USO Options History — November 2013

In November 2013, USO traded between $33.19 and $34.26. ATM implied volatility averaged 18.6%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 2.8% (HV 20d: 15.8%). Max pain ranged from $38.00 to $39.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.21.

Notable Days

  • 2013-11-12: Highest Volume — 95,289 contracts
  • 2013-11-21: Largest IV drop — 7.5% change
  • 2013-11-12: Highest IV Rank — 24.0%
  • 2013-11-05: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.85$33.19$34.26$34.13$33.46
Max Pain$38.05$38.00$39.00$39.00$38.00
ATM IV18.6%16.9%20.7%19.8%18.3%
Expected Move6.5%5.9%6.8%6.7%6.5%
HV 20d15.8%14.3%17.2%16.9%15.2%
HV 60d17.4%16.7%18.1%18.0%16.9%
IV Rank17.8%9.8%24.0%19.8%17.4%
IV Percentile14.2%3.2%35.7%24.2%11.9%
Term Structure0.2%-0.2%0.6%0.4%0.1%
VWIV23.3%20.9%25.5%24.0%24.4%
Skew 25d2.9%2.5%3.4%3.0%2.6%
Skew 10d5.3%4.3%6.5%5.8%4.5%
Call IV 25d17.5%15.9%19.3%18.5%17.2%
Put IV 25d20.4%18.3%22.3%21.5%19.9%
Bid-Ask Spread %5.313.2628.273.595.02
Gamma HHI0.110.080.240.080.09
Net GEX-31.4M-41.4M-13.9M-37.6M-23.3M
Net DEX667.6M372.1M881.2M773.0M596.6M
Net VEX-5.0M-5.4M-4.5M-5.4M-4.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.462.001.021.00
Total Volume48,467.0521,53695,28967,81524,481
Total OI1,203,461.31,086,7541,292,6291,212,9481,188,057

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-11-01$34.13$39.0019.8%6.7%16.9%19.8%24.0%3.0%0.4%-37.6M773.0M-5.4M1.023.5933,61434,201519,831693,117
2013-11-04$34.04$38.0020.0%6.7%16.9%20.4%22.9%3.3%0.1%-39.0M776.6M-5.3M1.163.2620,31223,464521,731694,512
2013-11-05$33.67$38.0020.7%6.8%16.7%23.5%24.2%3.0%-0.1%-39.9M881.2M-5.2M1.873.9719,36836,145533,440702,207
2013-11-06$34.19$38.0019.7%6.7%17.2%19.2%23.1%3.1%0.1%-37.9M720.2M-5.4M1.323.5528,71437,767545,712710,644
2013-11-07$33.97$38.0019.3%6.7%15.8%22.7%24.3%3.1%-0.2%-37.7M783.7M-5.2M0.464.4317,5108,097552,084711,688
2013-11-08$34.01$38.0018.2%6.6%15.8%16.8%25.5%2.7%0.1%-37.4M786.5M-5.1M0.804.4126,16620,879553,036712,799
2013-11-11$34.26$38.0018.2%6.6%16.1%17.0%0.0%2.7%-0.1%-38.3M671.2M-5.2M0.793.7812,0379,499554,851709,002
2013-11-12$33.64$38.0019.4%6.6%16.7%24.0%23.7%3.4%-0.2%-41.4M873.6M-4.9M2.003.4331,81463,475559,906704,846
2013-11-13$33.90$38.0018.3%6.6%16.2%17.6%24.0%3.0%-0.1%-40.8M788.9M-5.1M1.503.5717,53426,286571,140721,489
2013-11-14$33.93$38.0018.6%6.5%15.8%19.1%23.8%2.8%0.1%-39.4M721.0M-5.0M0.883.7327,73524,337573,482703,889
2013-11-15$33.88$38.0018.0%6.5%15.7%16.0%23.1%3.0%0.1%-40.2M726.4M-5.0M1.903.6415,06028,569586,277702,011
2013-11-18$33.62$38.0018.4%6.5%15.3%18.3%22.6%2.9%0.6%-22.8M568.9M-4.8M1.554.5929,94346,413483,963602,791
2013-11-19$33.72$38.0018.6%6.5%14.8%19.1%23.5%2.8%0.6%-22.4M541.0M-4.9M1.594.9110,90417,336499,629617,570
2013-11-20$33.63$38.0018.8%5.9%14.3%20.3%20.9%2.9%0.5%-24.2M567.3M-4.9M1.0828.2722,32324,177503,936625,293
2013-11-21$34.17$38.0017.4%6.6%15.6%12.3%23.0%2.6%0.3%-13.9M372.1M-4.9M0.633.9322,52514,154515,356624,522
2013-11-22$34.04$38.0016.9%6.5%15.1%9.8%22.6%2.5%0.1%-18.1M424.5M-4.8M1.813.9016,82930,440515,895625,751
2013-11-25$33.82$38.0017.5%6.4%14.9%13.1%21.5%2.7%0.4%-20.0M508.3M-4.8M0.944.2416,16415,263504,471624,055
2013-11-26$33.69$38.0017.5%6.4%14.9%13.2%22.1%2.6%0.6%-22.4M553.5M-4.7M0.534.7526,82614,171512,262629,308
2013-11-27$33.19$38.0018.3%6.5%14.8%17.3%24.4%2.8%-0.0%-30.9M717.7M-4.5M1.375.2631,55043,259528,046630,627
2013-11-29$33.46$38.0018.3%6.5%15.2%17.4%0.0%2.6%0.1%-23.3M596.6M-4.7M1.005.0212,26812,213545,474642,583