USO Options History — March 2013

In March 2013, USO traded between $32.40 and $34.75. ATM implied volatility averaged 18.0%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 2.1% (HV 20d: 15.9%). Max pain ranged from $34.00 to $34.50. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.37.

Notable Days

  • 2013-03-25: Highest Volume — 77,239 contracts
  • 2013-03-11: Largest IV spike — 16.7% change
  • 2013-03-04: Highest IV Rank — 30.9%
  • 2013-03-04: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.37$32.40$34.75$32.74$34.75
Max Pain$34.02$34.00$34.50$34.50$34.00
ATM IV18.0%15.2%24.1%21.1%16.3%
Expected Move5.3%4.6%6.3%6.1%4.7%
HV 20d15.9%13.9%16.8%16.3%15.1%
HV 60d14.8%14.3%15.3%14.9%14.6%
IV Rank9.8%0.0%30.9%19.6%3.9%
IV Percentile5.0%0.0%23.4%9.5%2.0%
Term Structure1.1%0.6%1.5%1.0%0.8%
VWIV18.9%16.3%22.3%21.4%16.4%
Skew 25d2.7%0.9%4.3%3.5%0.9%
Skew 10d4.7%1.2%7.6%6.3%1.2%
Call IV 25d17.4%15.5%20.4%19.5%15.9%
Put IV 25d20.1%16.8%24.7%23.0%16.8%
Bid-Ask Spread %2.931.933.842.822.80
Gamma HHI0.080.060.100.070.06
Net GEX-23.6M-34.3M1.4M-31.4M1.4M
Net DEX266.6M-163.4M579.2M537.2M-163.4M
Net VEX-3.7M-4.1M-3.5M-3.9M-4.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.512.241.371.15
Total Volume47,623.8520,44777,23974,41660,567
Total OI1,087,289.95911,5291,196,6741,141,2881,073,575

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-03-01$32.74$34.5021.1%6.1%16.3%19.6%21.4%3.5%1.0%-31.4M537.2M-3.9M1.372.8231,38443,032560,752580,536
2013-03-04$32.40$34.0024.1%6.3%16.3%30.9%22.3%4.3%1.1%-34.3M579.2M-3.8M1.353.2619,11125,774554,671570,391
2013-03-05$32.69$34.0022.2%5.9%16.3%23.6%21.0%3.8%1.4%-34.2M513.5M-3.7M1.153.7018,21220,921560,337577,093
2013-03-06$32.54$34.0018.7%5.9%15.9%10.3%21.1%3.5%1.2%-34.3M534.9M-3.7M1.523.8418,24527,760566,658576,487
2013-03-07$32.94$34.0016.8%5.5%16.8%3.0%19.9%3.3%1.5%-31.8M422.9M-3.8M1.093.1621,08323,020572,797588,950
2013-03-08$33.05$34.0015.2%5.4%16.7%0.0%19.1%3.2%1.4%-34.1M388.0M-3.8M0.513.4036,17018,572576,176597,203
2013-03-11$33.04$34.0017.7%5.3%16.7%9.3%18.8%3.0%1.5%-31.2M397.0M-3.8M1.423.1813,20318,751595,013592,325
2013-03-12$33.26$34.0017.7%5.2%16.2%9.3%18.7%2.3%1.3%-29.5M329.5M-3.7M2.083.4010,97822,856599,884594,308
2013-03-13$33.19$34.0015.8%5.2%16.0%2.1%18.4%2.4%1.3%-32.3M365.1M-3.6M1.193.1711,80314,070598,629598,045
2013-03-14$33.42$34.0017.3%5.0%16.3%7.8%17.8%2.2%1.4%-31.5M296.8M-3.6M1.503.398,17112,276589,043598,321
2013-03-15$33.60$34.0017.1%4.9%16.5%7.0%18.2%2.5%1.2%-25.0M238.5M-3.6M1.363.0226,84036,392591,535599,001
2013-03-18$33.65$34.0017.7%5.1%15.8%9.2%18.1%2.5%0.8%-14.1M128.3M-3.5M1.563.1715,95024,838441,697469,832
2013-03-19$33.07$34.0019.4%5.6%16.4%15.7%19.4%3.2%0.6%-22.0M254.3M-3.6M1.322.4522,63429,931448,066481,356
2013-03-20$33.45$34.0017.8%5.1%15.3%9.7%18.6%2.6%0.7%-20.4M176.7M-3.6M2.242.309,38321,001458,212494,157
2013-03-21$33.05$34.0018.4%5.3%13.9%11.7%18.9%2.7%0.7%-30.3M278.4M-3.7M1.571.9720,06531,589462,480507,400
2013-03-22$33.61$34.0017.8%5.1%15.1%9.5%18.8%2.2%0.8%-16.3M138.7M-3.8M1.462.4616,87124,627473,081529,064
2013-03-25$33.85$34.0017.2%4.9%14.6%7.3%18.1%2.5%0.8%-14.6M85.7M-3.7M1.112.0836,52040,719471,416520,135
2013-03-26$34.45$34.0016.0%4.6%15.7%3.0%16.7%1.8%1.0%-3.3M-77.3M-3.8M1.663.0427,40245,560493,938533,158
2013-03-27$34.55$34.0015.9%4.6%15.7%2.6%16.3%1.4%1.2%-3.1M-91.3M-4.0M0.701.9327,12319,073498,397551,680
2013-03-28$34.75$34.0016.3%4.7%15.1%3.9%16.4%0.9%0.8%1.4M-163.4M-4.1M1.152.8028,17732,390516,242557,333