USO Options History — July 2011

In July 2011, USO traded between $37.15 and $38.93. ATM implied volatility averaged 28.6%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 2.6% (HV 20d: 26.1%). Max pain ranged from $38.00 to $39.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.09.

Notable Days

  • 2011-07-22: Highest Volume — 96,648 contracts
  • 2011-07-11: Largest IV spike — 33.5% change
  • 2011-07-29: Highest IV Rank — 36.4%
  • 2011-07-29: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.07$37.15$38.93$37.15$37.42
Max Pain$38.05$38.00$39.00$39.00$38.00
ATM IV28.6%24.8%33.8%24.8%33.8%
Expected Move8.2%7.7%8.9%7.7%8.9%
HV 20d26.1%22.1%29.9%28.7%22.7%
HV 60d34.5%34.1%35.4%35.3%34.2%
IV Rank21.0%9.4%36.4%9.6%36.4%
IV Percentile38.4%5.6%81.7%5.6%81.7%
Term Structure0.8%-0.1%2.0%2.0%-0.1%
VWIV29.6%27.6%31.5%27.6%31.5%
Skew 25d3.7%2.7%4.4%2.7%4.4%
Skew 10d6.8%4.1%8.6%4.1%7.5%
Call IV 25d27.5%25.7%29.2%25.7%29.2%
Put IV 25d31.2%28.4%33.6%28.4%33.6%
Bid-Ask Spread %2.191.613.962.052.73
Gamma HHI0.070.070.080.080.07
Net GEX10.9M-1.1M21.3M4.1M7.3M
Net DEX-136.7M-307.5M90.3M60.0M-33.5M
Net VEX-5.7M-5.9M-5.4M-5.9M-5.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.281.921.321.48
Total Volume61,34834,76396,64861,99263,121
Total OI1,315,826.21,021,4721,543,1961,503,1751,210,716

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-07-01$37.15$39.0024.8%7.7%28.7%9.6%27.6%2.7%2.0%4.1M60.0M-5.9M1.322.0526,72735,265907,512595,663
2011-07-05$37.96$38.0030.1%8.2%29.5%25.4%29.0%3.7%1.1%7.1M-101.1M-5.8M0.873.9633,81029,332893,054589,183
2011-07-06$37.89$38.0027.5%8.1%29.5%17.5%29.4%4.0%1.3%8.1M-87.6M-5.8M1.921.8412,12023,252904,211590,312
2011-07-07$38.61$38.0025.6%8.0%29.3%12.0%28.9%3.7%1.6%16.7M-271.4M-5.9M0.972.3946,31044,897905,765596,159
2011-07-08$37.80$38.0024.8%8.0%29.9%9.4%28.6%3.7%0.6%4.2M-33.2M-5.7M0.842.0634,37628,739911,703608,363
2011-07-11$37.29$38.0033.1%8.7%28.9%34.2%31.5%4.1%-0.0%-1.1M90.3M-5.6M1.271.9720,74826,350910,962605,384
2011-07-12$37.93$38.0030.6%8.5%28.8%27.0%30.4%3.7%0.2%7.4M-87.3M-5.7M0.632.4639,55524,967915,837609,647
2011-07-13$38.35$38.0029.1%8.6%27.9%22.4%31.4%4.2%0.1%12.7M-191.9M-5.7M1.041.9539,56041,162917,941612,288
2011-07-14$37.55$38.0029.1%8.3%25.1%22.4%30.8%4.2%0.4%6.6M15.0M-5.5M1.412.2933,18846,778923,762613,356
2011-07-15$38.13$38.0028.4%8.1%25.7%20.2%29.2%4.0%1.2%16.1M-170.3M-5.6M1.581.7821,49933,981928,938614,258
2011-07-18$37.59$38.0029.1%8.3%25.0%22.3%31.0%4.2%0.9%8.5M-87.5M-5.4M1.892.1023,33344,128627,000394,472
2011-07-19$38.25$38.0029.1%8.4%25.6%22.6%29.4%3.6%0.7%12.0M-192.6M-5.6M1.191.6126,08831,152634,405410,964
2011-07-20$38.40$38.0028.5%8.2%25.6%20.7%29.0%3.9%0.9%14.0M-224.1M-5.7M1.031.8325,90026,639640,943420,764
2011-07-21$38.72$38.0027.7%7.9%25.6%18.3%28.7%3.9%0.8%17.1M-280.7M-5.8M0.942.0625,95324,377652,431429,967
2011-07-22$38.93$38.0027.6%7.9%22.7%17.9%28.3%3.5%1.2%21.3M-307.5M-5.8M0.281.9275,34021,308657,608433,512
2011-07-25$38.68$38.0027.5%7.9%22.7%17.7%28.7%3.0%1.1%17.1M-268.5M-5.8M0.602.2325,23315,087703,171430,369
2011-07-26$38.81$38.0027.5%7.9%22.5%17.7%28.9%3.3%1.0%18.2M-286.9M-5.8M1.142.2225,22328,747717,174433,822
2011-07-27$37.97$38.0028.7%8.2%23.3%21.1%29.4%2.9%1.0%9.6M-135.5M-5.7M0.852.0936,80231,150724,364441,910
2011-07-28$37.91$38.0029.8%8.5%22.1%24.5%30.7%3.1%0.4%12.0M-138.9M-5.8M0.652.3221,06013,703749,314449,320
2011-07-29$37.42$38.0033.8%8.9%22.7%36.4%31.5%4.4%-0.1%7.3M-33.5M-5.5M1.482.7325,48037,641757,145453,571