USO Options History — May 2012

In May 2012, USO traded between $32.61 and $40.15. ATM implied volatility averaged 27.5%, placing in the 14.5% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 7.1% (HV 20d: 20.4%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.01.

Notable Days

  • 2012-05-04: Highest Volume — 226,330 contracts
  • 2012-05-29: Largest IV spike — 21.0% change
  • 2012-05-30: Highest IV Rank — 22.9%
  • 2012-05-31: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.77$32.61$40.15$40.15$32.61
Max Pain$38.68$38.00$40.00$40.00$38.00
ATM IV27.5%23.9%32.2%24.0%31.4%
Expected Move7.6%5.8%8.5%5.9%8.5%
HV 20d20.4%15.9%22.3%16.1%22.3%
HV 60d20.6%19.1%21.4%19.1%20.5%
IV Rank14.5%8.0%22.9%8.2%21.5%
IV Percentile25.2%4.0%52.8%4.4%50.4%
Term Structure1.3%0.0%2.3%2.1%1.2%
VWIV26.8%21.1%30.1%21.1%30.1%
Skew 25d3.8%0.8%5.8%0.8%5.8%
Skew 10d5.8%0.4%9.0%0.4%9.0%
Call IV 25d25.4%20.3%28.6%20.9%28.6%
Put IV 25d29.2%21.7%34.4%21.7%34.4%
Bid-Ask Spread %2.771.913.691.913.14
Gamma HHI0.120.090.150.100.09
Net GEX-22.1M-33.8M7.5M7.5M-17.2M
Net DEX562.6M-211.0M916.9M-211.0M812.4M
Net VEX-3.8M-4.4M-3.1M-4.3M-3.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.452.111.030.65
Total Volume82,174.68234,181226,33048,05775,005
Total OI1,130,226.591962,1941,273,3201,080,5621,101,613

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-05-01$40.15$40.0024.0%5.9%16.1%8.2%21.1%0.8%2.1%7.5M-211.0M-4.3M1.031.9123,66224,395571,553509,009
2012-05-02$39.89$40.0023.9%5.8%15.9%8.0%21.1%2.0%2.3%-557.0K-116.0M-4.3M1.102.2816,53218,255575,559513,827
2012-05-03$38.83$40.0024.3%6.7%17.1%8.8%23.7%3.0%1.0%-20.9M164.3M-4.4M1.522.2033,09750,326581,096520,596
2012-05-04$37.29$40.0025.4%7.8%21.8%10.8%26.7%3.5%0.5%-31.0M529.9M-4.2M1.022.77112,260114,070592,939533,772
2012-05-07$37.05$40.0030.3%7.6%21.8%19.5%26.4%3.8%1.1%-27.0M484.0M-4.2M0.973.2436,48235,512619,465529,045
2012-05-08$36.87$39.0030.2%7.6%21.5%19.3%26.9%3.5%0.9%-28.0M509.3M-4.2M1.212.3236,42744,070633,397534,479
2012-05-09$36.52$39.0025.9%7.6%20.9%11.5%27.0%3.7%1.0%-30.8M578.8M-4.1M1.532.3345,42169,566641,739545,458
2012-05-10$36.61$39.0026.1%7.5%20.3%12.0%26.2%3.6%1.0%-29.0M544.7M-4.1M0.812.9733,72027,179650,172549,734
2012-05-11$36.26$39.0026.5%7.6%20.4%12.6%27.6%4.0%1.2%-31.2M626.9M-4.1M1.062.5735,65237,695661,915550,721
2012-05-14$35.61$39.0028.1%8.1%20.9%15.6%28.6%3.9%0.6%-33.8M726.9M-3.9M0.722.8630,69722,104654,489547,210
2012-05-15$35.28$38.0029.6%8.5%20.1%18.3%28.9%5.1%0.0%-32.3M784.9M-3.7M1.093.0140,79044,531661,456542,561
2012-05-16$35.05$38.0028.4%8.1%19.8%16.1%28.1%4.2%1.2%-33.1M825.8M-3.8M0.742.3256,00341,574675,267561,307
2012-05-17$35.04$38.0029.4%8.4%19.8%18.0%28.9%5.2%0.9%-32.3M822.3M-3.8M0.763.1149,02537,369688,490569,214
2012-05-18$34.43$38.0029.7%8.5%19.3%18.4%29.0%4.8%1.7%-22.1M916.9M-3.7M1.112.9243,35948,201702,689570,631
2012-05-21$35.15$38.0026.2%7.5%21.6%12.1%26.7%3.9%2.1%-18.3M492.5M-3.7M0.652.9439,95626,068511,768450,426
2012-05-22$34.48$38.0026.5%7.6%21.9%12.7%26.4%3.1%1.5%-19.1M591.2M-3.6M1.243.1033,08540,896535,743461,120
2012-05-23$34.09$38.0026.7%7.7%21.4%13.1%26.6%4.8%2.0%-18.4M646.3M-3.4M0.563.0061,70534,373555,220465,394
2012-05-24$34.26$38.0026.2%7.5%21.5%12.1%27.2%4.1%2.3%-13.9M605.1M-3.5M2.112.4325,09552,923579,039472,606
2012-05-25$34.22$38.0024.4%7.5%21.4%9.0%26.0%3.8%2.1%-18.7M627.9M-3.6M0.453.6929,36113,203593,185502,706
2012-05-29$34.23$38.0029.6%7.6%21.3%18.2%26.3%3.4%1.7%-18.1M631.3M-3.4M0.632.7420,97513,206578,824491,757
2012-05-30$33.02$38.0032.2%8.3%22.3%22.9%29.2%4.5%0.9%-19.0M783.6M-3.2M1.293.0158,55775,461581,763496,031
2012-05-31$32.61$38.0031.4%8.5%22.3%21.5%30.1%5.8%1.2%-17.2M812.4M-3.1M0.653.1445,35429,651599,743501,870