USO Options History — February 2012

In February 2012, USO traded between $37.13 and $42.01. ATM implied volatility averaged 28.6%, placing in the 7.6% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 11.5% (HV 20d: 17.1%). 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 20 of 20 days. Put/call ratio averaged 0.72.

Notable Days

  • 2012-02-24: Highest Volume — 188,291 contracts
  • 2012-02-08: Largest IV drop — 16.7% change
  • 2012-02-01: Highest IV Rank — 13.7%
  • 2012-02-15: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.25$37.13$42.01$37.38$40.92
Max Pain$38.27$38.00$39.00$38.00$39.00
ATM IV28.6%25.3%31.7%31.7%29.1%
Expected Move8.1%7.6%8.5%7.8%7.7%
HV 20d17.1%14.8%18.6%16.9%18.4%
HV 60d24.5%23.7%25.3%25.3%24.2%
IV Rank7.6%1.1%13.7%13.7%8.6%
IV Percentile17.5%0.8%34.1%34.1%21.8%
Term Structure1.6%0.5%2.6%1.9%2.6%
VWIV29.0%27.1%30.7%28.1%27.6%
Skew 25d0.6%-1.8%2.6%2.2%0.8%
Skew 10d-0.7%-6.2%3.6%2.9%0.4%
Call IV 25d29.0%26.4%31.8%26.8%27.4%
Put IV 25d29.5%27.9%30.6%29.0%28.3%
Bid-Ask Spread %3.362.336.442.562.47
Gamma HHI0.090.070.170.080.08
Net GEX22.5M-567.9K53.8M3.1M26.5M
Net DEX-369.2M-957.1M89.2M29.6M-626.4M
Net VEX-4.2M-5.0M-3.6M-3.7M-4.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.311.130.870.68
Total Volume93,622.344,367188,29171,64479,174
Total OI1,105,197.95974,6421,242,363974,6421,242,363

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-02-01$37.38$38.0031.7%7.8%16.9%13.7%28.1%2.2%1.9%3.1M29.6M-3.7M0.872.5638,40733,237580,778393,864
2012-02-02$37.13$38.0028.4%7.6%16.9%7.3%27.1%2.0%2.2%-567.9K89.2M-3.7M1.133.0238,51043,605586,209408,300
2012-02-03$37.59$38.0025.3%7.9%17.2%1.1%28.0%2.6%1.8%4.9M-1.0M-3.7M0.602.6839,62923,607595,694425,567
2012-02-06$37.33$38.0029.2%7.9%17.2%8.9%28.7%2.3%2.2%3.0M42.6M-3.6M0.512.9929,33915,028591,260416,981
2012-02-07$37.95$38.0031.4%8.1%18.5%13.1%29.4%1.5%1.3%11.6M-101.9M-3.8M0.703.4542,84329,894609,040423,699
2012-02-08$38.04$38.0026.1%8.0%18.3%2.7%28.8%2.0%1.2%13.4M-114.6M-3.9M0.803.1938,18530,477624,440435,831
2012-02-09$38.33$38.0028.1%8.1%18.2%6.7%29.0%1.0%1.5%17.4M-184.6M-4.0M0.883.8228,93425,574635,180448,711
2012-02-10$38.02$38.0028.4%8.2%16.6%7.3%29.3%0.9%1.3%16.8M-105.5M-3.9M0.952.5436,39334,740643,922454,381
2012-02-13$38.69$38.0028.6%8.2%17.7%7.6%29.6%-0.2%0.7%19.9M-269.7M-4.0M0.494.7359,39429,071641,804454,844
2012-02-14$38.84$38.0028.5%8.2%16.8%7.4%29.3%0.1%0.6%25.8M-328.5M-4.1M0.604.5143,50625,908672,693464,322
2012-02-15$39.18$38.0029.6%8.5%17.1%9.5%30.5%-0.5%0.5%32.2M-435.4M-4.3M0.316.4481,13325,480684,599471,059
2012-02-16$39.28$38.0028.1%8.0%17.0%6.5%28.9%-0.0%1.9%36.5M-486.3M-4.4M0.663.1448,35531,671719,743482,398
2012-02-17$39.75$38.0027.1%7.8%14.8%4.6%28.2%-1.4%2.3%46.0M-619.1M-4.4M0.633.2657,42536,231726,921496,797
2012-02-21$40.58$38.0029.4%8.4%15.4%9.1%30.7%-1.8%1.0%28.0M-609.0M-4.4M0.925.7594,81987,573585,017414,100
2012-02-22$40.59$38.5028.7%8.2%14.9%7.8%29.5%-0.7%1.9%26.0M-603.6M-4.5M0.922.5463,86958,905605,970440,050
2012-02-23$41.37$39.0027.9%8.0%15.9%6.1%29.1%-1.1%2.0%33.7M-791.4M-4.6M0.962.4683,11779,927637,724465,984
2012-02-24$42.01$39.0026.2%8.1%16.4%2.8%29.5%-0.2%1.6%53.8M-957.1M-4.8M0.542.55122,03866,253672,161519,858
2012-02-27$41.18$39.0029.6%8.3%18.5%9.6%29.4%0.8%1.6%29.0M-716.6M-5.0M0.502.7364,92832,514684,913517,086
2012-02-28$40.79$39.0030.2%8.1%18.6%10.8%29.1%1.1%2.1%23.9M-595.3M-5.0M0.802.3340,51432,239698,716530,980
2012-02-29$40.92$39.0029.1%7.7%18.4%8.6%27.6%0.8%2.6%26.5M-626.4M-4.9M0.682.4747,15332,021704,214538,149