USO Options History — September 2013

In September 2013, USO traded between $36.85 and $39.36. ATM implied volatility averaged 23.5%, placing in the 35.7% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 4.8% (HV 20d: 18.7%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.54.

Notable Days

  • 2013-09-10: Highest Volume — 104,758 contracts
  • 2013-09-11: Largest IV drop — 24.4% change
  • 2013-09-03: Highest IV Rank — 75.8%
  • 2013-09-03: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.06$36.85$39.36$38.76$36.85
Max Pain$38.16$30.00$40.00$38.00$38.00
ATM IV23.5%19.8%32.9%32.9%21.4%
Expected Move6.7%6.0%8.0%8.0%6.5%
HV 20d18.7%16.6%21.0%17.0%18.6%
HV 60d19.0%18.3%19.4%18.6%18.3%
IV Rank35.7%19.6%75.8%75.8%26.9%
IV Percentile47.9%19.8%96.8%96.8%41.7%
Term Structure0.4%-1.4%1.2%-1.4%0.2%
VWIV24.0%21.6%28.6%28.6%23.0%
Skew 25d1.0%-2.1%2.6%-2.1%2.6%
Skew 10d1.5%-5.1%4.9%-5.1%4.9%
Call IV 25d22.4%19.4%29.6%29.6%20.7%
Put IV 25d23.4%21.0%27.4%27.4%23.4%
Bid-Ask Spread %3.321.715.722.074.62
Gamma HHI0.080.060.110.080.07
Net GEX-12.9M-32.3M15.3M-3.4M-25.3M
Net DEX-293.7M-756.8M111.6M-523.5M96.3M
Net VEX-5.8M-6.2M-5.5M-6.1M-5.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.540.692.940.702.94
Total Volume59,540.823,679104,75852,72756,843
Total OI1,324,469.31,142,7441,433,0871,323,6901,186,749

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-09-03$38.76$38.0032.9%8.0%17.0%75.8%28.6%-2.1%-1.4%-3.4M-523.5M-6.1M0.702.0731,04521,682565,530758,160
2013-09-04$38.34$37.0032.7%7.5%17.1%75.2%26.9%-1.7%-0.4%-7.7M-423.5M-6.2M0.692.1725,39217,553575,605752,970
2013-09-05$38.69$37.0025.9%7.1%16.6%45.8%25.2%-1.1%0.0%603.6K-548.5M-6.0M0.911.7121,24519,243581,262757,300
2013-09-06$39.36$37.5025.9%7.2%17.2%46.0%26.0%-0.5%0.3%15.3M-756.8M-5.9M1.561.9440,69863,328587,482765,920
2013-09-09$38.94$37.5028.5%7.2%16.7%57.0%26.1%0.1%0.2%2.1M-587.5M-6.0M1.962.3131,02060,826589,060781,620
2013-09-10$38.34$38.0029.8%7.0%17.7%62.6%25.4%1.2%0.0%-12.7M-360.8M-6.1M2.622.0828,93075,828588,772804,311
2013-09-11$38.48$38.0022.5%6.3%17.7%31.4%22.0%1.2%0.8%-12.1M-411.8M-5.9M1.072.0226,70828,658589,698818,781
2013-09-12$38.87$38.0021.2%6.1%18.0%25.8%21.6%1.6%1.1%-647.2K-561.1M-5.7M0.811.7130,48124,822594,081811,214
2013-09-13$38.85$38.0021.0%6.0%17.9%24.8%21.7%1.3%0.7%-398.8K-562.6M-5.6M1.382.2214,32319,771597,673813,871
2013-09-16$38.11$0.0021.5%6.6%19.2%27.0%22.7%1.5%0.6%-17.0M-305.2M-5.7M2.334.2310,68124,915588,029811,680
2013-09-17$37.74$30.0021.7%6.6%19.4%27.8%22.3%1.5%0.6%-26.7M-166.2M-5.8M1.065.4748,99051,958588,132818,702
2013-09-18$38.68$40.0021.3%6.5%20.3%26.3%22.8%1.1%0.6%-863.2K-541.6M-5.5M0.984.2225,76025,182610,989822,098
2013-09-19$38.08$40.0020.0%6.5%20.9%20.5%25.8%1.7%1.1%-15.0M-305.8M-5.7M1.985.7218,24836,181610,648805,486
2013-09-20$37.77$40.0019.8%6.5%20.9%19.6%21.9%1.7%1.2%-21.4M-165.5M-5.7M1.423.3632,09445,486610,522818,586
2013-09-23$37.27$40.0020.3%6.6%21.0%22.0%24.7%2.1%0.7%-20.0M-25.2M-5.6M2.053.6717,13235,086481,458661,286
2013-09-24$37.22$40.0021.2%6.6%21.0%25.9%0.0%2.3%0.3%-22.5M6.4M-5.8M2.603.7716,72243,481488,635673,334
2013-09-25$36.88$40.0020.8%6.5%19.0%24.2%22.3%2.1%0.6%-28.4M111.6M-5.7M1.134.3521,36024,159492,647684,473
2013-09-26$37.08$40.0020.9%6.5%19.0%24.4%23.8%2.2%0.2%-29.2M65.5M-5.7M1.363.2910,04613,633503,173695,887
2013-09-27$36.96$38.0021.0%6.5%18.6%25.1%23.8%1.8%0.3%-32.3M91.5M-5.6M1.195.4623,39427,912508,875694,687
2013-09-30$36.85$38.0021.4%6.5%18.6%26.9%23.0%2.6%0.2%-25.3M96.3M-5.5M2.944.6214,43842,405503,754682,995