USO Options History — April 2013

In April 2013, USO traded between $31.01 and $34.68. ATM implied volatility averaged 22.1%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 0.9% (HV 20d: 21.2%). Max pain ranged from $33.00 to $34.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.41.

Notable Days

  • 2013-04-15: Highest Volume — 137,408 contracts
  • 2013-04-15: Largest IV spike — 31.1% change
  • 2013-04-17: Highest IV Rank — 45.9%
  • 2013-04-17: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.89$31.01$34.68$34.68$33.16
Max Pain$33.34$33.00$34.00$34.00$33.00
ATM IV22.1%17.8%27.7%18.4%27.4%
Expected Move6.1%4.9%7.9%4.9%6.5%
HV 20d21.2%13.8%26.8%14.6%26.8%
HV 60d17.3%14.4%20.1%14.4%20.1%
IV Rank25.4%9.6%45.9%11.8%45.0%
IV Percentile24.3%7.1%52.0%8.7%49.6%
Term Structure0.1%-1.7%0.8%0.5%-0.2%
VWIV21.8%17.2%29.3%17.8%23.2%
Skew 25d3.8%1.6%7.7%1.6%3.8%
Skew 10d6.6%2.3%13.7%2.3%7.7%
Call IV 25d20.0%16.5%24.9%16.5%21.1%
Put IV 25d23.7%18.1%32.2%18.1%24.9%
Bid-Ask Spread %2.972.066.762.512.19
Gamma HHI0.090.060.220.060.07
Net GEX-25.5M-54.9M-24.5K-24.5K-14.9M
Net DEX302.4M-116.9M905.4M-116.9M109.9M
Net VEX-4.8M-5.4M-4.1M-4.1M-5.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.411.012.301.412.30
Total Volume66,823.86423,999137,40828,87246,495
Total OI1,138,322.773954,7251,355,3201,069,6861,026,095

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-04-01$34.68$34.0018.4%4.9%14.6%11.8%17.8%1.6%0.5%-24.5K-116.9M-4.1M1.412.5111,97516,897520,345549,341
2013-04-02$34.65$34.0019.2%4.9%13.8%14.8%17.2%1.6%0.8%-1.3M-106.4M-4.2M1.213.4621,25025,653525,877554,273
2013-04-03$33.76$34.0022.5%5.5%17.1%26.9%19.7%3.2%0.3%-20.9M145.2M-4.4M1.163.4233,53539,058532,935571,310
2013-04-04$33.39$34.0019.5%5.5%17.5%15.8%19.5%3.3%0.8%-28.1M252.7M-4.4M1.043.1245,25047,206544,390584,024
2013-04-05$33.28$33.5019.3%5.6%17.1%15.1%20.2%3.4%0.4%-27.8M281.0M-4.4M1.083.2924,90526,933555,461594,950
2013-04-08$33.49$33.5021.2%5.5%17.2%22.1%19.8%2.9%0.3%-25.3M198.5M-4.3M1.602.489,23914,760547,053592,876
2013-04-09$33.64$33.5020.7%5.5%17.3%20.3%19.3%2.8%0.2%-22.8M145.3M-4.3M1.132.7020,83623,552549,798597,180
2013-04-10$33.83$33.5017.8%5.3%17.2%9.6%19.9%2.6%0.1%-19.9M87.7M-4.5M1.142.6334,67139,614563,075610,733
2013-04-11$33.46$33.5019.3%5.5%17.7%15.1%19.6%2.7%0.1%-29.0M204.8M-5.0M1.103.0417,76519,609589,386638,678
2013-04-12$32.53$33.5020.6%5.9%20.2%19.9%20.5%3.5%-0.3%-49.1M513.0M-5.0M1.753.3249,62386,975597,362649,588
2013-04-15$31.49$33.5027.0%7.7%22.8%43.5%26.7%5.7%-1.0%-43.9M778.1M-4.9M1.216.7662,06875,340606,118664,754
2013-04-16$31.76$33.0023.7%6.8%23.2%31.2%25.2%5.4%-0.5%-48.6M709.9M-5.0M1.973.3922,18543,689621,742675,126
2013-04-17$31.01$33.0027.7%7.9%23.8%45.9%29.3%7.7%-1.7%-45.5M905.4M-4.8M1.813.2435,73764,657626,191678,084
2013-04-18$31.64$33.0025.2%7.2%24.7%36.9%25.0%6.9%-0.3%-51.7M723.5M-5.0M1.203.1447,83057,504634,055693,280
2013-04-19$31.39$33.0024.5%7.0%24.5%34.2%24.9%5.8%0.4%-54.9M789.8M-5.0M1.553.3832,34049,971651,705703,615
2013-04-22$31.82$33.0022.8%6.5%24.2%27.8%23.7%4.9%0.1%-17.6M380.7M-5.0M1.702.1516,82128,661454,989499,736
2013-04-23$31.86$33.0022.2%6.4%24.0%25.7%21.8%4.6%0.2%-17.6M371.7M-5.1M1.012.0626,73826,955463,649513,940
2013-04-24$32.66$33.0020.9%6.0%24.9%21.1%22.3%3.3%0.3%-12.7M189.1M-5.3M1.362.5023,26131,548475,966526,061
2013-04-25$33.25$33.0020.8%6.0%25.9%20.7%21.3%2.3%0.2%-8.6M35.7M-5.3M1.042.1436,53938,021480,971533,964
2013-04-26$33.12$33.0020.8%5.9%25.8%20.5%21.3%2.6%0.4%-11.9M66.7M-5.4M2.172.2817,55938,082489,961541,994
2013-04-29$33.61$33.0024.9%6.1%26.5%35.8%21.7%2.3%0.1%-8.7M-11.5M-5.3M1.032.1319,14319,675481,488530,982
2013-04-30$33.16$33.0027.4%6.5%26.8%45.0%23.2%3.8%-0.2%-14.9M109.9M-5.4M2.302.1914,09932,396486,687539,408