03-16	$6.07	$10.50	124.2%	35.4%	119.2%	100.0%	121.9%	30.4%	-7.9%	-825.3K	414.2M	-1.4M	0.69	3.53	139,387	96,852	1,329,548	1,102,498
2020-03-17	$5.66	$10.50	124.5%	35.5%	119.5%	100.0%	117.1%	32.7%	-5.3%	-822.2K	406.7M	-1.4M	0.69	3.38	110,683	76,665	1,424,339	1,130,076
2020-03-18	$4.73	$10.50	146.7%	42.1%	128.3%	100.0%	151.8%	34.3%	1.3%	-543.2K	381.9M	-1.1M	0.73	7.31	310,173	225,636	1,481,102	1,156,151
2020-03-19	$5.41	$10.00	143.3%	41.5%	142.1%	97.3%	146.2%	41.0%	-11.0%	125.4K	331.0M	-1.7M	0.44	4.70	351,460	155,193	1,683,288	1,227,841
2020-03-20	$4.90	$10.00	170.6%	49.4%	143.3%	100.0%	172.2%	39.2%	-5.2%	302.7K	315.7M	-1.7M	0.69	4.36	219,874	151,092	1,810,733	1,271,147
2020-03-23	$4.83	$10.00	169.3%	51.0%	143.7%	99.1%	180.4%	43.7%	-3.9%	425.4K	206.3M	-1.7M	0.67	4.37	171,886	115,513	1,526,680	1,073,796
2020-03-24	$4.96	$10.00	144.6%	43.0%	145.6%	82.6%	152.8%	34.5%	-2.7%	565.5K	208.0M	-1.8M	0.59	3.85	143,391	84,020	1,592,529	1,099,756
2020-03-25	$5.12	$10.00	123.3%	36.8%	147.5%	68.4%	128.7%	27.6%	3.2%	745.5K	214.1M	-1.8M	0.49	4.19	192,556	95,318	1,640,657	1,122,612
2020-03-26	$4.78	$10.00	115.7%	34.7%	148.0%	63.3%	124.0%	35.5%	-7.6%	582.5K	236.5M	-1.7M	0.31	3.26	295,182	90,853	1,741,174	1,144,661
2020-03-27	$4.48	$10.00	133.4%	42.1%	148.4%	75.1%	147.8%	36.0%	-7.1%	231.5K	239.2M	-1.5M	0.34	3.49	366,634	123,685	1,926,734	1,157,937
2020-03-30	$4.20	$10.00	146.9%	46.5%	145.4%	84.1%	158.2%	42.9%	-4.4%	953.4K	188.5M	-1.6M	0.81	2.25	474,265	383,849	2,074,634	1,085,456
2020-03-31	$4.22	$10.00	139.9%	45.0%	145.3%	79.5%	144.8%	36.3%	-7.9%	1.3M	165.3M	-1.9M	0.69	2.33	287,810	199,245	2,383,383	1,329,603