USO Options History — February 2014

In February 2014, USO traded between $34.52 and $36.90. ATM implied volatility averaged 17.5%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 4.1% (HV 20d: 13.4%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 1.34.

Notable Days

  • 2014-02-07: Highest Volume — 83,078 contracts
  • 2014-02-06: Largest IV drop — 7.3% change
  • 2014-02-04: Highest IV Rank — 33.4%
  • 2014-02-05: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.00$34.52$36.90$34.52$36.74
Max Pain$36.89$36.00$37.00$36.00$37.00
ATM IV17.5%15.7%20.2%20.1%17.7%
Expected Move6.4%6.2%6.6%6.5%6.2%
HV 20d13.4%11.8%15.2%14.8%11.8%
HV 60d15.4%15.0%15.9%15.6%15.0%
IV Rank19.5%9.7%33.4%33.2%20.5%
IV Percentile18.4%3.2%50.0%50.0%20.2%
Term Structure0.1%-0.5%0.5%-0.2%-0.0%
VWIV22.6%19.2%25.3%23.9%22.4%
Skew 25d2.3%1.8%3.1%3.1%2.0%
Skew 10d4.1%3.2%4.9%4.8%3.8%
Call IV 25d16.8%15.3%18.9%18.9%16.9%
Put IV 25d19.0%17.1%22.1%22.1%18.9%
Bid-Ask Spread %18.8610.5930.4514.4318.48
Gamma HHI0.080.060.110.070.09
Net GEX2.4M-12.5M15.8M-12.5M8.6M
Net DEX-145.9M-442.2M204.7M204.7M-231.1M
Net VEX-5.1M-5.4M-4.8M-5.3M-5.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.372.771.380.56
Total Volume40,990.68415,81483,07831,18030,132
Total OI947,172.737890,4161,016,161891,828935,052

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-02-03$34.52$36.0020.1%6.5%14.8%33.2%23.9%3.1%-0.2%-12.5M204.7M-5.3M1.3814.4313,08218,098351,699540,129
2014-02-04$34.74$36.0020.2%6.5%14.7%33.4%22.0%3.0%0.0%-8.8M136.9M-5.3M1.2730.4510,49913,334356,998550,811
2014-02-05$34.71$37.0019.5%6.6%14.7%30.1%21.9%2.7%0.1%-12.1M153.9M-5.2M1.1910.5920,09123,897358,095553,412
2014-02-06$34.90$37.0018.1%6.5%13.8%22.7%22.5%2.5%-0.2%-8.7M97.3M-5.4M1.4117.036,5539,261369,299570,055
2014-02-07$35.64$37.0017.9%6.5%15.1%21.7%25.3%1.8%-0.5%4.4M-126.6M-5.2M1.5519.7932,53450,544368,409569,411
2014-02-10$35.63$37.0017.4%6.4%15.2%19.2%22.5%2.1%0.5%1.7M-94.5M-5.2M1.3016.8719,21025,025367,396580,960
2014-02-11$35.64$37.0017.4%6.5%14.1%18.8%21.5%2.0%0.5%739.0K-90.7M-5.2M1.6621.6312,56320,806368,791589,284
2014-02-12$35.80$37.0017.4%6.5%14.1%18.9%24.1%2.1%0.3%1.4M-135.9M-5.2M1.8820.7618,80235,307372,079597,580
2014-02-13$35.87$37.0017.1%6.4%12.4%17.2%22.1%1.9%0.5%2.0M-163.2M-5.1M2.7714.485,02013,920375,893604,760
2014-02-14$35.91$37.0016.1%6.2%12.2%12.0%19.2%2.0%0.3%2.9M-160.2M-5.1M1.8017.588,77215,803376,949609,841
2014-02-18$36.66$37.0017.1%6.3%13.7%17.1%22.2%2.4%0.5%9.0M-349.5M-4.8M0.7319.6943,91432,013368,498604,154
2014-02-19$36.90$37.0016.4%6.5%13.6%13.7%23.2%2.3%0.1%15.8M-442.2M-5.0M1.0127.1924,78025,112391,774617,847
2014-02-20$36.88$37.0015.7%6.2%12.8%9.7%24.7%1.8%0.4%13.2M-391.0M-4.9M1.0718.7431,33333,597381,066618,509
2014-02-21$36.69$37.0016.4%6.2%13.2%13.5%22.9%1.8%0.3%2.6M-325.8M-4.9M0.3717.6237,30813,802387,655628,506
2014-02-24$36.79$37.0016.4%6.3%12.9%13.4%22.0%2.6%0.0%7.6M-242.4M-5.0M2.2715.2610,37923,543356,265534,151
2014-02-25$36.59$37.0017.0%6.2%12.4%17.0%21.2%2.2%0.1%5.2M-190.9M-5.0M1.2618.0222,23428,041358,211539,729
2014-02-26$36.75$37.0017.4%6.2%11.8%18.8%22.7%2.5%-0.1%6.5M-219.5M-5.1M0.8520.7914,38112,235366,057547,150
2014-02-27$36.69$37.0017.6%6.2%11.9%20.2%22.4%2.4%-0.0%5.6M-202.0M-5.2M1.0618.8911,09311,805374,728555,079
2014-02-28$36.74$37.0017.7%6.2%11.8%20.5%0.0%2.0%-0.0%8.6M-231.1M-5.2M0.5618.4819,25410,878377,754557,298