USO Options History — January 2014

In January 2014, USO traded between $32.81 and $34.95. ATM implied volatility averaged 18.5%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 1.5% (HV 20d: 16.9%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.26.

Notable Days

  • 2014-01-02: Highest Volume — 129,647 contracts
  • 2014-01-27: Largest IV spike — 8.1% change
  • 2014-01-27: Highest IV Rank — 30.7%
  • 2014-01-08: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.94$32.81$34.95$34.23$34.80
Max Pain$36.81$36.00$37.00$37.00$36.00
ATM IV18.5%16.7%19.7%19.0%18.9%
Expected Move6.4%6.2%6.7%6.3%6.4%
HV 20d16.9%15.1%19.2%15.5%15.4%
HV 60d16.0%15.6%16.7%16.5%15.7%
IV Rank24.6%15.0%30.7%27.2%26.7%
IV Percentile25.7%8.3%42.5%29.0%31.0%
Term Structure0.1%-0.4%0.8%-0.3%0.4%
VWIV23.3%20.9%26.0%24.6%23.1%
Skew 25d2.6%1.8%3.6%3.5%2.5%
Skew 10d4.7%3.1%7.2%5.9%4.1%
Call IV 25d17.4%15.8%18.6%17.4%18.1%
Put IV 25d20.1%18.1%21.5%20.9%20.6%
Bid-Ask Spread %16.936.6678.9613.3014.03
Gamma HHI0.110.060.190.120.07
Net GEX-29.7M-56.1M-3.0M-29.1M-6.9M
Net DEX577.6M58.3M1.18B519.0M100.1M
Net VEX-4.9M-5.4M-4.6M-5.4M-5.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.542.411.621.54
Total Volume57,458.09527,368129,647129,64772,608
Total OI1,156,411.952758,8431,445,8311,343,616876,177

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-01-02$34.23$37.0019.0%6.3%15.5%27.2%24.6%3.5%-0.3%-29.1M519.0M-5.4M1.6213.3049,45780,190608,471735,145
2014-01-03$33.75$37.0018.9%6.3%15.6%26.9%20.9%3.2%-0.0%-42.0M790.5M-5.3M1.3713.2449,80468,072601,898768,699
2014-01-06$33.57$37.0019.2%6.4%15.6%28.3%23.1%3.6%-0.4%-46.6M865.8M-5.1M0.8311.0733,21027,619600,485775,688
2014-01-07$33.58$37.0018.3%6.5%15.5%23.4%22.7%3.0%-0.3%-49.3M866.8M-5.1M1.086.6616,43517,765612,872784,988
2014-01-08$33.16$37.0018.9%6.7%15.9%27.1%23.2%3.2%-0.3%-51.8M1.08B-4.9M1.3129.6124,45631,966618,538792,346
2014-01-09$33.08$37.0018.3%6.5%15.1%23.8%22.7%2.7%-0.2%-56.1M1.13B-4.8M1.4110.0528,73740,590623,411802,066
2014-01-10$33.19$37.0018.6%6.5%15.1%24.9%23.8%2.8%-0.3%-50.7M1.04B-4.9M0.5415.3139,62621,360634,385800,905
2014-01-13$32.81$37.0019.1%6.5%15.4%27.7%22.6%2.6%-0.1%-48.2M1.18B-4.6M0.7510.7034,94326,378633,594793,324
2014-01-14$33.04$36.0019.4%6.5%15.6%29.2%24.2%2.4%-0.3%-46.2M1.09B-4.7M1.3316.7215,08320,061648,959796,872
2014-01-15$33.77$37.0017.8%6.3%17.4%21.3%25.9%1.8%-0.1%-48.6M724.3M-4.8M0.7114.9041,63929,404627,760786,604
2014-01-16$33.65$37.0017.5%6.3%17.4%19.7%21.0%2.1%-0.0%-49.2M820.3M-4.7M0.7216.0015,87011,498630,916792,866
2014-01-17$33.69$37.0016.7%6.3%17.3%15.0%24.2%2.3%0.2%-38.7M836.3M-4.6M1.4011.5616,45123,031633,071791,903
2014-01-21$33.99$37.0017.3%6.2%17.3%18.4%21.2%2.5%0.8%-9.6M241.0M-4.6M1.4117.1014,69020,669315,217443,626
2014-01-22$34.56$37.0017.2%6.2%18.4%17.8%21.6%2.1%0.8%-5.1M108.6M-4.7M0.876.7932,85528,657318,784456,280
2014-01-23$34.72$37.0017.9%6.2%18.5%21.3%26.0%2.2%0.0%-3.2M74.0M-4.8M1.7615.9319,85634,892325,635466,300
2014-01-24$34.58$37.0018.2%6.3%18.5%23.0%24.2%2.4%0.3%-14.8M122.5M-4.9M1.888.5718,55634,884330,058484,064
2014-01-27$34.23$37.0019.7%6.4%18.6%30.7%25.9%2.7%0.4%-11.7M235.0M-4.9M2.4118.1217,80942,950329,657490,557
2014-01-28$34.69$37.0019.5%6.2%19.2%30.0%22.8%2.7%0.4%-6.5M123.5M-5.0M0.8915.1715,36213,632335,709506,439
2014-01-29$34.73$36.0019.6%6.3%19.1%30.6%22.3%2.7%0.3%-6.5M126.7M-5.1M1.7778.9613,43623,778340,356512,985
2014-01-30$34.95$36.0018.3%6.4%19.2%23.6%23.6%2.6%0.1%-3.0M58.3M-5.0M0.9411.7219,74618,595339,350517,691
2014-01-31$34.80$36.0018.9%6.4%15.4%26.7%23.1%2.5%0.4%-6.9M100.1M-5.2M1.5414.0328,56444,044347,776528,401