USO Options History — February 2011

In February 2011, USO traded between $35.39 and $39.80. ATM implied volatility averaged 31.6%, placing in the 44.6% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 1.7% (HV 20d: 29.8%). Max pain ranged from $36.00 to $38.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.61.

Notable Days

  • 2011-02-23: Highest Volume — 497,784 contracts
  • 2011-02-22: Largest IV spike — 31.8% change
  • 2011-02-28: Highest IV Rank — 87.3%
  • 2011-02-25: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.34$35.39$39.80$38.07$39.19
Max Pain$36.95$36.00$38.00$37.00$38.00
ATM IV31.6%26.0%42.3%34.2%42.3%
Expected Move8.7%7.5%11.5%8.3%10.0%
HV 20d29.8%27.4%35.8%30.3%31.7%
HV 60d25.2%23.6%26.5%26.1%25.8%
IV Rank44.6%22.7%87.3%55.1%87.3%
IV Percentile55.5%15.9%98.8%84.9%98.8%
Term Structure0.7%-2.4%2.4%1.3%0.2%
VWIV31.0%27.0%41.8%29.6%36.0%
Skew 25d-2.0%-7.6%0.7%0.7%-4.7%
Skew 10d-4.4%-16.0%0.3%-0.1%-10.4%
Call IV 25d32.2%27.5%44.7%29.6%38.5%
Put IV 25d30.2%26.3%38.3%30.3%33.8%
Bid-Ask Spread %5.402.638.196.746.43
Gamma HHI0.110.070.330.090.08
Net GEX8.9M-45.4M37.6M24.5M33.6M
Net DEX-355.6M-1.04B133.5M-421.0M-841.1M
Net VEX-5.8M-7.7M-4.9M-4.9M-7.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.381.460.520.57
Total Volume160,985.21165,691497,784197,542161,757
Total OI1,211,364.421999,9541,450,699999,9541,425,752

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-02-01$38.07$37.0034.2%8.3%30.3%55.1%29.6%0.7%1.3%24.5M-421.0M-4.9M0.526.74129,57867,964621,840378,114
2011-02-02$38.18$37.0035.1%8.0%29.0%58.8%28.8%-0.5%1.4%25.1M-499.0M-5.7M0.416.7683,26434,077668,057403,613
2011-02-03$38.09$38.0028.5%7.8%28.7%32.5%27.8%-0.9%1.8%26.6M-502.7M-5.8M0.505.6145,19122,707709,177413,823
2011-02-04$37.34$37.0028.4%8.3%28.5%32.2%29.6%-0.2%1.2%14.0M-308.4M-5.6M0.754.5776,67057,638724,840418,755
2011-02-07$36.66$37.0029.6%8.1%29.2%37.1%29.0%-0.1%1.1%4.4M-146.9M-5.4M0.702.7038,66427,027716,762423,317
2011-02-08$36.64$37.0030.2%8.0%28.7%39.1%28.3%-0.1%0.9%4.0M-144.5M-5.4M0.532.6367,34435,483720,947432,436
2011-02-09$36.50$37.0026.1%7.9%27.6%22.9%28.0%0.0%0.8%906.3K-108.9M-5.4M0.563.7947,16526,514735,927443,040
2011-02-10$36.54$37.0027.0%7.8%27.6%26.8%27.3%0.1%1.2%-1.4M-108.8M-5.3M0.946.1847,27644,596744,728453,465
2011-02-11$36.05$37.0026.7%7.7%27.8%25.5%27.3%-0.1%1.4%-45.4M2.9M-5.3M0.436.1574,92632,336763,909464,172
2011-02-14$35.88$37.0027.3%7.8%27.5%27.9%27.9%-0.1%1.4%-8.8M4.6M-5.3M0.585.5946,59226,799754,146453,267
2011-02-15$35.39$37.0027.4%7.9%27.7%28.2%27.7%0.3%1.9%-12.8M133.5M-5.1M1.465.5045,17966,008757,002457,449
2011-02-16$35.53$36.0028.3%8.1%27.9%31.6%28.5%-1.4%1.2%-15.4M102.6M-5.3M0.496.1490,52244,256767,681487,785
2011-02-17$36.06$36.0027.5%7.9%27.4%28.4%27.6%-1.6%1.7%-7.0M-72.8M-5.4M0.514.6964,70832,877800,488489,854
2011-02-18$36.36$36.0026.0%7.5%27.7%22.7%27.0%-1.9%2.4%-1.8M-179.9M-5.5M0.724.6782,48659,681804,372496,596
2011-02-22$38.49$36.0034.3%9.8%34.0%55.5%35.2%-6.1%-1.0%22.9M-720.9M-6.0M0.448.19195,56086,474672,690419,219
2011-02-23$39.80$37.0038.6%11.1%34.9%72.5%40.8%-7.6%-1.6%36.4M-1.04B-6.6M0.504.61332,247165,537737,185446,257
2011-02-24$38.97$37.0039.7%11.4%35.8%76.8%41.8%-7.1%-2.2%37.6M-869.4M-7.4M0.557.07261,986143,548867,114491,446
2011-02-25$39.68$38.0042.1%11.5%34.6%86.5%40.7%-6.4%-2.4%32.0M-1.03B-7.7M0.384.66140,90653,176914,898535,801
2011-02-28$39.19$38.0042.3%10.0%31.7%87.3%36.0%-4.7%0.2%33.6M-841.1M-7.6M0.576.43103,18858,569913,055512,697