USO Options History — March 2012

In March 2012, USO traded between $39.23 and $41.75. ATM implied volatility averaged 25.4%, placing in the 5.3% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 4.3% (HV 20d: 21.1%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.91.

Notable Days

  • 2012-03-01: Highest Volume — 156,790 contracts
  • 2012-03-07: Largest IV drop — 22.8% change
  • 2012-03-06: Highest IV Rank — 18.5%
  • 2012-03-06: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.58$39.23$41.75$41.75$39.23
Max Pain$39.11$39.00$40.00$39.00$39.00
ATM IV25.4%21.7%34.1%30.5%23.5%
Expected Move7.5%6.9%8.8%8.4%7.2%
HV 20d21.1%18.2%22.5%18.2%18.9%
HV 60d22.1%19.4%25.3%24.4%19.4%
IV Rank5.3%0.0%18.5%11.4%3.4%
IV Percentile7.5%0.0%51.2%29.8%1.2%
Term Structure1.9%0.7%2.6%0.7%1.6%
VWIV27.0%24.5%32.0%29.8%25.4%
Skew 25d1.0%-0.1%2.8%-0.1%2.8%
Skew 10d0.5%-2.4%3.5%-2.4%3.2%
Call IV 25d26.6%23.8%31.3%30.0%24.3%
Put IV 25d27.6%25.1%31.9%29.9%27.2%
Bid-Ask Spread %3.151.9610.9710.972.24
Gamma HHI0.100.060.420.090.09
Net GEX19.5M-4.7M73.2M37.6M68.0K
Net DEX-416.0M-869.6M30.5M-869.6M30.5M
Net VEX-4.7M-5.1M-4.2M-5.0M-4.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.232.040.590.66
Total Volume93,036.531,637156,790156,79070,687
Total OI1,219,841.727897,4951,420,6651,267,6101,184,378

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-03-01$41.75$39.0030.5%8.4%18.2%11.4%29.8%-0.1%0.7%37.6M-869.6M-5.0M0.5910.9798,39758,393716,792550,818
2012-03-02$40.77$39.5028.6%7.8%20.6%7.5%28.1%-0.0%2.6%22.1M-541.6M-5.1M1.034.2367,23568,938735,720572,532
2012-03-05$40.97$39.0030.9%8.4%20.4%12.1%30.4%0.2%1.6%25.6M-628.3M-5.0M0.443.9241,94018,418733,452572,152
2012-03-06$40.13$39.0034.1%8.8%21.9%18.5%32.0%0.6%1.1%13.3M-381.9M-5.0M0.442.9558,57125,613755,078576,419
2012-03-07$40.61$39.0026.3%8.4%21.6%3.1%30.7%0.7%1.2%25.0M-560.0M-5.0M2.042.7334,46670,240779,417580,674
2012-03-08$40.82$39.0024.7%8.1%21.6%0.0%29.6%0.5%1.4%23.0M-591.6M-4.9M1.162.6835,27540,898775,640609,609
2012-03-09$41.09$39.0022.9%7.9%21.6%0.0%28.6%0.3%1.7%29.8M-683.5M-4.8M0.812.7938,44231,199776,210611,466
2012-03-12$40.70$39.0024.6%7.7%21.7%3.2%27.8%0.8%2.1%21.1M-556.0M-4.6M0.653.5827,82218,002765,949602,842
2012-03-13$40.83$39.0022.1%7.5%21.1%0.0%26.6%0.8%2.0%23.9M-590.0M-4.4M0.662.7125,48416,832762,653607,571
2012-03-14$40.41$39.0021.7%7.5%21.6%0.0%26.8%1.2%2.0%10.5M-431.9M-4.3M1.453.7020,64829,878769,824610,074
2012-03-15$40.28$39.0025.7%7.4%21.5%7.5%26.6%1.3%2.2%2.0M-388.5M-4.3M1.012.6264,64865,013774,096617,821
2012-03-16$41.03$39.0024.9%7.1%22.3%6.0%25.8%0.4%2.2%73.2M-689.4M-4.3M0.713.5079,04256,125779,764640,901
2012-03-19$41.29$39.0023.9%6.9%22.1%4.1%24.8%1.2%2.2%24.8M-451.2M-4.2M0.232.0691,35020,755525,056372,439
2012-03-20$40.43$39.0025.3%7.2%22.4%6.6%25.8%1.5%2.1%17.8M-302.9M-4.2M1.832.6643,62879,990558,580377,640
2012-03-21$40.66$39.0024.0%6.9%22.5%4.2%24.5%1.8%2.0%16.5M-295.4M-4.6M1.392.9334,82748,238570,302431,296
2012-03-22$40.14$39.0024.3%7.0%21.7%4.9%25.2%1.8%2.2%6.2M-151.9M-4.7M1.082.1748,02751,860582,082463,620
2012-03-23$40.69$39.0024.3%7.0%21.6%4.9%25.1%0.3%2.1%15.5M-296.8M-4.9M0.522.3686,13845,072599,110486,355
2012-03-26$40.77$39.0024.3%7.0%20.5%4.9%25.0%1.0%2.0%19.9M-329.3M-4.9M1.112.1616,90818,840606,540480,177
2012-03-27$40.71$40.0024.1%6.9%20.2%4.4%25.0%1.0%1.9%17.5M-299.4M-4.9M1.302.0813,77817,859605,914490,857
2012-03-28$40.19$40.0024.2%6.9%20.6%4.6%25.4%0.9%2.1%8.4M-174.8M-4.9M0.382.4292,23135,064613,343496,337
2012-03-29$39.29$39.0024.7%7.1%20.5%5.6%25.4%2.3%2.0%-4.7M30.4M-4.7M0.461.9696,23543,797615,396499,622
2012-03-30$39.23$39.0023.5%7.2%18.9%3.4%25.4%2.8%1.6%68.0K30.5M-4.9M0.662.2442,60728,080672,362512,016