USO Options History — March 2014

In March 2014, USO traded between $35.15 and $37.52. ATM implied volatility averaged 18.3%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 1.7% (HV 20d: 16.6%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.61.

Notable Days

  • 2014-03-03: Highest Volume — 110,027 contracts
  • 2014-03-17: Largest IV drop — 8.5% change
  • 2014-03-14: Highest IV Rank — 32.4%
  • 2014-03-17: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.08$35.15$37.52$37.52$36.59
Max Pain$36.67$36.00$37.00$37.00$37.00
ATM IV18.3%16.7%20.0%19.7%17.4%
Expected Move6.3%6.1%6.5%6.2%6.1%
HV 20d16.6%13.2%17.9%13.2%15.7%
HV 60d15.9%14.8%16.4%14.8%14.9%
IV Rank23.5%15.1%32.4%31.2%18.7%
IV Percentile28.1%9.5%52.4%47.6%15.5%
Term Structure-0.0%-0.8%1.1%-0.2%-0.1%
VWIV22.5%20.1%25.7%22.6%22.0%
Skew 25d1.7%1.2%2.8%1.2%1.7%
Skew 10d2.7%1.6%4.7%2.7%3.0%
Call IV 25d18.0%16.4%20.1%19.7%17.0%
Put IV 25d19.7%17.8%21.5%20.9%18.8%
Bid-Ask Spread %21.4815.6330.4618.4221.70
Gamma HHI0.080.070.100.100.09
Net GEX-2.3M-24.9M17.3M17.3M8.1M
Net DEX2.7M-442.6M271.2M-442.6M-81.0M
Net VEX-5.0M-5.3M-4.6M-5.1M-4.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.610.774.600.813.83
Total Volume43,725.28610,791110,027110,02741,393
Total OI961,661.19844,8351,031,015936,635851,238

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-03-03$37.52$37.0019.7%6.2%13.2%31.2%22.6%1.2%-0.2%17.3M-442.6M-5.1M0.8118.4260,89849,129383,516553,119
2014-03-04$37.06$37.0018.6%6.2%13.8%25.0%21.4%1.6%-0.2%14.4M-294.0M-5.2M0.7717.3929,16322,496399,657571,504
2014-03-05$36.24$37.0019.5%6.4%16.5%30.1%22.4%2.8%-0.1%1.8M-56.5M-5.3M1.2017.2924,29329,187410,167575,278
2014-03-06$36.57$37.0018.9%6.4%16.7%26.8%21.9%1.8%-0.3%7.4M-150.6M-5.3M0.8716.2620,93318,249412,728580,481
2014-03-07$36.78$37.0018.9%6.3%16.7%26.7%22.2%1.2%-0.2%9.4M-219.1M-5.3M0.8715.8530,64326,648414,972584,442
2014-03-10$36.30$37.0018.9%6.4%16.1%27.0%24.9%2.3%-0.7%652.0K-70.1M-5.2M2.0615.6320,75642,778405,873586,197
2014-03-11$35.81$37.0019.5%6.4%16.9%29.9%23.0%2.7%-0.8%-13.1M99.1M-5.2M4.6017.548,91041,003411,785598,833
2014-03-12$35.35$37.0019.4%6.4%17.5%29.1%22.8%2.4%-0.8%-24.9M271.2M-5.1M2.4419.2727,30766,637410,385609,080
2014-03-13$35.34$37.0019.5%6.4%17.4%29.8%21.8%2.2%-0.8%-20.2M246.8M-5.1M0.9020.5813,43412,071415,890606,697
2014-03-14$35.53$37.0020.0%6.4%17.5%32.4%22.5%1.4%-0.6%-10.6M159.8M-5.2M0.9919.7428,76328,485422,940608,075
2014-03-17$35.15$37.0018.3%6.5%17.9%23.6%22.1%1.5%0.6%-22.3M264.6M-4.9M1.0221.0115,87216,257417,556599,700
2014-03-18$35.58$37.0018.3%6.3%16.7%23.9%21.7%1.3%1.1%-12.5M117.5M-4.9M1.0029.289,4619,426421,598602,429
2014-03-19$35.71$37.0017.6%6.3%16.6%20.2%22.5%1.2%0.5%-9.5M72.4M-4.9M3.0322.3410,64032,218423,083602,513
2014-03-20$35.58$36.0016.9%6.3%16.6%16.5%25.7%1.5%0.8%-6.2M114.3M-4.8M1.0622.9419,81521,029415,312594,192
2014-03-21$35.84$36.0016.7%6.3%16.8%15.1%22.5%1.4%0.6%-799.7K21.0M-4.8M1.8623.4217,80433,120418,903599,647
2014-03-24$35.82$36.0017.1%6.2%16.8%17.5%24.1%1.8%0.1%-4.1M90.0M-4.8M0.9826.288,2868,093338,381506,454
2014-03-25$35.77$36.0016.9%6.3%16.7%16.2%22.0%1.8%0.3%-4.0M100.5M-4.8M1.5324.038,61613,162343,093507,695
2014-03-26$36.09$36.0017.3%6.2%17.0%18.4%21.0%1.3%0.2%2.5M15.7M-4.7M1.2630.464,7816,010346,669514,304
2014-03-27$36.50$36.0017.2%6.2%17.5%17.9%0.0%1.3%0.2%9.8M-88.4M-4.7M1.3427.329,48212,730348,440515,344
2014-03-28$36.62$36.0017.3%6.2%17.6%18.3%20.1%1.3%0.1%9.4M-114.4M-4.7M1.4424.257,49610,757347,894518,821
2014-03-31$36.59$37.0017.4%6.1%15.7%18.7%22.0%1.7%-0.1%8.1M-81.0M-4.6M3.8321.708,56932,824338,994512,244