USO Options History — May 2013

In May 2013, USO traded between $32.39 and $34.44. ATM implied volatility averaged 22.2%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 2.1% (HV 20d: 24.3%). Max pain ranged from $32.50 to $33.50. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.50.

Notable Days

  • 2013-05-10: Highest Volume — 100,006 contracts
  • 2013-05-02: Largest IV drop — 23.3% change
  • 2013-05-01: Highest IV Rank — 61.6%
  • 2013-05-01: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.71$32.39$34.44$32.39$32.61
Max Pain$32.98$32.50$33.50$33.00$33.00
ATM IV22.2%18.9%31.9%31.9%24.3%
Expected Move6.2%5.7%7.1%7.1%6.6%
HV 20d24.3%17.2%29.7%26.5%17.2%
HV 60d21.3%20.4%21.8%20.4%21.7%
IV Rank25.6%13.6%61.6%61.6%33.6%
IV Percentile26.8%11.5%82.5%82.5%38.5%
Term Structure0.2%-1.0%0.9%-0.9%0.3%
VWIV22.6%21.1%25.4%25.4%22.8%
Skew 25d4.5%3.2%5.8%5.8%3.9%
Skew 10d8.1%6.3%10.7%10.7%6.7%
Call IV 25d20.0%18.8%23.0%23.0%21.1%
Put IV 25d24.5%22.4%28.8%28.8%25.0%
Bid-Ask Spread %2.742.303.682.412.59
Gamma HHI0.060.050.080.080.07
Net GEX-9.9M-21.8M1.7M-21.8M-20.4M
Net DEX9.8M-221.8M331.1M331.1M307.5M
Net VEX-5.3M-5.5M-5.2M-5.3M-5.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.500.952.432.061.00
Total Volume56,887.54530,421100,00689,34663,306
Total OI1,063,650.455930,7361,183,0411,046,1121,054,243

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-05-01$32.39$33.0031.9%7.1%26.5%61.6%25.4%5.8%-0.9%-21.8M331.1M-5.3M2.062.4129,18460,162491,982554,130
2013-05-02$33.49$33.0024.5%6.6%29.1%34.2%24.2%4.8%-1.0%-12.5M22.2M-5.5M1.712.7922,64138,817500,362569,420
2013-05-03$34.01$33.0022.4%6.2%29.6%26.7%23.1%3.6%0.2%-4.2M-116.1M-5.5M2.092.6219,17840,127506,306582,329
2013-05-06$34.14$32.5026.0%6.6%29.5%39.7%24.7%4.6%-0.5%-5.6M-133.5M-5.4M1.203.6324,86629,760501,370572,118
2013-05-07$34.01$32.5024.5%6.2%29.5%34.4%23.0%4.3%0.2%-5.1M-109.5M-5.4M1.923.2110,51020,170510,344579,846
2013-05-08$34.40$33.0018.9%5.7%29.7%13.6%21.1%3.2%0.5%1.7M-221.8M-5.3M1.722.3218,98732,596515,241587,295
2013-05-09$34.17$33.0019.3%5.9%29.5%15.1%21.1%4.4%0.5%-6.0M-143.1M-5.3M2.023.0714,17928,595521,212599,976
2013-05-10$34.14$33.0019.1%5.9%27.5%14.4%22.1%4.2%0.2%-11.3M-123.7M-5.3M1.352.9442,64057,366526,166610,120
2013-05-13$33.86$33.0021.5%6.0%24.6%23.4%22.0%4.6%0.4%-12.0M-41.3M-5.3M1.383.0312,80417,617526,334612,225
2013-05-14$33.56$33.0021.3%6.2%24.9%22.6%21.5%4.7%0.5%-18.4M63.7M-5.2M1.383.6817,82524,624527,678613,660
2013-05-15$33.61$33.0020.0%6.3%22.9%17.9%22.8%4.5%-0.4%-16.5M41.1M-5.2M1.552.5934,04252,849529,982620,574
2013-05-16$33.87$33.0021.9%6.3%22.1%24.7%23.6%4.4%-0.1%-8.4M-66.9M-5.3M1.572.8922,38535,153536,760623,682
2013-05-17$34.21$33.0020.8%6.0%21.8%20.7%22.2%4.7%0.5%-3.1M-183.8M-5.3M0.993.0730,38030,030546,216636,825
2013-05-20$34.44$33.0020.4%5.9%21.5%19.4%21.6%4.5%0.4%-1.7M-93.7M-5.3M1.572.3012,78720,023431,684499,052
2013-05-21$34.11$33.0020.6%5.9%22.1%20.1%21.4%4.8%0.6%-4.7M-27.8M-5.3M1.112.6215,39617,061437,713505,038
2013-05-22$33.46$33.0021.9%6.3%21.9%24.8%23.4%5.5%0.2%-10.9M113.1M-5.3M1.502.6127,18440,704447,699510,238
2013-05-23$33.54$33.5021.1%6.1%21.0%21.8%22.2%4.5%0.7%-13.9M99.1M-5.4M1.032.3224,48525,258456,593525,897
2013-05-24$33.37$33.0020.4%5.8%21.1%19.2%21.7%4.3%0.9%-10.2M132.6M-5.3M2.432.3110,48425,448463,075528,244
2013-05-28$33.79$33.0020.7%5.9%20.9%20.4%21.4%4.4%0.5%-7.0M31.6M-5.3M0.962.3627,10726,034457,103527,007
2013-05-29$33.10$33.0022.6%6.5%21.7%27.1%23.0%4.4%0.2%-14.0M182.8M-5.3M0.952.3431,41629,787473,312540,976
2013-05-30$33.25$33.0022.9%6.6%19.9%28.5%23.2%4.6%0.0%-13.0M151.8M-5.3M1.602.6033,68653,873486,446553,837
2013-05-31$32.61$33.0024.3%6.6%17.2%33.6%22.8%3.9%0.3%-20.4M307.5M-5.2M1.002.5931,57631,730490,104564,139