USO Options History — October 2012

In October 2012, USO traded between $31.63 and $34.29. ATM implied volatility averaged 30.9%, placing in the 32.1% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 0.8% (HV 20d: 30.1%). Max pain ranged from $33.50 to $35.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.95.

Notable Days

  • 2012-10-03: Highest Volume — 151,966 contracts
  • 2012-10-03: Largest IV spike — 23.5% change
  • 2012-10-09: Highest IV Rank — 47.0%
  • 2012-10-10: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.30$31.63$34.29$34.25$31.78
Max Pain$34.55$33.50$35.00$35.00$33.50
ATM IV30.9%27.5%37.8%30.8%31.5%
Expected Move8.6%8.0%9.1%8.2%8.5%
HV 20d30.1%24.3%33.6%24.4%28.8%
HV 60d25.1%23.1%26.3%23.8%23.1%
IV Rank32.1%23.5%47.0%26.0%35.1%
IV Percentile52.0%26.6%82.9%51.2%64.7%
Term Structure1.0%0.2%2.2%1.9%0.3%
VWIV30.7%28.2%32.8%28.9%30.3%
Skew 25d3.2%2.3%4.5%2.5%3.3%
Skew 10d4.7%2.1%7.6%3.7%5.5%
Call IV 25d29.2%27.1%31.7%27.7%28.8%
Put IV 25d32.4%29.5%34.3%30.2%32.0%
Bid-Ask Spread %3.432.546.452.543.09
Gamma HHI0.060.050.070.060.07
Net GEX-4.2M-17.5M9.6M1.3M-14.0M
Net DEX234.1M-44.6M511.8M82.5M464.6M
Net VEX-4.6M-5.1M-3.9M-5.1M-3.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.262.150.261.27
Total Volume83,963.23822,543151,966100,14149,334
Total OI1,502,921.6191,179,6561,693,7311,473,4371,294,221

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-10-01$34.25$35.0030.8%8.2%24.4%26.0%28.9%2.5%1.9%1.3M82.5M-5.1M0.262.5479,20320,938842,186631,251
2012-10-02$34.02$35.0030.6%8.0%24.3%25.6%28.2%2.4%2.2%-2.8M149.2M-4.9M1.083.0827,37229,493846,624639,737
2012-10-03$32.61$35.0037.8%8.8%28.1%44.8%31.2%3.4%1.8%-15.1M499.2M-4.6M0.773.8786,01065,956860,405651,751
2012-10-04$33.94$35.0030.4%8.2%32.1%29.0%29.3%2.8%1.9%-952.5K100.2M-5.1M0.644.5477,46049,587905,653676,579
2012-10-05$33.35$35.0027.5%8.6%31.6%23.5%31.2%3.0%0.8%-6.1M309.1M-4.8M0.613.0440,03324,480913,776679,549
2012-10-08$33.22$35.0033.3%9.0%31.6%40.4%31.5%3.0%0.3%-7.8M301.2M-4.7M0.773.5812,7109,833892,747657,727
2012-10-09$34.18$35.0035.6%9.0%33.5%47.0%32.0%2.3%0.2%6.5M4.2M-4.9M0.513.3191,81846,646897,049662,177
2012-10-10$33.84$34.5030.3%9.1%33.5%31.7%32.8%2.5%0.4%5.2M78.8M-4.9M0.813.3862,31550,593928,755679,882
2012-10-11$34.29$34.5031.2%8.9%33.6%34.2%32.4%2.4%0.8%9.6M-44.6M-5.1M0.843.3739,52033,084948,826700,146
2012-10-12$34.00$34.5030.8%8.8%33.3%33.1%31.9%2.7%1.2%7.3M68.1M-5.0M0.773.2129,19522,541956,389709,568
2012-10-15$34.00$34.5031.1%8.9%31.9%33.9%31.9%3.2%1.0%2.7M86.8M-4.7M1.333.3723,72931,503940,989695,882
2012-10-16$34.14$34.5030.6%8.8%31.9%32.4%31.0%3.0%1.2%4.5M65.3M-4.7M1.002.9820,31120,272946,340707,101
2012-10-17$34.10$34.5029.4%8.4%28.3%29.2%30.8%3.3%1.6%7.8M65.0M-4.7M2.153.4628,66961,734950,275715,039
2012-10-18$34.07$34.5028.1%8.1%28.0%25.2%28.2%2.9%2.0%2.9M115.2M-4.6M0.813.2733,69327,374949,283737,896
2012-10-19$33.34$34.5028.6%8.2%29.0%26.8%29.3%4.5%1.5%-14.5M359.6M-4.4M1.056.4563,24966,197960,109733,622
2012-10-22$32.90$34.5029.8%8.5%29.0%30.2%30.6%4.2%0.7%-9.5M259.5M-4.4M0.962.9639,84038,290651,679527,977
2012-10-23$31.97$34.5031.4%9.0%30.5%34.9%31.7%4.5%0.5%-15.5M447.2M-4.2M1.102.9158,75564,906670,401547,463
2012-10-24$31.63$34.0031.4%9.0%30.4%34.9%31.0%4.3%0.2%-16.7M511.8M-4.1M1.462.8439,31257,491695,613564,089
2012-10-25$31.78$34.0029.8%8.5%28.9%30.1%30.8%3.8%0.8%-17.5M488.8M-4.1M1.142.8328,28532,357704,453577,561
2012-10-26$31.79$34.0028.1%8.5%28.9%25.4%29.6%4.1%0.7%-15.0M504.8M-4.1M0.653.9747,86631,274715,908594,676
2012-10-31$31.78$33.5031.5%8.5%28.8%35.1%30.3%3.3%0.3%-14.0M464.6M-3.9M1.273.0921,71727,617712,912581,309