USO Options History — September 2011

In September 2011, USO traded between $30.49 and $34.85. ATM implied volatility averaged 42.9%, placing in the 39.7% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 8.6% (HV 20d: 34.3%). Max pain ranged from $34.00 to $36.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.11.

Notable Days

  • 2011-09-22: Highest Volume — 154,747 contracts
  • 2011-09-06: Largest IV spike — 29.1% change
  • 2011-09-30: Highest IV Rank — 63.2%
  • 2011-09-30: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.16$30.49$34.85$34.47$30.49
Max Pain$35.48$34.00$36.00$34.00$35.00
ATM IV42.9%33.4%55.6%35.3%55.6%
Expected Move12.4%10.3%15.3%10.3%15.3%
HV 20d34.3%24.4%46.3%45.4%38.4%
HV 60d35.6%34.7%38.1%35.4%38.1%
IV Rank39.7%22.0%63.2%25.4%63.2%
IV Percentile88.2%68.3%98.8%77.8%98.8%
Term Structure0.9%-1.4%3.5%2.5%-1.4%
VWIV43.4%35.7%50.7%35.7%50.7%
Skew 25d10.6%8.8%12.7%8.8%11.5%
Skew 10d19.8%17.2%23.0%17.7%19.1%
Call IV 25d38.5%31.7%46.8%31.7%46.8%
Put IV 25d49.1%40.4%58.2%40.4%58.2%
Bid-Ask Spread %2.901.907.462.312.31
Gamma HHI0.070.060.170.060.07
Net GEX-1.9M-18.4M9.7M4.8M-9.6M
Net DEX256.6M-65.1M646.4M51.5M646.4M
Net VEX-5.2M-5.8M-4.4M-5.8M-4.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.811.661.051.21
Total Volume76,166.57144,446154,74745,78061,895
Total OI1,591,215.8571,423,8891,672,1871,599,3671,637,896

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-09-01$34.47$34.0035.3%10.3%45.4%25.4%35.7%8.8%2.5%4.8M51.5M-5.8M1.052.3122,28023,500942,456656,911
2011-09-02$33.64$34.0035.3%10.6%46.3%25.6%39.1%8.8%3.5%-1.7M225.6M-5.6M1.052.4832,80634,380948,368660,754
2011-09-06$33.59$36.0045.6%11.8%37.1%44.7%42.9%10.8%0.5%-2.1M227.9M-5.5M0.853.8037,97232,426947,361651,368
2011-09-07$34.69$36.0036.8%11.2%38.5%28.2%41.9%10.2%0.4%7.1M-17.9M-5.7M1.152.1327,85032,159959,633657,069
2011-09-08$34.46$36.0042.2%11.9%38.7%38.3%41.3%9.6%0.4%5.7M21.9M-5.7M0.971.9025,89225,212964,876664,022
2011-09-09$33.85$36.0042.4%12.6%36.0%38.6%44.6%11.4%-0.1%72.7K157.9M-5.6M1.662.5633,42555,355973,127669,477
2011-09-12$34.42$36.0042.9%12.5%36.4%39.6%44.8%11.1%0.8%5.2M29.1M-5.5M1.113.0221,02423,422973,443657,139
2011-09-13$34.85$36.0037.3%11.4%35.1%29.2%41.6%10.5%2.1%9.7M-65.1M-5.5M1.082.4529,47631,898974,678657,708
2011-09-14$34.34$36.0033.4%11.5%35.3%22.0%40.3%10.2%2.8%4.3M60.1M-5.2M1.572.7134,93654,905977,219664,257
2011-09-15$34.60$36.0037.6%10.8%35.4%29.8%38.5%10.9%3.2%7.3M40.8M-5.2M1.212.6030,45536,808982,129685,726
2011-09-16$34.14$36.0038.3%11.0%24.4%31.1%38.4%10.8%2.9%22.6K148.5M-5.1M0.912.2145,14041,202973,782698,405
2011-09-19$33.29$36.0041.2%11.8%26.2%36.5%41.5%10.9%1.3%-6.5M320.8M-4.9M1.442.3651,14873,503856,727567,162
2011-09-20$33.43$36.0041.3%11.9%25.5%36.7%40.7%10.8%1.2%-4.5M264.8M-5.0M1.092.2133,05636,097878,456578,229
2011-09-21$32.92$36.0041.9%12.0%24.9%37.8%41.3%10.6%1.2%-6.3M339.2M-5.0M0.862.0438,18832,673894,831593,602
2011-09-22$31.13$35.0050.8%14.6%31.6%54.5%49.1%12.7%-1.1%-10.5M571.6M-4.6M0.816.8685,46369,284912,160600,145
2011-09-23$31.09$35.0050.3%14.4%31.6%53.4%49.0%10.5%-0.2%-18.4M556.5M-4.7M0.967.4655,21453,117929,443616,129
2011-09-26$31.47$35.0050.8%14.6%32.0%54.4%48.2%11.3%-0.6%-7.6M498.6M-4.7M1.042.7342,73844,244936,835621,380
2011-09-27$32.37$35.0046.5%13.3%32.4%46.3%46.3%10.8%0.2%-3.4M350.7M-5.0M0.992.5144,82344,479958,084642,747
2011-09-28$31.25$35.0049.9%14.3%33.8%52.7%49.3%11.0%-0.7%-8.6M532.7M-4.7M0.932.0327,88625,851966,700657,816
2011-09-29$31.97$35.0046.0%13.2%35.1%45.4%47.3%10.5%-0.1%-4.7M427.0M-4.8M1.362.1320,04827,268971,680655,603
2011-09-30$30.49$35.0055.6%15.3%38.4%63.2%50.7%11.5%-1.4%-9.6M646.4M-4.4M1.212.3127,97833,917977,186660,710