USO Options History — April 2011

In April 2011, USO traded between $42.30 and $45.15. ATM implied volatility averaged 28.4%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 2.9% (HV 20d: 25.5%). Max pain ranged from $40.00 to $43.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.81.

Notable Days

  • 2011-04-08: Highest Volume — 193,018 contracts
  • 2011-04-13: Largest IV drop — 12.1% change
  • 2011-04-12: Highest IV Rank — 41.2%
  • 2011-04-08: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.82$42.30$45.15$43.17$45.15
Max Pain$41.80$40.00$43.00$40.00$43.00
ATM IV28.4%26.2%33.1%28.4%26.4%
Expected Move8.3%7.5%9.3%8.6%7.5%
HV 20d25.5%23.3%27.5%23.9%25.6%
HV 60d29.1%27.6%30.3%28.8%27.6%
IV Rank24.1%15.5%41.2%26.1%16.0%
IV Percentile32.5%10.7%73.4%33.7%11.5%
Term Structure1.0%0.3%1.8%1.5%1.8%
VWIV29.6%26.9%33.3%30.7%27.9%
Skew 25d-1.5%-3.6%-0.0%-0.0%-1.5%
Skew 10d-3.7%-8.1%-1.6%-1.6%-3.4%
Call IV 25d30.5%27.9%35.7%30.8%28.0%
Put IV 25d29.0%26.6%32.1%30.8%26.6%
Bid-Ask Spread %6.422.079.925.902.26
Gamma HHI0.120.090.160.120.16
Net GEX52.3M25.4M89.1M68.2M59.1M
Net DEX-1.52B-2.44B-886.3M-1.73B-1.46B
Net VEX-9.2M-9.5M-8.9M-9.5M-9.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.431.630.760.55
Total Volume98,354.140,820193,01877,87474,006
Total OI1,669,059.21,283,0752,018,4961,877,4181,409,735

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-04-01$43.17$40.0028.4%8.6%23.9%26.1%30.7%-0.0%1.5%68.2M-1.73B-9.5M0.765.9044,17533,6991,151,006726,412
2011-04-04$43.26$41.0031.6%8.9%23.9%36.5%31.6%-1.3%0.3%62.6M-1.71B-9.2M0.875.0441,94536,4421,130,017724,116
2011-04-05$43.10$41.0031.1%8.7%23.9%34.9%30.9%-1.1%0.7%59.2M-1.64B-9.2M0.656.9148,10131,2971,141,836737,703
2011-04-06$43.37$41.0027.6%8.7%23.8%23.5%30.7%-1.8%0.5%64.2M-1.74B-9.3M0.667.9644,94329,6311,157,153754,387
2011-04-07$43.99$42.0027.4%8.8%23.3%22.8%31.2%-1.4%0.7%77.4M-2.01B-9.2M0.518.1496,52849,5611,158,339756,455
2011-04-08$45.15$42.0028.4%9.3%23.4%26.2%33.3%-3.6%0.3%89.1M-2.44B-9.4M0.747.31111,12481,8941,171,416773,636
2011-04-11$43.64$42.0031.6%8.8%27.2%36.3%31.4%-2.0%0.7%62.1M-1.79B-9.1M0.717.1981,56757,8751,160,228793,981
2011-04-12$42.30$42.0033.1%9.0%26.0%41.2%32.3%-1.5%0.3%33.4M-1.20B-9.1M0.858.1390,28877,0181,159,261806,458
2011-04-13$42.75$42.0029.1%8.6%26.0%25.2%30.7%-1.6%1.1%42.0M-1.40B-8.9M0.439.92101,75043,8421,145,270806,468
2011-04-14$43.28$42.0029.7%8.5%25.0%27.0%30.4%-1.6%0.9%55.7M-1.68B-9.5M1.055.4744,07446,1201,200,380809,578
2011-04-15$43.71$42.0028.0%8.0%25.1%21.5%29.0%-2.1%1.7%52.9M-1.83B-9.4M0.789.6472,72856,3991,201,045817,451
2011-04-18$42.88$42.0027.9%8.0%26.3%20.9%28.8%-1.2%1.1%25.4M-886.3M-9.3M0.747.2552,37438,703784,327498,748
2011-04-19$42.95$42.0027.3%7.8%25.5%18.9%28.1%-1.4%1.0%26.2M-906.1M-9.3M1.346.3433,71145,074794,789508,646
2011-04-20$44.22$42.0026.8%7.7%27.4%17.4%27.7%-0.7%1.1%40.3M-1.23B-9.3M0.798.7844,97435,406804,708525,871
2011-04-21$44.57$42.0026.7%7.7%27.4%17.1%27.7%-1.2%1.0%43.3M-1.33B-9.2M0.616.1033,96420,820816,039536,221
2011-04-25$44.53$42.0027.6%7.9%27.5%20.1%28.2%-1.5%0.7%44.6M-1.30B-9.1M1.076.5126,02027,913808,555518,131
2011-04-26$44.48$42.0026.9%7.7%26.4%17.8%27.9%-0.9%1.0%44.1M-1.27B-9.1M0.665.0224,63116,189815,813530,994
2011-04-27$45.02$42.0026.5%7.6%26.5%16.3%26.9%-1.9%1.6%50.5M-1.43B-9.1M1.632.4230,74350,215826,593536,498
2011-04-28$44.83$42.0026.2%7.5%26.5%15.5%27.1%-1.3%1.7%46.6M-1.35B-9.1M0.732.0752,87038,468825,379557,541
2011-04-29$45.15$43.0026.4%7.5%25.6%16.0%27.9%-1.5%1.8%59.1M-1.46B-9.1M0.552.2647,65326,353839,739569,996