USO Options History — September 2020

In September 2020, USO traded between $26.85 and $30.63. ATM implied volatility averaged 37.6%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 5.4% (HV 20d: 32.2%). Max pain ranged from $8.50 to $30.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.90.

Notable Days

2020-09-02: Highest Volume — 79,106 contracts
2020-09-08: Largest IV spike — 20.7% change
2020-09-08: Highest IV Rank — 19.4%
2020-09-08: Largest Expected Move — 12.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.31	$26.85	$30.63	$30.63	$28.31
Max Pain	$13.17	$8.50	$30.00	$30.00	$20.50
ATM IV	37.6%	28.3%	46.0%	28.3%	36.6%
Expected Move	10.7%	7.4%	12.8%	7.4%	10.4%
HV 20d	32.2%	16.6%	40.7%	16.6%	40.7%
HV 60d	28.7%	26.3%	30.7%	30.2%	28.5%
IV Rank	15.8%	11.7%	19.4%	11.7%	15.3%
IV Percentile	49.1%	13.5%	66.3%	13.5%	50.0%
Term Structure	0.4%	-1.4%	1.7%	0.8%	1.3%
VWIV	37.7%	25.4%	44.8%	25.4%	37.6%
Skew 25d	9.1%	4.1%	11.9%	4.1%	10.6%
Skew 10d	17.5%	7.7%	23.1%	8.1%	21.8%
Call IV 25d	34.3%	27.6%	42.1%	27.6%	33.1%
Put IV 25d	43.4%	31.7%	52.7%	31.7%	43.7%
Bid-Ask Spread %	4.20	3.15	8.63	3.36	3.37
Gamma HHI	0.12	0.07	0.20	0.12	0.15
Net GEX	282.5K	-1.9M	6.2M	6.2M	-1.9M
Net DEX	-869.8M	-1.09B	-743.8M	-1.09B	-850.8M
Net VEX	-1.6M	-1.8M	-1.5M	-1.5M	-1.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.90	0.21	3.02	0.21	0.70
Total Volume	34,170.19	11,461	79,106	17,179	24,538
Total OI	793,003.429	743,596	841,898	743,596	791,533

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
2020-09-01	$30.63	$30.00	28.3%	7.4%	16.6%	11.7%	25.4%	4.1%	0.8%	6.2M	-1.09B	-1.5M	0.21	3.36	14,185	2,994	526,462	217,134
2020-09-02	$29.81	$30.00	31.1%	8.2%	18.4%	12.9%	29.2%	4.5%	0.3%	880.8K	-991.4M	-1.5M	0.23	3.47	64,138	14,968	528,057	217,518
2020-09-03	$29.64	$8.50	34.5%	10.0%	18.5%	14.4%	37.1%	6.8%	-0.0%	2.4M	-989.7M	-1.8M	0.35	5.34	29,506	10,396	572,658	225,213
2020-09-04	$28.55	$9.00	38.1%	10.8%	22.3%	16.0%	40.1%	7.6%	0.9%	600.8K	-869.0M	-1.7M	0.93	5.56	20,600	19,056	580,235	229,487
2020-09-08	$26.85	$9.00	46.0%	12.8%	30.2%	19.4%	44.8%	10.6%	-1.4%	-736.5K	-743.8M	-1.6M	0.82	3.85	38,923	31,733	569,153	224,659
2020-09-09	$27.45	$8.50	42.5%	12.5%	31.8%	17.9%	40.2%	10.6%	0.9%	744.7K	-801.4M	-1.6M	0.37	3.72	23,194	8,591	581,656	227,908
2020-09-10	$26.86	$8.50	44.7%	12.6%	30.6%	18.8%	41.4%	10.2%	-0.9%	-248.8K	-750.9M	-1.5M	0.77	3.59	20,145	15,429	584,398	228,114
2020-09-11	$27.06	$8.50	44.2%	12.6%	31.0%	18.6%	41.3%	11.9%	-0.1%	-1.2M	-764.6M	-1.6M	0.70	3.41	14,767	10,356	587,611	235,320
2020-09-14	$26.94	$8.50	43.5%	12.4%	31.0%	18.3%	40.9%	9.9%	0.5%	-929.8K	-761.7M	-1.5M	0.43	3.45	18,465	8,006	567,781	227,965
2020-09-15	$27.51	$8.50	38.7%	11.1%	31.7%	16.3%	41.8%	10.6%	1.6%	30.2K	-807.4M	-1.6M	0.95	3.73	14,063	13,339	572,454	232,157
2020-09-16	$28.68	$8.50	34.9%	10.0%	35.8%	14.6%	35.9%	10.0%	1.7%	1.8M	-916.6M	-1.6M	0.80	3.31	23,790	19,091	575,870	234,103
2020-09-17	$29.20	$10.00	33.6%	9.6%	36.6%	14.0%	34.3%	8.1%	0.0%	322.6K	-962.9M	-1.7M	0.58	3.15	32,723	19,142	579,194	245,064
2020-09-18	$29.13	$10.00	33.2%	9.5%	36.6%	13.9%	33.9%	8.6%	0.2%	119.3K	-944.3M	-1.7M	1.72	8.63	13,152	22,654	587,433	254,465
2020-09-21	$28.20	$11.00	38.3%	11.0%	38.0%	16.1%	42.4%	10.9%	0.1%	426.2K	-859.7M	-1.6M	1.46	4.10	20,645	30,241	552,913	207,792
2020-09-22	$28.20	$12.50	37.2%	10.8%	37.9%	15.6%	39.0%	8.9%	-0.1%	40.4K	-859.3M	-1.6M	0.86	3.82	6,162	5,314	561,357	219,468
2020-09-23	$28.09	$12.50	37.6%	10.9%	36.8%	15.8%	36.8%	9.2%	-0.1%	-237.9K	-849.9M	-1.6M	1.63	4.50	7,517	12,283	562,411	220,230
2020-09-24	$28.49	$14.50	36.3%	10.5%	37.4%	15.2%	38.0%	9.6%	0.4%	70.3K	-883.7M	-1.7M	1.01	5.84	5,709	5,752	563,996	223,632
2020-09-25	$28.41	$14.50	35.0%	9.8%	37.3%	14.6%	34.9%	9.0%	0.5%	-218.5K	-876.4M	-1.6M	0.66	4.45	10,253	6,816	564,883	225,287
2020-09-28	$28.74	$15.00	35.1%	9.8%	37.7%	14.7%	34.7%	9.4%	0.9%	-470.3K	-900.9M	-1.6M	0.71	3.68	8,482	5,982	554,150	216,186
2020-09-29	$27.68	$18.50	39.6%	11.6%	39.6%	16.6%	41.4%	10.0%	0.8%	-1.7M	-795.3M	-1.5M	3.02	3.80	11,077	33,397	559,077	218,088
2020-09-30	$28.31	$20.50	36.6%	10.4%	40.7%	15.3%	37.6%	10.6%	1.3%	-1.9M	-850.8M	-1.6M	0.70	3.37	14,431	10,107	560,867	230,666