USO Options History — April 2012

In April 2012, USO traded between $38.51 and $40.03. ATM implied volatility averaged 24.7%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 4.9% (HV 20d: 19.7%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.16.

Notable Days

  • 2012-04-23: Highest Volume — 140,206 contracts
  • 2012-04-09: Largest IV spike — 26.8% change
  • 2012-04-10: Highest IV Rank — 16.2%
  • 2012-04-10: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.28$38.51$40.03$40.03$39.68
Max Pain$39.80$39.00$40.00$39.00$40.00
ATM IV24.7%19.4%29.4%25.5%24.6%
Expected Move7.0%5.8%8.1%6.9%5.9%
HV 20d19.7%17.1%21.3%20.4%17.1%
HV 60d19.6%19.1%20.2%19.6%19.1%
IV Rank7.4%0.0%16.2%7.1%9.2%
IV Percentile8.2%0.0%32.9%7.9%7.1%
Term Structure1.3%0.3%2.5%1.5%1.7%
VWIV25.1%21.0%30.1%24.9%22.5%
Skew 25d2.3%1.6%3.6%2.2%2.0%
Skew 10d3.3%1.4%5.6%4.1%2.2%
Call IV 25d24.0%20.1%28.0%24.1%20.6%
Put IV 25d26.3%21.8%31.2%26.3%22.6%
Bid-Ask Spread %2.151.982.572.041.99
Gamma HHI0.110.090.130.090.11
Net GEX-1.6M-9.7M12.6M12.6M-923.2K
Net DEX-2.0M-196.6M189.7M-196.6M-80.8M
Net VEX-4.5M-4.9M-4.3M-4.9M-4.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.582.120.802.12
Total Volume57,357.533,899140,20654,05446,286
Total OI1,170,621.95932,9671,290,0911,173,3511,056,153

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-04-02$40.03$39.0025.5%6.9%20.4%7.1%24.9%2.2%1.5%12.6M-196.6M-4.9M0.802.0430,04424,010666,301507,050
2012-04-03$39.66$39.0026.4%6.6%19.3%8.7%24.4%2.4%2.0%7.8M-96.2M-4.8M0.991.9817,04216,857675,340511,390
2012-04-04$38.84$39.0026.7%6.8%20.0%9.3%24.3%1.6%2.1%-7.1M106.5M-4.6M1.472.0431,29145,939680,923513,493
2012-04-05$39.26$39.0020.5%6.6%20.4%0.0%22.8%1.7%2.5%766.9K-11.1M-4.7M0.682.1633,72922,782690,725524,084
2012-04-09$38.97$40.0026.0%7.7%20.2%10.0%27.3%2.4%0.6%-4.0M75.2M-4.5M1.132.1515,99418,114680,597517,447
2012-04-10$38.51$40.0029.4%8.1%20.3%16.2%30.1%3.2%0.3%-9.7M189.7M-4.4M1.742.5721,79637,863685,277522,765
2012-04-11$39.01$40.0025.7%8.0%21.0%9.4%28.2%3.6%0.5%-2.9M72.4M-4.5M1.832.1620,46837,526690,757534,690
2012-04-12$39.44$40.0027.0%7.7%21.2%11.7%27.3%3.2%0.8%2.8M-35.2M-4.5M0.892.0127,68224,765693,106540,531
2012-04-13$39.15$40.0027.0%7.7%21.3%11.8%27.5%2.7%0.7%-8.4M47.9M-4.5M0.992.0730,95330,767701,681545,330
2012-04-16$39.18$40.0026.8%7.7%20.0%11.4%27.4%2.2%0.8%-3.9M22.0M-4.4M1.142.0628,21732,026701,145534,291
2012-04-17$39.64$40.0025.0%7.2%20.4%8.2%26.1%2.1%1.0%3.9M-99.6M-4.4M1.262.1217,14521,522707,119543,268
2012-04-18$39.05$40.0024.9%7.1%19.8%7.9%25.3%2.2%1.2%-9.7M75.5M-4.3M0.582.0843,61125,235708,408549,314
2012-04-19$38.96$40.0024.9%7.1%19.6%8.0%25.1%2.5%1.2%-8.0M72.0M-4.4M1.202.2432,00438,411717,460546,815
2012-04-20$39.39$40.0024.0%6.9%19.7%6.3%23.9%2.7%1.3%-53.2K-57.9M-4.4M0.902.3026,69424,091730,211559,880
2012-04-23$39.03$40.0023.2%6.7%19.1%4.9%24.4%2.0%1.2%-4.0M29.3M-4.3M1.232.2662,98777,219505,469427,498
2012-04-24$39.17$40.0022.8%6.5%19.2%4.2%23.6%2.1%1.3%-5.1M22.7M-4.5M1.062.1516,97918,025548,768487,719
2012-04-25$39.41$40.0022.5%6.4%19.4%3.5%22.9%1.6%1.1%-1.6M-31.3M-4.5M0.712.2832,77723,259555,255494,565
2012-04-26$39.53$40.0020.9%6.0%19.0%0.6%22.8%1.7%1.4%1.5M-60.5M-4.4M1.712.1420,04234,335568,808502,433
2012-04-27$39.62$40.0019.4%5.8%17.2%0.0%21.0%1.6%1.9%4.1M-84.5M-4.5M0.722.2222,51016,153574,752511,621
2012-04-30$39.68$40.0024.6%5.9%17.1%9.2%22.5%2.0%1.7%-923.2K-80.8M-4.4M2.121.9914,82331,463561,964494,189