USO Options History — November 2010

In November 2010, USO traded between $34.73 and $38.04. ATM implied volatility averaged 29.8%, placing in the 37.6% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 1.2% (HV 20d: 28.6%). Max pain ranged from $35.00 to $36.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.75.

Notable Days

  • 2010-11-16: Highest Volume — 103,153 contracts
  • 2010-11-10: Largest IV drop — 17.7% change
  • 2010-11-02: Highest IV Rank — 74.4%
  • 2010-11-16: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.34$34.73$38.04$35.81$36.04
Max Pain$35.57$35.00$36.00$35.00$35.00
ATM IV29.8%25.7%39.1%36.5%29.7%
Expected Move8.2%7.6%9.0%8.6%8.5%
HV 20d28.6%26.4%31.8%29.3%30.0%
HV 60d27.5%26.4%28.5%27.6%27.3%
IV Rank37.6%21.5%74.4%64.2%37.3%
IV Percentile41.1%6.7%96.0%85.7%50.4%
Term Structure0.9%-0.1%2.0%0.5%1.0%
VWIV28.9%26.4%32.4%30.4%29.8%
Skew 25d3.0%1.8%4.4%4.2%3.4%
Skew 10d4.7%0.7%8.0%7.2%5.9%
Call IV 25d27.5%26.1%30.0%28.4%28.1%
Put IV 25d30.6%28.3%33.9%32.6%31.5%
Bid-Ask Spread %3.732.735.843.513.21
Gamma HHI0.100.070.160.090.08
Net GEX12.3M-1.7M25.7M10.2M11.2M
Net DEX-292.4M-659.8M84.9M-207.4M-233.7M
Net VEX-4.5M-4.7M-4.3M-4.4M-4.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.371.450.660.54
Total Volume56,964.47612,184103,15351,61134,770
Total OI1,120,114.1431,022,5981,248,5771,022,5981,109,332

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-11-01$35.81$35.0036.5%8.6%29.3%64.2%30.4%4.2%0.5%10.2M-207.4M-4.4M0.663.5131,04420,567612,363410,235
2010-11-02$36.27$35.0039.1%8.9%29.2%74.4%31.3%4.0%-0.1%13.1M-287.7M-4.5M0.703.6526,53318,699625,852420,441
2010-11-03$36.74$35.0033.5%8.0%29.5%52.2%29.3%2.9%0.7%18.2M-393.0M-4.6M0.642.9431,30319,937637,862426,703
2010-11-04$37.49$35.0029.3%8.0%28.9%35.8%28.1%2.9%0.1%22.1M-534.7M-4.5M1.022.7335,74036,422645,056429,921
2010-11-05$37.65$36.0025.7%7.7%28.3%21.5%27.3%2.6%0.9%19.0M-573.5M-4.5M0.963.7325,16524,047656,051444,266
2010-11-08$37.53$36.0027.8%7.8%27.6%29.9%27.3%2.1%1.1%20.6M-534.6M-4.4M0.373.4950,18518,669654,406436,924
2010-11-09$37.05$36.0031.4%7.9%28.1%44.0%27.9%2.4%0.8%20.3M-468.1M-4.5M0.643.6148,10130,922677,316438,472
2010-11-10$38.04$36.0025.9%7.6%29.2%22.0%26.4%1.8%0.9%25.7M-659.8M-4.6M0.713.2532,59923,072695,098450,542
2010-11-11$37.84$36.0026.8%7.7%29.2%25.7%26.8%1.9%1.3%23.4M-593.3M-4.7M0.444.3938,77317,202696,341461,617
2010-11-12$36.47$36.0028.6%8.2%31.8%32.9%28.4%2.4%1.3%11.4M-301.4M-4.6M0.785.8444,46134,473702,410465,465
2010-11-15$36.50$36.0028.9%8.3%30.8%34.2%28.8%2.2%0.8%11.8M-316.2M-4.5M0.894.9022,82320,209709,886458,775
2010-11-16$35.45$36.0031.4%9.0%27.8%44.0%32.4%4.4%-0.0%2.5M-72.3M-4.5M1.453.6042,07361,080717,095466,988
2010-11-17$34.73$36.0031.1%8.9%26.9%42.9%31.4%3.9%0.3%-1.7M84.9M-4.4M0.823.2248,21939,559729,889480,726
2010-11-18$35.50$36.0029.5%8.5%27.0%36.4%29.0%3.5%1.0%8.6M-111.4M-4.5M0.784.3329,63923,259751,023484,216
2010-11-19$35.22$36.0028.6%8.2%26.4%33.1%28.7%3.2%1.4%1.5M-39.3M-4.4M0.884.4233,09929,006761,122487,455
2010-11-22$35.05$36.0028.8%8.3%26.4%33.8%29.6%3.6%0.5%2.5M-47.1M-4.3M0.963.3724,95823,952641,177399,333
2010-11-23$34.95$35.0029.6%8.5%26.4%36.9%29.8%2.7%1.3%3.1M-45.2M-4.4M0.583.3022,31912,938657,038409,039
2010-11-24$36.08$35.0027.3%7.8%28.7%27.8%27.4%3.3%2.0%9.4M-225.9M-4.5M0.494.1038,02118,564663,905411,269
2010-11-26$35.97$35.0027.7%7.9%28.8%29.3%27.9%3.2%1.7%10.1M-211.8M-4.4M0.383.738,8033,381678,941418,236
2010-11-29$36.78$35.0028.2%8.1%29.6%31.3%29.5%3.2%1.2%15.4M-367.7M-4.4M1.053.1325,22726,441681,290418,321
2010-11-30$36.04$35.0029.7%8.5%30.0%37.3%29.8%3.4%1.0%11.2M-233.7M-4.4M0.543.2122,61712,153686,554422,778