USO Options History — June 2011

In June 2011, USO traded between $35.64 and $40.14. ATM implied volatility averaged 31.6%, placing in the 30.0% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 1.1% (HV 20d: 30.5%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.28.

Notable Days

  • 2011-06-23: Highest Volume — 210,447 contracts
  • 2011-06-06: Largest IV spike — 22.9% change
  • 2011-06-28: Highest IV Rank — 43.0%
  • 2011-06-17: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.91$35.64$40.14$39.52$37.24
Max Pain$39.73$39.00$41.00$41.00$39.00
ATM IV31.6%26.7%36.0%35.8%26.7%
Expected Move8.7%7.8%9.4%8.9%7.8%
HV 20d30.5%24.6%47.8%47.8%28.7%
HV 60d34.5%33.4%35.3%34.2%35.3%
IV Rank30.0%15.2%43.0%42.5%15.2%
IV Percentile62.6%13.5%87.7%84.5%13.5%
Term Structure0.7%-0.4%1.7%-0.4%1.7%
VWIV31.1%27.6%33.2%32.2%27.6%
Skew 25d3.8%2.2%5.1%3.1%3.4%
Skew 10d7.2%3.8%10.3%5.7%5.9%
Call IV 25d29.1%25.7%31.3%30.8%25.7%
Put IV 25d32.9%29.1%35.7%33.9%29.1%
Bid-Ask Spread %3.801.427.541.422.02
Gamma HHI0.090.070.160.080.08
Net GEX-6.7M-27.6M12.8M3.1M2.3M
Net DEX118.0M-333.6M598.7M-156.6M39.7M
Net VEX-6.6M-7.8M-5.5M-7.8M-5.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.522.191.601.21
Total Volume107,719.81856,716210,447100,96073,049
Total OI1,499,765.2271,316,7341,621,4671,487,9621,499,780

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-06-01$39.52$41.0035.8%8.9%47.8%42.5%32.2%3.1%-0.4%3.1M-156.6M-7.8M1.601.4238,79362,167862,043625,919
2011-06-02$39.68$41.0029.3%8.3%47.7%23.0%30.8%2.2%0.3%2.5M-178.7M-7.8M1.301.4952,97568,998867,720642,278
2011-06-03$39.66$40.0028.0%8.1%33.3%19.0%29.5%3.1%1.3%3.0M-178.3M-7.7M1.532.0433,32651,082887,457661,235
2011-06-06$39.00$40.0034.3%8.6%33.6%38.1%31.0%3.3%0.6%-3.8M-8.9M-7.3M1.782.0624,43643,541880,362639,902
2011-06-07$39.05$40.0034.6%8.5%28.0%38.8%30.3%3.0%0.6%-3.6M-26.4M-7.3M1.172.3335,60741,669885,213643,903
2011-06-08$39.85$40.0028.2%8.3%29.0%19.6%30.5%3.7%1.2%9.7M-272.2M-7.5M2.192.0655,919122,689896,593647,412
2011-06-09$40.14$40.0028.2%8.1%24.6%19.8%29.6%3.6%1.3%12.8M-333.6M-7.5M1.572.9125,57340,089911,152678,977
2011-06-10$39.07$40.0030.2%8.7%26.6%25.7%30.7%3.5%0.8%-27.6M21.4M-7.3M1.702.6238,63065,576914,928686,308
2011-06-13$38.26$40.0031.7%9.1%27.5%30.2%32.2%3.8%0.2%-14.4M224.0M-6.9M1.612.4942,52368,393903,819666,299
2011-06-14$39.10$40.0029.4%8.4%27.3%23.4%30.1%3.8%0.9%-3.8M-28.1M-7.0M1.033.2429,91630,900910,984655,572
2011-06-15$37.58$40.0031.8%9.1%30.9%30.6%33.0%4.9%0.4%-22.1M404.1M-6.5M1.592.7572,050114,838913,966661,391
2011-06-16$37.42$40.0032.2%9.2%29.4%31.8%32.8%4.2%0.3%-20.2M423.7M-6.4M1.932.6441,98580,920934,159672,700
2011-06-17$36.63$40.0032.6%9.4%30.0%33.0%32.9%4.4%0.1%-20.4M598.7M-6.1M1.483.1771,178104,988944,891676,576
2011-06-20$36.72$40.0032.3%9.3%29.6%31.9%33.2%4.3%0.1%-7.5M220.8M-6.1M0.835.2140,22133,522777,628539,106
2011-06-21$36.79$39.0031.8%9.1%28.5%30.5%32.3%4.5%0.2%-7.2M211.0M-6.1M1.072.7533,57335,968794,133552,393
2011-06-22$37.10$39.0030.6%8.8%27.5%26.7%30.6%4.2%0.6%-4.5M153.7M-6.1M0.526.3058,93230,649805,157562,697
2011-06-23$36.01$39.0030.8%8.8%28.1%27.4%31.3%5.1%0.8%-16.5M383.8M-5.7M1.107.0799,987110,460834,649565,936
2011-06-24$35.81$39.0032.1%8.9%28.1%31.3%31.5%5.1%0.7%-13.2M421.0M-5.7M0.687.2956,69238,334857,217592,953
2011-06-27$35.64$39.0035.4%8.7%27.9%41.1%31.1%4.0%0.9%-12.5M403.9M-5.5M0.717.0933,11423,602851,384573,616
2011-06-28$36.42$39.0036.0%8.5%28.2%43.0%30.7%3.1%1.4%-5.8M235.0M-5.6M0.717.5469,14648,914862,737576,222
2011-06-29$37.23$39.0033.8%8.4%28.8%36.5%30.1%3.8%0.7%3.0M38.9M-5.9M0.917.0765,44959,463889,293588,175
2011-06-30$37.24$39.0026.7%7.8%28.7%15.2%27.6%3.4%1.7%2.3M39.7M-5.9M1.212.0233,10339,946903,081596,699