USO Options History — December 2012

In December 2012, USO traded between $31.39 and $33.37. ATM implied volatility averaged 26.1%, placing in the 29.2% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 8.7% (HV 20d: 17.4%). Max pain ranged from $33.00 to $33.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.18.

Notable Days

  • 2012-12-19: Highest Volume — 87,586 contracts
  • 2012-12-10: Largest IV spike — 17.5% change
  • 2012-12-10: Highest IV Rank — 43.8%
  • 2012-12-10: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.27$31.39$33.37$32.60$33.37
Max Pain$33.00$33.00$33.00$33.00$33.00
ATM IV26.1%23.4%29.4%27.6%28.4%
Expected Move7.3%6.7%8.0%7.3%7.1%
HV 20d17.4%13.2%25.2%25.2%15.9%
HV 60d25.1%24.1%26.4%26.4%24.3%
IV Rank29.2%17.4%43.8%35.6%39.0%
IV Percentile22.6%4.4%51.2%31.3%42.9%
Term Structure1.4%0.5%2.7%0.5%0.8%
VWIV26.1%24.4%28.3%25.6%25.2%
Skew 25d3.1%2.0%3.5%2.0%2.9%
Skew 10d5.2%2.6%6.2%2.6%4.9%
Call IV 25d24.7%23.3%26.7%25.0%24.0%
Put IV 25d27.8%25.9%29.8%27.0%26.9%
Bid-Ask Spread %3.622.529.313.483.12
Gamma HHI0.100.070.300.070.09
Net GEX-9.9M-50.6M11.3M-4.3M9.0M
Net DEX198.9M-123.6M440.6M122.3M-123.6M
Net VEX-3.1M-3.5M-2.7M-3.5M-2.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.762.501.071.32
Total Volume52,754.8528,13787,58660,27647,122
Total OI1,253,171.151,020,1861,380,6551,253,8131,054,456

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-12-03$32.60$33.0027.6%7.3%25.2%35.6%25.6%2.0%0.5%-4.3M122.3M-3.5M1.073.4829,05131,225663,698590,115
2012-12-04$32.41$33.0027.2%7.4%25.2%33.8%26.5%2.6%1.1%-9.1M188.8M-3.5M0.953.3414,44713,690669,478601,716
2012-12-05$32.22$33.0028.9%7.4%23.0%41.5%26.4%2.9%1.2%-13.0M242.9M-3.4M2.284.059,99122,740671,460606,080
2012-12-06$31.66$33.0028.2%7.6%18.2%38.2%26.9%3.4%0.9%-21.0M385.9M-3.3M1.635.2928,35546,316670,530601,591
2012-12-07$31.53$33.0025.1%7.8%18.2%24.7%28.2%3.0%1.3%-50.6M421.0M-3.3M1.082.5223,79525,716682,385621,990
2012-12-10$31.39$33.0029.4%8.0%17.6%43.8%28.3%3.0%0.6%-20.9M440.6M-3.2M1.542.9718,74728,953672,676610,170
2012-12-11$31.47$33.0028.4%8.0%17.6%39.4%27.5%3.1%0.5%-20.6M433.8M-3.2M0.843.4321,86118,283683,789629,636
2012-12-12$31.78$33.0024.2%7.5%17.8%20.9%26.8%3.4%1.5%-14.7M338.3M-3.2M1.093.1323,90526,086692,412634,458
2012-12-13$31.58$33.0026.5%7.6%17.4%30.7%28.0%3.5%1.9%-19.7M406.1M-3.2M2.503.1310,11025,289698,069641,235
2012-12-14$31.81$33.0026.0%7.5%17.3%28.9%26.4%3.3%1.9%-15.9M346.0M-3.2M0.993.0816,91016,738702,308654,978
2012-12-17$32.01$33.0025.6%7.3%16.8%27.0%26.1%3.4%1.9%-11.9M299.6M-3.1M0.932.9528,79126,741695,162639,981
2012-12-18$32.18$33.0024.7%7.1%14.6%23.1%24.6%3.1%2.5%-8.2M238.8M-3.1M0.983.1727,19626,725702,144647,691
2012-12-19$32.67$33.0023.8%6.8%13.3%19.0%24.5%3.3%2.7%-128.6K88.5M-3.1M0.782.8849,24238,344715,591655,231
2012-12-20$32.73$33.0023.4%6.7%13.2%17.4%24.9%2.6%2.5%2.3M54.1M-3.0M0.772.9434,19326,327714,450647,606
2012-12-21$32.36$33.0024.8%7.1%13.7%23.3%24.5%3.4%1.4%-12.3M177.8M-3.0M0.893.3343,33638,508728,378652,277
2012-12-24$32.24$33.0024.7%7.1%13.7%23.0%24.4%3.3%1.7%-7.6M147.3M-2.9M1.243.3616,36020,279522,296497,890
2012-12-26$33.15$33.0024.8%7.1%16.6%23.6%25.4%2.8%1.6%4.0M-53.2M-2.9M1.072.8837,67140,410532,855509,804
2012-12-27$33.19$33.0024.3%7.0%16.4%21.2%24.9%3.0%1.4%5.4M-98.7M-2.9M0.814.0431,53725,661550,678516,926
2012-12-28$33.04$33.0026.4%7.2%16.1%30.4%26.0%3.2%0.9%11.3M-78.8M-2.9M0.769.3125,19519,251561,477519,756
2012-12-31$33.37$33.0028.4%7.1%15.9%39.0%25.2%2.9%0.8%9.0M-123.6M-2.7M1.323.1220,27126,851549,455505,001