USO Options History — March 2021

In March 2021, USO traded between $39.34 and $44.53. ATM implied volatility averaged 37.6%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 3.5% (HV 20d: 41.1%). Max pain ranged from $37.00 to $40.00. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 0.75.

Notable Days

2021-03-08: Highest Volume — 174,887 contracts
2021-03-18: Largest IV spike — 28.4% change
2021-03-25: Highest IV Rank — 18.8%
2021-03-25: Largest Expected Move — 13.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.17	$39.34	$44.53	$40.43	$40.43
Max Pain	$39.30	$37.00	$40.00	$40.00	$40.00
ATM IV	37.6%	32.9%	44.6%	38.3%	41.6%
Expected Move	11.0%	9.5%	13.4%	11.4%	13.1%
HV 20d	41.1%	26.9%	57.6%	27.4%	57.0%
HV 60d	31.0%	24.4%	39.4%	24.4%	39.3%
IV Rank	15.7%	13.7%	18.8%	16.1%	17.5%
IV Percentile	44.2%	23.0%	68.3%	44.4%	63.1%
Term Structure	-0.4%	-1.4%	0.8%	-1.0%	-1.1%
VWIV	39.4%	34.9%	46.2%	39.3%	44.3%
Skew 25d	4.3%	0.9%	8.5%	4.8%	6.9%
Skew 10d	8.9%	2.2%	18.1%	10.8%	14.0%
Call IV 25d	36.5%	33.9%	42.4%	37.1%	39.4%
Put IV 25d	40.8%	35.1%	50.4%	41.9%	46.3%
Bid-Ask Spread %	23.86	2.87	38.56	5.89	7.03
Gamma HHI	0.13	0.06	0.25	0.10	0.06
Net GEX	8.1M	-8.6M	25.4M	7.5M	10.6M
Net DEX	-660.9M	-1.09B	-221.7M	-641.5M	-512.2M
Net VEX	-2.9M	-3.1M	-2.3M	-2.4M	-2.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.19	2.44	0.53	0.39
Total Volume	69,871.391	10,552	174,887	51,854	27,234
Total OI	768,944.087	541,300	929,411	541,300	823,075

Daily Data (23 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
2021-03-01	$40.43	$40.00	38.3%	11.4%	27.4%	16.1%	39.3%	4.8%	-1.0%	7.5M	-641.5M	-2.4M	0.53	5.89	33,933	17,921	374,215	167,085
2021-03-02	$40.16	$40.00	37.2%	11.2%	26.9%	15.6%	41.7%	5.1%	0.0%	4.8M	-599.1M	-2.3M	2.44	2.87	25,480	62,134	383,517	175,169
2021-03-03	$41.22	$40.00	36.1%	10.6%	27.4%	15.1%	37.8%	4.0%	-0.5%	7.4M	-704.1M	-2.5M	0.74	3.58	19,695	14,505	394,736	221,657
2021-03-04	$43.01	$37.00	34.5%	9.7%	30.1%	14.4%	35.4%	3.4%	-0.6%	21.4M	-932.7M	-2.5M	0.46	14.35	68,451	31,775	399,663	224,978
2021-03-05	$44.43	$37.00	32.9%	9.5%	31.5%	13.7%	34.9%	1.2%	-0.5%	25.4M	-1.09B	-2.6M	0.31	32.84	80,939	24,915	414,337	236,706
2021-03-08	$43.56	$37.00	35.0%	9.9%	33.0%	14.6%	40.1%	1.8%	-0.5%	21.0M	-961.6M	-2.6M	1.18	28.43	80,131	94,756	410,270	206,381
2021-03-09	$43.09	$38.00	34.6%	9.9%	33.2%	14.5%	35.5%	1.1%	-0.1%	3.6M	-734.4M	-3.0M	0.28	35.23	51,671	14,585	453,359	300,495
2021-03-10	$43.69	$38.00	34.2%	9.7%	33.3%	14.3%	35.3%	1.6%	-0.3%	3.5M	-798.6M	-3.0M	0.32	37.90	36,773	11,679	454,284	307,425
2021-03-11	$44.53	$38.00	33.8%	9.7%	33.7%	14.1%	35.2%	0.9%	0.3%	7.7M	-932.2M	-3.1M	0.33	3.21	31,528	10,463	462,283	311,826
2021-03-12	$44.36	$39.00	33.8%	9.8%	33.4%	14.1%	37.4%	1.0%	0.8%	3.3M	-887.4M	-3.1M	0.86	25.25	29,608	25,351	465,250	316,817
2021-03-15	$44.22	$40.00	35.6%	10.2%	32.8%	14.9%	38.6%	2.8%	-0.2%	1.4M	-829.3M	-3.1M	0.95	30.42	28,846	27,487	458,171	317,773
2021-03-16	$43.89	$40.00	35.7%	10.2%	33.0%	14.9%	38.4%	3.3%	0.1%	-631.3K	-769.5M	-3.0M	1.04	33.19	21,334	22,237	466,215	334,718
2021-03-17	$43.84	$40.00	34.0%	9.7%	32.9%	14.2%	35.1%	2.5%	-0.4%	-2.9M	-754.0M	-3.1M	0.19	38.56	79,002	14,732	474,159	349,988
2021-03-18	$40.02	$40.00	43.6%	12.5%	46.6%	18.4%	44.2%	4.5%	0.1%	-8.6M	-240.7M	-3.0M	1.39	30.61	60,880	84,655	544,918	353,479
2021-03-19	$41.94	$40.00	39.4%	11.5%	49.3%	16.6%	38.6%	7.1%	-0.7%	3.0M	-637.7M	-3.1M	0.62	27.26	63,856	39,563	577,575	347,192
2021-03-22	$41.75	$40.00	36.4%	10.5%	47.4%	15.2%	37.1%	6.3%	-0.5%	4.8M	-461.4M	-3.0M	0.47	32.75	18,972	8,868	554,553	271,094
2021-03-23	$39.34	$40.00	43.6%	13.0%	51.8%	18.4%	46.2%	8.5%	-1.1%	3.0M	-221.7M	-2.8M	1.38	26.06	40,009	55,168	548,627	276,094
2021-03-24	$41.47	$40.00	39.8%	11.7%	55.0%	16.7%	40.3%	7.2%	-0.5%	6.3M	-460.2M	-3.0M	0.47	27.34	42,234	19,865	553,292	284,180
2021-03-25	$39.92	$40.00	44.6%	13.4%	56.5%	18.8%	45.4%	8.4%	-1.4%	8.3M	-296.0M	-2.9M	0.94	21.25	42,280	39,549	611,686	295,129
2021-03-26	$41.48	$40.00	40.1%	12.1%	57.6%	16.9%	42.7%	7.1%	-0.8%	25.4M	-477.2M	-3.1M	0.37	26.61	37,819	14,077	626,888	302,523
2021-03-29	$41.91	$40.00	40.7%	11.9%	57.0%	17.1%	42.0%	2.4%	-0.7%	16.3M	-663.5M	-3.0M	0.88	25.39	22,112	19,418	577,723	236,001
2021-03-30	$41.16	$40.00	38.4%	11.8%	57.4%	16.1%	41.9%	6.5%	0.3%	14.5M	-594.8M	-2.7M	0.67	32.79	6,301	4,251	589,028	231,180
2021-03-31	$40.43	$40.00	41.6%	13.1%	57.0%	17.5%	44.3%	6.9%	-1.1%	10.6M	-512.2M	-2.8M	0.39	7.03	19,636	7,598	590,150	232,925